In a default corridor [Formula: see text] that the stock price can never enter, a deep out-of-the-money American put option replicates a pure credit contract (Carr and Wu, 2011, A Simple Robust Link between American Puts and Credit Protection, Review of Financial Studies 24, 473–505). Assuming discrete (one-period-ahead predictable) cash flows, we show that an endogenous credit-risk model generates, along with the default event, a default corridor at the cash-outflow dates, where [Formula: see text] is given by these outflows (i.e., debt service and negative earnings minus dividends). In this endogenous setting, however, the put replicating the credit contract is not American, but European. Specifically, the crucial assumption that determines an endogenous default corridor at the cash-outflow dates is that equityholders’ deep pockets absorb these outflows; that is, no equityholders’ fresh money, no endogenous corridor.

中文翻译：

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欧洲看跌期权、信用保护和内生违约

在股票价格永远无法进入的默认走廊[公式：见文本]中，深度虚值美式看跌期权复制了纯信用合约（Carr and Wu，2011，A Simple Robust Link between American Puts and信用保护，金融研究回顾 24, 473–505)。假设离散（提前一个时期可预测）现金流，我们表明内生信用风险模型与违约事件一起在现金流出日期产生违约走廊，其中[公式：见文本]由下式给出这些流出（即偿债和负收益减去股息）。然而，在这种内生环境中，复制信贷合约的看跌期权不是美国的，而是欧洲的。具体来说，在现金流出日期确定内生违约通道的关键假设是股东的财力雄厚吸收了这些流出；也就是说，没有股东的新鲜资金，没有内生走廊。