Corporate debt value under transition scenario uncertainty
构建了一个结构模型，用于定价受气候转型风险影响的公司发行的可违约债券，发现转型情景不确定性会提高碳税调整触发违约的可能性，且更快的情景信息发现会推高信用利差。
Abstract We develop a structural model for pricing a defaultable bond issued by a company subject to climate transition risk. We assume that the magnitude of the transition risk impacts depends on a transition scenario, which is initially unknown but is progressively revealed through the observation of the carbon tax trajectory. The bond price, credit spread, and optimal default/restructuring thresholds are then expressed as function of the firm's revenue level and the carbon tax. Numerical implementation of the resulting formulas is discussed and illustrated using real data. Our results show that under transition scenario uncertainty, carbon tax adjustments are more likely to trigger a default than when the true scenario is known because after each adjustment, the more environmentally stringent scenario becomes more likely. We also find that faster discovery of scenario information leads to higher credit spreads since better information allows the shareholders to optimize the timing of default, increasing the value of default option and decreasing the bond price. As an extension, we consider the situation where the company may invest into abatement technology, increasing the value of both the share price and the bond price.