CAPPONI, AGOSTINO; CVITANIĆ, JAKŠA - In: International Journal of Theoretical and Applied … 12 (2009) 01, pp. 83-112
We propose a structural model for the valuation of defaultable securities of a firm which models the effect of deliberate misreporting done by insiders in the firm and unobserved by others. We derive exact formulas for equity and bond prices and approximate expressions for the conditional...