基于债务融资的企业投资与信用风险

采用未定权益分析方法,获得企业原始债务和新债的价值,并通过投资前后股权价值的分析,建立了内生地获得企业投资前后的破产门槛和投资门槛等相关参数的数学模型.通过数值对企业投资机会对企业信用风险的影响进行了分析.结果表明:随着投资的等待成本率和投资风险的增大,信用利差增大;在相同的瞬时现金流下,初始债权在投资后的价值比投资前低,因此,以投资的方式攫取初始债权人的利益,可能是股东进行投资的一种动机.

Firm Investment and Credit Risk Based on Debt Financing

This paper investigates the effect of firm investment on the credit spread. With contingent claim analysis method, we value both the original and new-issued debts, and construct a model which can obtain endogenously the parameters such as the threshold of bankruptcy and investment. The numerical results show that high waiting cost and volatility of investment are consistent with high credit spread, while the original debt value drops after investment is exercised, which may be a motive of equity holder to invest.