Debt dynamics and credit risk
研究了公司债务政策的动态如何影响债券定价，发现债务发行有显著的随机成分，导致杠杆波动率在短期内高于资产波动率，而长期则因均值回归而反转。将随机债务动态纳入信用风险模型后，能更准确预测信用利差。
We investigate how the dynamics of corporate debt policy affect the pricing of corporate bonds. We find empirically that debt issuance has a significant stochastic component that is imperfectly correlated with shocks to asset value. As a consequence, the volatility of leverage is significantly higher than asset volatility over short horizons. At long horizons, the relation between leverage and asset volatility is reversed due to mean reversion in leverage. We incorporate these stochastic debt dynamics into structural models of credit risk, both standard diffusion models as well as newer models with stochastic volatility and jumps. Including stochastic debt gives more accurate predictions of credit spreads in both the cross-section and the time series.