Debt dynamics and credit risk

• 成果类型: Article
• 署名作者: Feldhutter, Peter; Schaefer, Stephen
• 署名单位: Copenhagen Business School; University of London; London Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.06.007
• 发表日期: 2023
• 页码: 497-535
• 关键词: STRUCTURAL MODELS; Debt levels; Default rates; Default boundary; Credit risk

摘要

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.& COPY; 2023 The Authors. Published by Elsevier B.V.This is an open access article under the CC BY license ( http://creativecommons.org/licenses/by/4.0/ )