NO-ARBITRAGE PRICING UNDER SYSTEMIC RISK: ACCOUNTING FOR CROSS-OWNERSHIP

被引：23

作者：

Fischer, Tom ^{[1
]}

机构：

[1] Univ Wurzburg, D-97074 Wurzburg, Germany

来源：

MATHEMATICAL FINANCE | 2014年 / 24卷 / 01期

关键词：

absolute priority rule; capital structure irrelevance; contingent claims analysis; counterparty risk; credit risk; cross-holdings; cross-ownership; derivatives pricing; financial contagion; leverage; Merton model; multi-asset valuation; no-arbitrage pricing; ownership structure; priority of claims; reciprocal ownership; seniority of debt; structural models; systemic risk; CORPORATE-DEBT; STOCK;

D O I：

10.1111/j.1467-9965.2012.00526.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We generalize Merton's asset valuation approach to systems of multiple financial firms where cross-ownership of equities and liabilities is present. The liabilities, which may include debts and derivatives, can be of differing seniority. We derive equations for the prices of equities and recovery claims under no-arbitrage. An existence result and a uniqueness result are proven. Examples and an algorithm for the simultaneous calculation of all no-arbitrage prices are provided. A result on capital structure irrelevance for groups of firms regarding externally held claims is discussed, as well as financial leverage and systemic risk caused by cross-ownership.

引用

页码：97 / 124

页数：28

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[4]

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