Endogenous Credit Spreads and Optimal Debt Financing Structure in the Presence of Liquidity Risk
构建了一个结构模型，让企业能同时管理融资结构中的破产风险和流动性风险，通过权衡融资成本与展期风险，找到最大化股权价值的最优债务结构。
Abstract We present a structural model that allows a firm to effectively manage its exposure to both insolvency and illiquidity risk inherent in its financing structure. Besides insolvency risk, the firm is exposed to rollover risk through possible runs by short‐term creditors. Moreover, asset price volatilities are subject to macroeconomic shocks and influence creditors' risk attitudes and margin requirements. Credit spreads are derived endogenously depending on the firm's total default risk. Equity holders have to bear the rollover losses. An optimal debt structure that maximises the firm's equity value is determined by trading off lower financing costs and higher rollover risk.