不完全信息下或有资本的定价与债券信用价差研究

本文考虑两类不完全信息:信息滞后和信息不对称,将或有资本引入分析框架,应用风险中性定价原理和最优停时理论,研究公司证券的定价与债券信用价差问题.数值结果表明:或有资本可以显著降低信息滞后情形下的公司破产成本,提高公司总价值,减少社会福利损失;或有资本可以提升股权价值、降低债券的信用价差,增强公司的抗风险能力.进一步研究发现,对于1年期的短期债券而言,或有资本减少信息不对称下债券的信用价差幅度明显大于信息滞后情形.

The study of contingent capital pricing and credit spreads of bonds under incomplete information

This paper considers two kinds of incomplete information:Delayed information and asymmetric information. We introduce the contingent capital to analytical framework and use the optimal stopping time and stochastic analysis method to investigate the value of securities and the credit spreads of the bonds. By numerical analysis, we show that the contingent capital can significantly mitigate the firm's bankruptcy cost, which also improves the total value of the company and reduces the loss of social welfare under the situation of delayed information. At the same time, contingent capital can increase the equity value and reduce the credit spreads of the bonds, enhancing the firm's anti-risk ability. Further studies show that for short-term bonds within a year, contingent capital reduce clearly more credit spreads under the situation of asymmetric information than the situation of delayed information.