haku: @author Collin-Dufresne, P. / yhteensä: 5
viite: 4 / 5
| Tekijä: | Collin-Dufresne, P. Goldstein, R.S. |
| Otsikko: | Do credit spreads reflect stationary leverage ratios? |
| Lehti: | Journal of Finance
2001 : OCT, VOL. 56:5, p. 1929-1957 |
| Asiasana: | CAPITAL STRUCTURE OF COMPANIES GEARING STOCHASTIC PROCESSES |
| Kieli: | eng |
| Tiivistelmä: | Most structural models of default preclude the firm from altering its capital structure. In practice, firms adjust outstanding debt levels in response to changes in firm value, thus generating mean-reverting leverage ratios. The authors propose a structural model of default with stochastic interest rates that captures this mean reversion. |
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