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Optimal Debt Exchange Offers

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Abstract

This paper examines the pricing and efficiency implications of debt exchange offers. The continuous-time model employed yields simple asset pricing formulae as well as closed-form solutions for the parameters characterising optimal debt exchanges offers. Polar cases are examined in which the debt is either held by a single bank or by many bond-holders, that is respectively private or public debt. A comparative analysis of the efficiency properties of each form of debt yields the interesting finding that under the often criticised exit-consent provision, optimal public debt exchange offers are ex-ante the most efficient.
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Dates and versions

hal-00607533 , version 1 (09-07-2011)

Identifiers

  • HAL Id : hal-00607533 , version 1

Cite

Pierre Mella-Barral. Optimal Debt Exchange Offers. 1995. ⟨hal-00607533⟩

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