Português
Ciência_Iscte
Publications
Publication Detailed Description
Journal Title
Journal of Futures Markets
Year (definitive publication)
N/A
Language
English
Country
United States of America
More Information
Web of Science®
Scopus
Google Scholar
This publication is not indexed in Overton
Abstract
This article proposes a dynamic debt model where the face value of debt can change. In particular, our dynamic debt setting allows debt changes ruled by intensity processes that are linked to the firm value through the correlation between the stochastic processes. Analytical solutions are obtained, and we extend the proposed dynamic debt model to the case of subordinated debt. While empirical behaviors are emulated, the impacts of dynamic debt over the credit spreads are explored. In this model, the possibility of debt increases magnifies credit spreads and the reverse occurs for the possibility of debt decreases.
Acknowledgements
--
Keywords
Credit spreads,Dynamic debt,Intensity‐based model
Fields of Science and Technology Classification
- Economics and Business - Social Sciences
Funding Records
| Funding Reference | Funding Entity |
|---|---|
| UIDB/00315/2020 | Fundação para a Ciência e a Tecnologia |
