Leasing and credit risk

• 成果类型: Article
• 署名作者: Grenadier, SR
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(96)00882-3
• 发表日期: 1996
• 页码: 333-364
• 关键词: Leasing; options; Credit risk

摘要

Despite empirical evidence pointing to a strong similarity between lease contracts and junk bonds, the theoretical modeling of equilibrium lease determination has been confined primarily to default-free leases. This paper provides a unified framework for determining the equilibrium credit spread on leases subject to default risk. The model is flexible enough to he applied to a wide variety of rear-world leasing structures, including security deposits, required up-front prepayments, embedded lease options, leases indexed to use, and lease credit insurance contracts.