Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy
分析利率和公司价值随机时公司债券的估值及最优赎回与违约规则，并解释对冲动态，发现内生破产模型比外生模型更能解释公司利差与国债利率关系的实证模式。
This paper analyzes corporate bond valuation and optimal call and default rules when interest rates and firm value are stochastic. It then uses the results to explain the dynamics of hedging. Bankruptcy rules are important determinants of corporate bond sensitivity to interest rates and firm value. Although endogenous and exogenous bankruptcy models can be calibrated to produce the same prices, they can have very different hedging implications. We show that empirical results on the relation between corporate spreads and Treasury rates provide evidence on duration, and we find that the endogenous model explains the empirical patterns better than do typical exogenous models.