具有资产重组公司债券定价和最佳违约边界

摘要

In order to resolve the problem of the capital reorganization of the default corporate,under the capital reorganization scheme with strategic debt payment,this paper constructs the pricing continuous mathematical models of the corporate debt and equity by applying dynamic programming principle and structural method.Moreover,the explicit expression of the strategic debt payment coupon is obtained and the existence and uniqueness of the optimal default boundary are proved by partial differential method.At last,numerical results show that the provision of the default capital reorganization makes the default probability get bigger in contrast to Leland model and equityholders are better off by earlier declaring default.However,whether debtholders are better off depends on the negotiating ability and negotiation cost.%为了更好地解决违约公司的资产重组问题,在策略债务支付的资产重组模式下,运用动态规划原理和结构化方法,建立了公司债券和股票价值定价的连续数学模型.通过偏微分方程方法获得了策略债务支付息票数额的解析表达式,并从理论上严格证明了最佳违约边界的存在唯一性和单调性.数值结果表明,违约资产重组使得公司的违约概率增大,并且股东能从借助于违约资产重组获益,但债权人能否从违约资产重组中获益依赖于违约资产重组的谈判因子和谈判费用.