融资流动性、债务期限结构与债权人信念：一个外生动态债务运行模型
Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: An Exogenous Dynamic Debt Run Model
摘要：
我们提出了一个统一的结构性信用风险模型，包括破产和非流动性风险，以研究如何企业的违约概率取决于流动性风险与其融资结构。我们假设公司主要通过发行短期和长期债券为其风险资产融资。短期债务可以有一个离散的或更现实的交错期限结构。在短期债务展期日，债权人面临动态协调问题。我们证明了一个独特的阈值策略（即，债务运行障碍）存在，以供短期债权人决定何时撤回其资金，并且该策略与具有控制约束的非标准最优停时问题的解决方案密切相关。我们将总的信用风险分解为一个破产组成部分和一个非流动性组成部分的基础上，这样一个内生的债务运行障碍加上一个外生的破产障碍。
英文摘要：
We propose a unified structural credit risk model incorporating both insolvency and illiquidity risks, in order to investigate how a firm's default probability depends on the liquidity risk associated with its financing structure. We assume the firm finances its risky assets by mainly issuing short- and long-term debt. Short-term debt can have either a discrete or a more realistic staggered tenor structure. At rollover dates of short-term debt, creditors face a dynamic coordination problem. We show that a unique threshold strategy (i.e., a debt run barrier) exists for short-term creditors to decide when to withdraw their funding, and this strategy is closely related to the solution of a non-standard optimal stopping time problem with control constraints. We decompose the total credit risk into an insolvency component and an illiquidity component based on such an endogenous debt run barrier together with an exogenous insolvency barrier.
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