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Rethinking Dynamic Capital Structure Models with Roll-Over Debt

  • Décamps, Jean-Paul
  • Villeneuve, Stéphane

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Paper provided by Institut d'Économie Industrielle (IDEI), Toulouse in its series IDEI Working Papers with number 528.

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Date of creation: Nov 2009
Date of revision: Nov 2011
Publication status: Published in Mathematical Finance, vol.�24, n°1, janvier 2014, p.�66-96.
Handle: RePEc:ide:wpaper:7519
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  1. Hayne Leland., 1994. "Bond Prices, Yield Spreads, and Optimal Capital Structure with Default Risk," Research Program in Finance Working Papers RPF-240, University of California at Berkeley.
  2. Leland, Hayne E, 1994. " Corporate Debt Value, Bond Covenants, and Optimal Capital Structure," Journal of Finance, American Finance Association, vol. 49(4), pages 1213-52, September.
  3. Hayne E. Leland and Klaus Bjerre Toft., 1995. "Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads," Research Program in Finance Working Papers RPF-259, University of California at Berkeley.
  4. Dayanik, Savas & Karatzas, Ioannis, 2003. "On the optimal stopping problem for one-dimensional diffusions," Stochastic Processes and their Applications, Elsevier, vol. 107(2), pages 173-212, October.
  5. Hackbarth, Dirk & Miao, Jianjun & Morellec, Erwan, 2006. "Capital structure, credit risk, and macroeconomic conditions," Journal of Financial Economics, Elsevier, vol. 82(3), pages 519-550, December.
  6. Jan ERICSSON & Olivier RENAULT, 2001. "Liquidity and Credit Risk," FAME Research Paper Series rp42, International Center for Financial Asset Management and Engineering.
  7. Duffie, Darrell & Lando, David, 2001. "Term Structures of Credit Spreads with Incomplete Accounting Information," Econometrica, Econometric Society, vol. 69(3), pages 633-64, May.
  8. Hayne E. Leland., 1998. "Agency Costs, Risk Management, and Capital Structure," Research Program in Finance Working Papers RPF-278, University of California at Berkeley.
  9. Fan, Hua & Sundaresan, Suresh M, 2000. "Debt Valuation, Renegotiation, and Optimal Dividend Policy," Review of Financial Studies, Society for Financial Studies, vol. 13(4), pages 1057-99.
  10. Nan Chen & S. G. Kou, 2009. "Credit Spreads, Optimal Capital Structure, And Implied Volatility With Endogenous Default And Jump Risk," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 343-378.
  11. A. Kyprianou & B. Surya, 2007. "Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels," Finance and Stochastics, Springer, vol. 11(1), pages 131-152, January.
  12. John C. Harsanyi & Reinhard Selten, 1988. "A General Theory of Equilibrium Selection in Games," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262582384, June.
  13. Goldstein, Robert & Ju, Nengjiu & Leland, Hayne, 2001. "An EBIT-Based Model of Dynamic Capital Structure," The Journal of Business, University of Chicago Press, vol. 74(4), pages 483-512, October.
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