A closed-form solution to the risk-taking motivation of subordinated debtholders

• Tác giả: Yuval Heller, Alon Raviv, SharonPeleg-Lazar
• Ngôn ngữ: eng
• Ký hiệu phân loại: 658.1 Organization and finance
• Thông tin xuất bản: 2020
• Bộ sưu tập: Báo, Tạp chí
• ID: 164762

Tóm tắt

Black and Cox (1976) claim that the value of junior debt is increasing in asset risk when the firm's value is low. We show, using closed-form solution, that the junior debt's value is hump-shaped. This has interesting implications for the market-discipline role of banks' junior debt.