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Funding liquidity, debt tenor structure, and creditor’s belief: an exogenous dynamic debt run model
16 references·2 citing·33 second hop
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*11,052 cited
  • 1983Bank Runs, Deposit Insurance, and Liquidity9,689 cited
  • 2009Deciphering the Liquidity and Credit Crunch 2007–20083,603 cited
  • 1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure2,732 cited
  • 2008Liquidity and leverage2,557 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,389 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,099 cited
  • 1996Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads1,962 cited
  • 1998Agency Costs, Risk Management, and Capital Structure1,495 cited
  • 1980Controlled Diffusion Processes1,313 cited
  • 2005Demand–Deposit Contracts and the Probability of Bank Runs1,206 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 2008Deciphering the Liquidity and Credit Crunch 2007-081,026 cited
  • 2010Global Games: Theory and Applications934 cited
  • 2011Rollover Risk and Credit Risk654 cited
  • 2006Liquidity and Credit Risk

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452 cited

Cited by

  • 2016Optimal switching at Poisson random intervention times17 cited
  • 2015Stochastic Control Representations for Penalized Backward Stochastic Differential Equations15 cited