Corporate security prices in structural credit risk models with incomplete information

Frey, Rüdiger; Rösler, Lars; Lu, Dan

doi:10.1111/mafi.12176

Cited by 5 publications

(5 citation statements)

References 39 publications

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“…Another scholar who has studied the paradigm of corporate security and the possible threats that affect it can be considered McKenzie-Skene (2019), Hardman (2018), andFrey et al (2019).…”

Section: Analysis Of Recent Research/literature Reviewmentioning

confidence: 99%

The Development of Corporate Security in the Context of Countering Threats to Doing Business

Shyra

Salyga

Derii

et al. 2021

Business: Theory and Practice

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The principal purpose of the study is to determine the main parameters of corporate security development in the enterprise in the context of determining the level of impact of external and internal threats. The study uses survey methods on the main internal and external threats that may affect the corporate security of enterprises. The purpose of the practical part of our study is to determine the level of these threats to corporate security. The methodological basis of our study is the method of expert evaluation, which was conducted by interviewing people involved in the process of corporate security management of enterprises, as well as methods of the hierarchical organization using matrices of pair-wise comparisons. The major results of the study can be considered determining the hierarchy of influence of each of the threats affecting the corporate security of industrial enterprises, which will allow optimizing the security system and directing its activities to more pressing issues. Our method of the hierarchical organization of threats to corporate security does not take into account the specifics of the corporate security system of industrial enterprises in most European countries and now can be freely implemented mainly in industrial enterprises of Eastern Europe. The proposed method of assessing external and internal threats is currently optimized for the activities of industrial enterprises in Eastern Europe, including Ukraine and Poland. In the following, at an expansion of the given research, there is a possibility of introducting this methodology to the enterprises of other countries or other profiles. The relevance of this study lies in determining the level of threats that affect the corporate security of industrial enterprises. The methodology for assessing the level of influence of these threats is universal, therefore it can be used in the event of a change in the main threats, it is extremely relevant in the context of rapid globalization changes in the world.

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“…Another scholar who has studied the paradigm of corporate security and the possible threats that affect it can be considered McKenzie-Skene (2019), Hardman (2018), andFrey et al (2019).…”

Section: Analysis Of Recent Research/literature Reviewmentioning

confidence: 99%

The Development of Corporate Security in the Context of Countering Threats to Doing Business

Shyra

Salyga

Derii

et al. 2021

Business: Theory and Practice

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“…It is straightforward to extend Proposition 4.2 to the case of more than one observation time S or additional information as in Duffie and Lando (2001). The setting considered here is in some sense complementary to Frey, Rösler, and Lu (2015), where the authors consider news on the firm value arriving at the times S 1 , S 2 , . .…”

Section: Merton Model With Unknown Driftmentioning

confidence: 99%

“…It is straightforward to extend Proposition to the case of more than one observation time S or additional information as in Duffie and Lando (). The setting considered here is in some sense complementary to Frey, Rösler, and Lu (), where the authors consider news on the firm value arriving at the times

S_{1}, S_{2}, \dots

, while mainly working under the assumption that these times are the jump times from a Poisson process and, whence, not predictable. Remark In Merton's model, the Girsanov theorem yields that under any equivalent measure

Q^{'}

the firm value is again a geometric Brownian motion, but with possibly different drift

μ^{'}

.…”

Section: Structural Modeling Under Incomplete Informationmentioning

confidence: 99%

Dynamic Defaultable Term Structure Modeling Beyond the Intensity Paradigm

Gehmlich

Schmidt

2016

Mathematical Finance

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The two main approaches in credit risk are the structural approach pioneered by Merton and the reduced‐form framework proposed by Jarrow and Turnbull and by Artzner and Delbaen. The goal of this paper is to provide a unified view on both approaches. This is achieved by studying reduced‐form approaches under weak assumptions. In particular, we do not assume the global existence of a default intensity and allow default at fixed or predictable times, such as coupon payment dates, with positive probability. In this generalized framework, we study dynamic term structures prone to default risk following the forward‐rate approach proposed by Heath, Jarrow, and Morton. It turns out that previously considered models lead to arbitrage possibilities when default can happen at a predictable time. A suitable generalization of the forward‐rate approach contains an additional stochastic integral with atoms at predictable times and necessary and sufficient conditions for an appropriate no‐arbitrage condition are given. For efficient implementations, we develop a new class of affine models that do not satisfy the standard assumption of stochastic continuity. The chosen approach is intimately related to the theory of enlargement of filtrations, for which we provide an example by means of filtering theory where the Azéma supermartingale contains upward and downward jumps, both at predictable and totally inaccessible stopping times.

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“…The existing practice of ensuring corporate security is focused on solving current problems, that is, identifying losses of the financial and economic activities of the enterprise and property losses with the aim of eliminating them and preventing them in the future. In fact, this is a solution to the most complex current problems, it does not contribute to the formation of safe conditions in the medium and long term (Frey et al, 2019).…”

Section: Introductionmentioning

confidence: 99%

Providing the Corporate Security Strategy in the Management System of the Enterprise

Shyra

Shtyrov

Korchynskyy

et al. 2020

Business: Theory and Practice

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Three basic variants of the strategy for ensuring corporate security of an industrial enterprise (“survival”, “stabilization” and “support”) are proposed, the choice of one of which is associated with the results of assessing the level of corporate security. By applying the hierarchy analysis method for one of the studied enterprises, threats were identified that can have the most significant impact on the implementation of the basic strategy, therefore, they require the use of appropriate tactical countermeasures and make it possible to achieve strategic goals. Article theoretically generalizes and resolves the scientific and practical problem, which consists in developing the theoretical and methodological foundations for ensuring corporate security in the context of countering external and internal threats. In the process of research, methods of expert evaluation were used, as well as hierarchical ordering methodologies together with the use of a matrix of pairwise comparisons. It is substantiated that in conditions of high dynamics of changes in the environment of enterprise functioning, there is a need to predict changes in the influence of threats (strengthening, unchanged, weakening), combined into the groups “internal” and “external”. The calculations carried out provided the formation of the necessary information basis for planning and implementing tactical protective measures based on the increased influence in the conditions of the functioning of enterprises in Eastern Europe, these are precisely internal threats. The value of this study lies in the fact that such a system for assessing external and internal threats that affect the corporate security of industrial enterprises will allow to quickly and efficiently form a system to counter the impact of these threats.

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Corporate security prices in structural credit risk models with incomplete information

Cited by 5 publications

References 39 publications

The Development of Corporate Security in the Context of Countering Threats to Doing Business

The Development of Corporate Security in the Context of Countering Threats to Doing Business

Dynamic Defaultable Term Structure Modeling Beyond the Intensity Paradigm

Providing the Corporate Security Strategy in the Management System of the Enterprise

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