Unified pricing model for corporate stocks and bonds under bankruptcy reorganization observation period and discrete bankruptcy time

报告题目：Unified pricing model for corporate stocks and bonds under bankruptcy reorganization observation period and discrete bankruptcy time

报告人：林建伟 教授 福建莆田学院

报告时间：2026年5月27日10：30

线下报告地点：红瓦楼726

报告内容简介: This paper studies the effects of a finite bankruptcy reorganization observation period and discrete bankruptcy timing on corporate asset pricing and operational strategies. Bankruptcy times are modeled as jump times of a Poisson process with intensity ρ, and a strategic debt-payment-based reorganization mechanism is incorporated. Within a structural credit risk framework, the problem is formulated as a nonlinear optimal stopping problem with a penalty term. Using Itô’s lemma and PDE methods, explicit solutions for equity, debt, and firm values are derived, along with the optimal bankruptcy boundary and coupon level. Numerical results show that, relative to the continuous bankruptcy model, discrete bankruptcy significantly raises the optimal bankruptcy boundary and coupon level. Although the impact on total firm value is limited, it substantially redistributes value between equity and debt: equity value decreases by about 6%, while debt value increases by about 51%. Moreover, extending the reorganization observation period further amplifies this divergence. The model provides insights into bankruptcy reorganization, capital structure optimization, and corporate security pricing under uncertain bankruptcy environments.

报告人简介: 林建伟，博士，教授，院长，主要从事应用数学和基础教育研究。莆田市数学学会会长、福建省数学学会理事、福建省新世纪优秀人才、福建省高校杰出青年科研人才、莆田市青年拔尖人才、莆田市先进教师。主持7项省级以上科研项目和教改项目，其中国家自然科学基金1项，省自然科学基金4项，福建省社会规划项目1项，主持省级教改项目1项。近年来在国内外知名学术期刊发表论文30多篇。

报告邀请人：马俊美