标题： 无套利定价下的交叉所有权 显示英文标题

标题： No-arbitrage pricing under cross-ownership

摘要： 我们将Merton的资产估值方法推广到存在股权和负债交叉持有的多个金融机构系统中。 负债可能包括债务和衍生品，且具有不同的优先级。 我们推导了在无套利条件下的股权和回收请求的价格方程。 证明了一个存在性结果和一个唯一性结果。 提供了示例以及同时计算所有无套利价格的算法。 讨论了一个关于外部持有请求的公司集团资本结构无关性的结果，以及由交叉持有引起的财务杠杆和系统性风险。 显示英文摘要

摘要： We generalize Merton's asset valuation approach to systems of multiple financial firms where cross-ownership of equities and liabilities is present. The liabilities, which may include debts and derivatives, can be of differing seniority. We derive equations for the prices of equities and recovery claims under no-arbitrage. An existence result and a uniqueness result are proven. Examples and an algorithm for the simultaneous calculation of all no-arbitrage prices are provided. A result on capital structure irrelevance for groups of firms regarding externally held claims is discussed, as well as financial leverage and systemic risk caused by cross-ownership.