Design and Valuation of Debt Contracts
在不确定性的动态环境下研究债务合同的设计与估值，结合公司金融文献，通过博弈模型分析债务持有者和股东的博弈行为，发现战略债务服务会显著提高违约溢价，且设计倾向于高息票和偿债基金。
This article studies the design and valuation of debt contracts in a general dynamic setting under uncertainty. We incorporate some insights of the recent corporate finance literature into a valuation framework.\nThe basic framework is an extensive form game determined by the terms of a debt contract and applicable bankruptcy laws. Debtholders and equityholders behave noncooperatively, The firm's reorganization boundary is determined endogenously.\nStrategic debt service results In significantly higher default premia at even small liquidation costs. Deviations from absolute priority, and forced liquidations occur along the equilibrium path. The design tends to stress higher coupons and sinking funds when firms have a higher cash payout ratio.