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All Journal Jurnal Manajemen Teknologi Journal of Business and Management The Indonesian Journal of Business Administration The Asian Journal of Technology Management (AJTM)
Budhi Arta Surya
School Of Business And Management, Institut Teknologi Bandung, Indonesia
Computer Science & IT Decision Sciences, Operations Research & Management

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Journal : The Asian Journal of Technology Management (AJTM)

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Term Structure of Credit Spreads of A Firm When Its Underlying Assets are Discontinuous Surya, Budhi Arta
The Asian Journal of Technology Management (AJTM) Vol 3, No 2 (2010)
Publisher : School of Business and Management Institut Teknologi Bandung

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Abstract

We revisit the previous works of Leland [12], Leland and Toft [11] andHilberink and Rogers [7] on optimal capital structure and show that thecredit spreads of short-maturity corporate bonds can have nonzero valueswhen the underlying of the firm’s assets value has downward jumps. We givean analytical treatment of this fact under a general Levy process and discusssome numerical examples under pure jump processes.Keywords: Optimal capital structure, credit risk, term structure of creditspread
Co-Authors Adam Ultra Sjahbunan Adrian Munich Aliananda Lubis Bilfian Sugiana Dwi Kurnia Putri Gita Denaya Rizkianto Halley Miraj Danar, Halley Miraj Ikhsan Armand Muhammad Mulham Anugrah Mubarak Nasha Pinasthika Nisham Fiksriyoso Teguh Gunawan Nasher