Liquidity and Credit Risk
构建了一个结构债券估值模型，同时捕捉流动性和信用风险，发现财务困境中的重新谈判受不良债务市场非流动性的影响，且违约可能性增加时，流动性导致的债券收益率利差成分上升。
ABSTRACT We develop a structural bond valuation model to simultaneously capture liquidity and credit risk. Our model implies that renegotiation in financial distress is influenced by the illiquidity of the market for distressed debt. As default becomes more likely, the components of bond yield spreads attributable to illiquidity increase. When we consider finite maturity debt, we find decreasing and convex term structures of liquidity spreads. Using bond price data spanning 15 years, we find evidence of a positive correlation between the illiquidity and default components of yield spreads as well as support for downward‐sloping term structures of liquidity spreads.