论文部分内容阅读
考虑企业通过支付担保公司固定担保费和部分股权而获取银行担保贷款的契约设计以及债务企业的资本结构。假设债务企业现金流服从双指数跳过程,显式给出了企业资本和混合担保成本的均衡价格以及混合担保下企业的最优资本结构。结果表明:最优融资规模随着企业平均增长速度、现金流跳跃变动频率上升单调增加,但随着扩散波动率上升单调递减;在最优资本结构下,担保公司的股权份额关于企业平均增长率、跳跃变动频率的上升单调增加,但是关于扩散波动率呈U型关系;混合担保显著减弱了企业风险转移动机;在给定的混合担保模式下,较高的固定担保费率增加了企业风险转移动机,缓解了债务积压。
Consider the contractual design of a firm that obtains a bank guarantee loan by paying a fixed guarantee fee and a portion of the equity of the guarantee company, and the capital structure of the debt firm. Suppose that the cash flow of debt enterprise obeys the double exponential jump process, the equilibrium price of firm capital and hybrid guarantee cost and the optimal capital structure of firm under mixed guarantee are given explicitly. The results show that the optimal financing scale increases with the average growth rate of enterprises and the frequency of cash flow jump increases monotonically but decreases monotonically with the rise of diffusion volatility. Under the optimal capital structure, the shareholding of guarantee company is about the average growth rate of enterprises , The jump in the frequency of change has a monotonous increase, but the diffusion volatility has a U-shaped relationship; the hybrid guarantee significantly reduces the motivation of the enterprise risk transfer; and in the given hybrid guarantee mode, the higher fixed guarantee rate increases the enterprise risk transfer Motivation, easing backlog of debt.