Liquidity Risk and Volatility Risk in Credit Spread Models: A Unified Approach
提出了一个统一框架，同时纳入公司债券二级市场的外生流动性风险和债务展期模型中资产价值的波动性风险，推导出债务和权益价值的一般表达式，并数值展示了波动性风险与流动性恶化共同降低债务和权益价值、显著扩大信用利差。
Abstract We present an integrated framework incorporating both exogenous liquidity risk in the secondary corporate bond market and volatility risk in the dynamics of asset value in debt rollover models. Using an innovative theoretical approach we derive general expressions for the debt and equity values in all cases. Taking advantage of the analytical expressions for the asset value with the constant elasticity of variance (CEV) process, we show numerically using realistic parameter values from empirical studies that volatility risk, together with deteriorating bond market liquidity, decreases both debt and equity values and significantly increases the credit spreads.