A Theoretical Model for the Term Structure of Corporate Credit based on Competitive Advantage

被引：0

作者：

Rajaratnam, Bala ^{[1
,2
]}

Rajaratnam, Kanshukan ^{[3
]}

Rajaratnam, Myuran ^{[4
]}

机构：

[1] Stanford Univ, Dept Stat, Stanford, CA 94305 USA

[2] Stanford Univ, Financial & Risk Modeling Inst, Stanford, CA 94305 USA

[3] Univ Cape Town, Dept Finance Tax & African Collaborat Quantitat F, Rondebosch, South Africa

[4] Univ Witwatersrand, Sch Econ & Business Sci, ZA-2050 Johannesburg, South Africa

来源：

EUROPEAN FINANCIAL MANAGEMENT | 2017年 / 23卷 / 02期

基金：

美国国家科学基金会;

关键词：

term structure; corporate credit; competitive advantage; value-investing; credit spread puzzle; SPREAD; RISK;

D O I：

10.1111/eufm.12095

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We derive the term structure of corporate credit based on the competitive advantage of a firm and the tax deductibility of its interest payments. We consider the competitive advantage enjoyed by the firm as the central tenet of our model and capture its eventual demise in a probabilistic manner. We compensate the bond holder for expected losses and then provide an additional spread based on the tax deductibility of interest payments. Our simple intuitive model appears to overcome some of the well-known shortcomings of structural credit risk models.

引用

页码：183 / 210

页数：28

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