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• W1615721330 abstract "AbstractWe consider that the price of a firm follows a non linear stochasticdelay differential equation. We also assume that any claim value whosevalue depends on firm value and time follows a non linear stochastic delaydifferential equation. Using self-financed strategy and replication we areable to derive a random partial differential equation (RPDE) satisfied byany corporate claim whose value is a function of firm value and time.Under specific final and boundary conditions, we solve the RPDE for thedebt value and loan guarantees within a single period and homogeneousclass of debt. Keywords: Corporate claim, Levered firm, Debt security, Loan guarantees. 1 INTRODUCTION The valuation of corporateclaims has alwaysbeen an important topic for financeresearchers. On one hand, bond issuers would like to know what factors affectprices and yields, as yields represent their cost of capital. On the other hand,prospective bond buyers are interested in knowing how sensitive yields andyield spreads are to various relevant factors (e.g. leverage) as they developinvestment strategies. Due to the significant growth of the credit derivativesmarket, the interest in corporate claims values models and risk structure hasrecently increased. This growth is explained by the need of better predictionmodels to fit the real market data.Corporate bankruptcy is central to the theory of the firm. A firm is gen-erally considered bankrupt when it cannot meet a current payment on a debtobligation. In this case the equityholders lose all claims on the firm, and theremaining loss which is the difference between the face value of the fixed claimsand the market value of the firm, is supported by the debtholders. This is the" @default.
• W1615721330 created "2016-06-24" @default.
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• W1615721330 date "2012-10-01" @default.
• W1615721330 modified "2023-09-26" @default.
• W1615721330 title "A STOCHASTIC DELAY MODEL FOR PRICING DEBT AND LOAN GUARANTEES: Theoretical results" @default.
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