A Theoretical Model for the Term Structure of Corporate Credit based on Competitive Advantage
该模型从企业竞争优势和利息税盾出发，推导公司信用的期限结构，为债券持有人提供预期损失补偿和额外利差，克服了传统结构信用模型的一些缺陷。
Abstract We derive the term structure of corporate credit based on the competitive advantage of a firm and the tax deductibility of its interest payments. We consider the competitive advantage enjoyed by the firm as the central tenet of our model and capture its eventual demise in a probabilistic manner. We compensate the bond holder for expected losses and then provide an additional spread based on the tax deductibility of interest payments. Our simple intuitive model appears to overcome some of the well‐known shortcomings of structural credit risk models.