Optimal Design of Corporate Market Debt Programmes in the Presence of Interest-Rate and Inflation Risks
This paper provides a joint quantitative analysis of capital structure decisions and debt structure decisions within a standard continuous-time capital-structure model.
Author(s):
Professor of finance at EDHEC Business School and scientific director of EDHEC-Risk Institute.
Senior research engineer, EDHEC-Risk Institute
In the presence of interest rate and inflation risks, we are able to obtain quasiclosed form expressions for the price of various forms of indexed- and non-indexed bonds issued by the firm, which allows us to generate computationally efficient estimates for the optimal debt structure. Our analysis shows that debt-structure decisions have a strong impact on capital structure decisions. It also suggests that substantial increases in firm value can be generated by optimal debt structures.
| Type: | EDHEC Publication |
|---|---|
| Date: | le 28/03/2011 |
| Research Cluster : | Finance |
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