Repeated dilution of diffusely held debt

Debt with many creditors is analyzed in a continuous-time pricing model of the levered firm in the presence of corporate taxes. We specifically allow for debtor opportunism in form of repeated strategic renegotiation offers and default threats. Dispersed creditors will only accept coupon concessions in exchange for guaranteed liquidation rights, e.g. collateral. The ex ante optimal debt contract is secured with assets which gradually become worthless as the firm approaches the preferred liquidation conditions, in order to allow for sufficient, but delayed renegotiability. Compared with single creditor debt, dispersed debt offers a larger debt capacity, and it is preferable ex-ante if the value of collateralizable assets is then reduced. Our model can explain credit risk premia in excess of those supported by a single creditor model with opportunistic renegotiation.debt reorganization; multiple creditors; priority of claims; debt pricing

Default risk in asset pricing

This paper provides an analytical solution for the impact of default risk on the valuation of realistically intricate claims on time dependent uncertain income streams. Its modular structure allows us to adjust the set of assumptions concerning the event of default to the specificity of the environment which surrounds the asset. The importance of such a flexibility is illustrated in the context of corporate debt, examining the simplest case of finite lived coupon paying corporate bonds with principal repayment at maturity. The magnitude of risk premia, as well as the term structure of credit spreads, are not surprisingly largely determined by the assumed default scenario

Default risk in asset pricing

This paper provides an analytical solution for the impact of default risk on the valuation of realistically intricate claims on time dependent uncertain income streams. Its modular structure allows us to adjust the set of assumptions concerning the event of default to the specificity of the environment which surrounds the asset. The importance of such a flexibility is illustrated in the context of corporate debt, examining the simplest case of finite lived coupon paying corporate bonds with principal repayment at maturity. The magnitude of risk premia, as well as the term structure of credit spreads, are not surprisingly largely determined by the assumed default scenario.asset pricing; default risk; bankruptcy

Corporate walkout decisions and the value of default

We present a continuous-time asset pricing model of the levered firm where shareholders select not only the timing but also the form of control transfers. Owners are allowed to walk out of the firm either by (i) defaulting on their debt obligations or (ii) selling the firm with its debt obligations, as in a corporation sale. The structural model relates shareholders' ex-post choice to both technological and financial factors. We obtain that the likelihood of default being chosen instead of a corporation sale increases with (i) the degree of leverage displayed by the firm and (ii) its technological supremacy in the industry. Moreover, whereas default necessarily involves inefficient timing of ownership transfers, corporation sales eliminate agency costs and achieve the correct allocation of resources. By ignoring such direct sales of ownership rights, existing defaultable bond pricing models thus often exaggerate risk premia and underestimate the borrowing ability (debt capacity) of firms

Entrepreneurial Spawning and Firm Characteristics

We analyze the implications of entrepreneurial spawning for a variety of firm characteristics such as size, focus, profitability, and innovativeness. We examine the dynamics of spawning over time. Our model accounts for much of the empirical evidence relating to the relation between spawning and firm characteristics. Firms that have higher patent quality spawn more, as do firms that have higher knowhow. Older firms spawn less, they are more diversified and less profitable. Spawning frequency, focus, and profitability are positively related where spawning is driven by the value of organizational fit; they are negatively related with firm size

The Role of Knowhow Acquisition in the Formation and Duration of Joint Ventures

We analyze the role of knowhow acquisition in the formation and duration of joint ventures. Two parties become partners in a joint venture to benefit from each other’s knowhow. Joint operations provide each party with the opportunity to acquire part of its partner’s knowhow. A party’s increased knowhow provides the impetus for the dissolution of the joint venture. We characterize the conditions under which dissolution takes place, identify the party that buys out its partner, determine the time to dissolution, establish its comparative statics, and examine the implications of knowledge acquisition for the desirability of joint venture formation

Retour d'expérience sur le MOOC pratique du dimensionnement en mécanique

L'objet de cette communication est de proposer un retour d'expérience sur l'un des premiers MOOC dans le domaine de la mécanique proposé sur la plateforme FUN. Nous en présenterons les principales caractéristiques et reviendrons sur les difficultés de la genèse et de la construction de ce MOOC. Une analyse de la première mise en ligne de ce MOOC (janvier - avril 2015) sera également proposée.    Conformément à la demande exprimé par les reviewers, nous tenterons (avec le peu d'expérience que nous avons) de donner lors de la présentation orale quelques conseils à suivre pour monter et animer un MOOC

Scope for Credit Risk Diversification

This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic risk and the nature of exposure or firm heterogeneity. We derive fat-tailed correlated loss distributions arising from Gaussian risk factors and explore the potential for risk diversification. Where possible the results are generalised to non-Gaussian distributions. The theoretical results indicate that if the firm parameters are heterogeneous but come from a common distribution, for sufficiently large portfolios there is no scope for further risk reduction through active portfolio management. However, if the firm parameters come from different distributions, then further risk reduction is possible by changing the portfolio weights. In either case, neglecting parameter heterogeneity can lead to underestimation of expected losses. But, once expected losses are controlled for, neglecting parameter heterogeneity can lead to overestimation of risk, whether measured by unexpected loss or value-at-risk

The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification

In theory the potential for credit risk diversification for banks could be substantial. Portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with each other and the degree of dependence individual firms have to the different types of risk factors. We propose a model for exploring these dimensions of credit risk diversification: across industry sectors and across different countries or regions. We find that full firm-level parameter heterogeneity matters a great deal for capturing differences in simulated credit loss distributions. Imposing homogeneity results in overly skewed and fat-tailed loss distributions. These differences become more pronounced in the presence of systematic risk factor shocks: increased parameter heterogeneity greatly reduces shock sensitivity. Allowing for regional parameter heterogeneity seems to better approximate the loss distributions generated by the fully heterogeneous model than allowing just for industry heterogeneity. The regional model also exhibits less shock sensitivity

The Antinociceptive and Anti-Inflammatory Activities of Caulerpin, a Bisindole Alkaloid Isolated from Seaweeds of the Genus Caulerpa

The antinociceptive and anti-inflammatory activity of caulerpin was investigated. This bisindole alkaloid was isolated from the lipoid extract of Caulerpa racemosa and its structure was identified by spectroscopic methods, including IR and NMR techniques. The pharmacological assays used were the writhing and the hot plate tests, the formalin-induced pain, the capsaicin-induced ear edema and the carrageenan-induced peritonitis. Caulerpin was given orally at a concentration of 100 μmol/kg. In the abdominal constriction test caulerpin showed reduction in the acetic acid-induced nociception at 0.0945 μmol (0.0103–1.0984) and for dypirone it was 0.0426 μmol (0.0092–0.1972). In the hot plate test in vivo the inhibition of nociception by caulerpin (100 μmol/kg, p.o.) was also favorable. This result suggests that this compound exhibits a central activity, without changing the motor activity (seen in the rotarod test). Caulerpin (100 μmol/kg, p.o.) reduced the formalin effects in both phases by 35.4% and 45.6%, respectively. The possible anti-inflammatory activity observed in the second phase in the formalin test of caulerpin (100 μmol/kg, p.o.) was confirmed on the capsaicin-induced ear edema model, where an inhibition of 55.8% was presented. Indeed, it was also observed in the carrageenan-induced peritonitis that caulerpin (100 μmol/kg, p.o.) exhibited anti-inflammatory activity, reducing significantly the number of recruit cells by 48.3%. Pharmacological studies are continuing in order to characterize the mechanism(s) responsible for the antinociceptive and anti-inflammatory actions and also to identify other active principles present in Caulerpa racemosa