Economic trends in 1992/93

Economic trends in 1992/93Western industrialised countries: Economic expansion at a moderate rate     

Bankruptcy, Counterparty Risk, and Contagion

This paper provides a unifying framework for the modeling ofvarious types of credit risks such as contagion effects. Weargue that Markov chains can efficiently be used to tackle theseproblems. However, our approach is not limited to pricing problemswith contagion. On the theoretical side, we derive pricing formulasfor three building blocks that are generalizations of contingentclaims studied in Lando (1998). These claims can be thoughtof as atoms forming the basis for all credit risk payments.Furthermore, we demonstrate that, in general, all contingentclaims exposed to credit risk satisfy a system of partial differentialequations. This is the key result to calculate prices of creditrisk claims explicitly and efficiently.     

Human Capital,Bankruptcy, and Capital Structure

We derive the optimal labor contract for a levered firm in an economy with perfectly competitive capital and labor markets. Employees become entrenched under this contract and so face large human costs of bankruptcy. The firm's optimal capital structure therefore depends on the trade‐off between these human costs and the tax benefits of debt. Optimal debt levels consistent with those observed in practice emerge without relying on frictions such as moral hazard or asymmetric information. Consistent with empirical evidence, persistent idiosyncratic differences in leverage across firms also result. In addition, wages should have explanatory power for firm leverage.     

Bankruptcy risk,costs and corporate diversification

This paper studies the impact of diversification on firms that file for Chapter 11 bankruptcy. Prior research suggests that diversification affects both the probability and costs of distress. Treating bankruptcy as a special case of distress, we find that diversification reduces the likelihood of bankruptcy and liquidation in Chapter 11, which is consistent with the coinsurance hypothesis. However, we observe higher bankruptcy costs as measured by time spent in Chapter 11 and inefficient segment investment for diversified firms. Our evidence is consistent with the idea that diversification provides benefits to managers in terms of job security rather than to firms. Our findings may help firms to make diversification decisions and creditors determine lending policies toward different forms of organizations.     

个人破产立法调整的效果:美国经验及对我国的启示

简要介绍了美国个人破产立法的历史,指出自1978年以来几次重要修改的预期目的和可检验含义。运用美国个人破产数据进行的统计比较分析表明,个人破产立法修改的预期目的基本达到。最后,指出美国个人破产立法修改对我国未来可能的个人破产立法内容的借鉴意义。     

Active Investors, LBOs, and the Privatization of Bankruptcy

In this testimony to the House Ways and Means Committee on February 1, 1989 (when LBOs and other highly leveraged transactions were under fierce attack by politicians and the media), the author identified “LBO associations” such as KKR and Forstmann Little as a valuable innovation in organizational form—a new model of management and governance that was competing directly with the headquarters of large public corporations, especially conglomerates. In the author's words, LBOs “substitute incentives provided by compensation and ownership plans for the direct monitoring and often centralized decision-making in the typical corporate bureaucracy.” In illustrating his point, the author noted that whereas the CEOs of U.S. companies during the '70s and '80s saw their personal wealth go up by only about $3 for every $1,000 increase in firm value, the average CEO in an LBO experienced a change of $64 per $1,000—and for the partners of the LBO firm, the closest equivalent to a conglomerate CEO, the change was about $200 per $1,000. Based on the performance of the first wave of LBOs to return to public ownership, such dramatic concentrations of equity ownership appear to have produced large gains in operating efficiency. (And since the author's testimony, these findings have been confirmed by subsequent studies of later periods and in other countries.) The heavy debt loads in these transactions, besides making possible the concentration of equity ownership, also perform an important control function, intensifying the search for efficiencies and discouraging reinvestment in low-return projects. For those LBOs that have trouble servicing their debt loads, the author argues that the costs of insolvency should turn out to be significantly lower than for traditional public companies because LBOs provide strong incentives to keep the process of reorganizing troubled companies out of the bankruptcy court (a prediction that, although proving wrong in the early‘90s, has turned out to be true of the most recent wave of private equity deals).     

Bankruptcy, Warrants, and State-Contingent Changes in the Ownership of Control

We consider the design of securities that govern the distribution of cash flows and control rights for an investment project. An entrepreneur, endowed with managerial talent, contracts with an outside investor for required capital. Optimal contracts stipulate that the ownership of control and the distribution of cash flows are specified on a state contingent basis to manage the distortions that develop from the use of outside financing and so make the best use of the advantage in project management enjoyed by insiders. Our results illustrate that the use of warrants and convertible securities, which transfer control of the firm to outsiders in good states, and bankruptcy, which transfers control to outsiders in bad states, are related features of optimal contracts. Our model also indicates that firms will benefit from direct access to two types of bankruptcy processes resembling Chapter 7 and Chapter 11 (including deviations from absolute priority) of the bankruptcy code. This results differs from observed practices since stockholders cannot waive their rights for protection under Chapter 11. We show that when direct access to Chapter 7 is highly valuable, market participants have found clever ways to obtain it.Journal of Economic LiteratureClassification Numbers: G32 and G33.     

节税收益、破产成本与最优资本结构

本文在正确定义债务的节税收益和破产成本的基础上,运用实物期权定义并定量描述了破产成本,进而建立了确定最优资本结构的ZZ杠杆模型。将自变量的典型值代入模型得出的最优债务比率与以往的实际调查数据非常接近,从而使一些长期难以解释的"资本结构之谜",例如"财务保守行为"等得到了一个合理的解释。     

The Sickness Experience of the Valkyrian Insurance Company, 1929-48

Abstract

1. Introduction.     

国际会计师联合会成立后的头15年:1977-1992

国际会计师联合会(IFAC)1992年年度报告显示,它成立后的15年见证了一系列令人难忘的成就,其中,1992年IFAC的会员已囊括了78个国家的代表了全球100多万会计人员的106个会计职业团体,     

保险公司破产的经济影响与监管研究:来自美国的经验及启示

基于美国保险业的破产数据和文献资料,分析阐述了美国保险业的破产概况和保险公司破产的经济影响,剖析了保险公司的破产原因,考察了美国的保险监管对破产保险公司的管理处置措施,最后对我国保险监管提出了对策建议。     

Optimal Capital Structure,Endogenous Bankruptcy,and the Term Structure of Credit Spreads

This article examines the optimal capital structure of a firm that can choose both the amount and maturity of its debt. Bankruptcy is determined endogenously rather than by the imposition of a positive net worth condition or by a cash flow constraint. The results extend Leland's (1994a) closed-form results to a much richer class of possible debt structures and permit study of the optimal maturity of debt as well as the optimal amount of debt. The model predicts leverage, credit spreads, default rates, and writedowns, which accord quite closely with historical averages. While short term debt does not exploit tax benefits as completely as long term debt, it is more likely to provide incentive compatibility between debt holders and equity holders. Short term debt reduces or eliminates “asset substitution” agency costs. The tax advantage of debt must be balanced against bankruptcy and agency costs in determining the optimal maturity of the capital structure. The model predicts differently shaped term structures of credit spreads for different levels of risk. These term structures are similar to those found empirically by Sarig and Warga (1989). Our results have important implications for bond portfolio management. In general, Macaulay duration dramatically overstates true duration of risky debt, which may be negative for “junk” bonds. Furthermore, the “convexity” of bond prices can become “concavity.”