Le processus de défaillance d’une entreprise, lorsqu’il résulte d’une dégradation de ses performances économiques est affecté par les règles de partage qui prendront place en cas de liquidation. Il existe notamment , en cas de dégradation continue des résultats, des incitations...

This paper provides an analytical solution for the impact of default risk on the valuation of realistically intricate claims on time dependent uncertain income streams. Its modular structure allows us to adjust the set of assumptions concerning the event of default to the specificity of the...

This paper studies the design and valuation of debt contracts in a general dynamic setting under uncertainty. By incorporating some insight of the recent corporate finance literature into a valuation framework, we obtain a model which seems promising for the empirical study of pricing of risky...

This paper examines the pricing and efficiency implications of debt exchange offers. The continuous-time model employed yields simple asset pricing formulae as well as closed-form solutions for the parameters characterising optimal debt exchanges offers. Polar cases are examined in which the...

This paper empirically compares a variety of firm-value-based models of contingent claims. We formulate a general model which takes the perpetual coupon bond models of Merton (1974), Leland (1994) and Anderson, Sundaresan and Tychon (1996), as well as some immediate generalizations thereof, as...

We study the numerical properties of a class of models recently introduced to calculate the values of corporate bonds and other corporate liabilities. Starting from a discrete-time extensive form game representing the consequences of financial distress, these ``strategic contingent claims...

This paper studies the valuation of corporate debt contracts in an intertemporal setting under uncertainty taking into account the possibility that the bondholder will be unable to sell his asset. The model considers a coupon paying debt contract with default risk in a binomial setting. Randomly...

This paper shows that the diverging results obtained in the literature on the firm size-growth relationship can be reconciled in a very general theoretical framework featuring firm-level heterogeneity and investment decision. Three main elements determine the nature and the intensity of the...

This article analyzes a simple two period model where two homogenous manufacturers compete to supply a monopolist retailer. We show that if manufacturers are vulnerable (i.e if they are likely to exit the market in case of insufficient orders in the first period) they may exploit their threat of...

In this note the decision problem of a strategic firm in a general equilibrium setting is analyzed. It is shown that a problem of unanimity arises when such a firm has many shareholders, an that a well known criterion used in the case of market incompleteness can be quite interestingly...