A structural model of pricing Write-Down (hereafter WD) bonds under imperfect information has been developed to investigate the effect of WD bonds issuance on credit risk. Information is not only delayed but also asymmetrically distributed between managers and outside investors. We derive analytical solutions for corporate securities prices and find the issuance of WD bonds could significantly improve firm value via reducing bankruptcy cost. Our numerical results further demonstrate that the WD bonds issuance increases corporate risk tolerance and reduces the risk of bankruptcy and credit spreads under imperfect information.

中文翻译：

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减记债券，信用风险和不完善的信息

已经开发了一种在不完全信息下对冲销（以下简称WD）债券定价的结构模型，以研究WD债券发行对信用风险的影响。信息不仅被延迟，而且在管理者和外部投资者之间分布不对称。我们得出了公司证券价格的分析解决方案，并发现WD债券的发行可以通过降低破产成本来显着提高公司价值。我们的数值结果进一步表明，在信息不完善的情况下，WD债券的发行提高了公司的风险承受能力，并降低了破产和信用利差的风险。