英文标题：
《Pricing of debt and equity in a financial network with comonotonic
endowments》
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作者：
Tathagata Banerjee and Zachary Feinstein
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最新提交年份：
2021
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英文摘要：
In this paper we present formulas for the valuation of debt and equity of firms in a financial network under comonotonic endowments. We demonstrate that the comonotonic setting provides a lower bound and Jensen\'s inequality provides an upper bound to the price of debt under Eisenberg-Noe financial networks with bankruptcy costs. Such financial networks encode the interconnection of firms through debt claims. The proposed pricing formulas consider the realized, endogenous, recovery rate on debt claims. Special consideration is given to the CAPM setting in which firms invest in correlated portfolios so as to provide analytical stress testing formulas. We endogenously construct the comonotonic endowment setting from a equity maximizing standpoint with capital transfers. We conclude by, numerically, comparing the network valuation problem with two single firm baseline heuristics which can, respectively, approximate the price of debt and equity.
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中文摘要：
在本文中，我们提出了在共单调捐赠下金融网络中企业债务和权益的估值公式。我们证明了共单调环境提供了破产成本下艾森伯格-诺伊金融网络下债务价格的下界，詹森不平等提供了破产成本下债务价格的上界。这种金融网络通过债务债权对公司之间的相互联系进行编码。拟议的定价公式考虑了债权的已实现内生回收率。特别考虑了CAPM设置，即公司投资于相关投资组合，以提供分析压力测试公式。我们从资本转移的股权最大化角度内生性地构建了共同命名的捐赠环境。最后，我们将网络估值问题与两种分别可以近似债务和股权价格的单公司基线启发式方法进行了数值比较。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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