Implicit guarantee protection and rigid payment are two typical forms of the Chinese-style compensation expectations. Based on the afore-mentioned compensation expectations, the article personifies the financing demand side into a borrower and assumes that its asset value is subject to random movement. In the context of the structural model, the article makes a dynamic dependent characterization for the expected solvency and pricing derivation for the debt financing cost of borrowers, and discusses the structural impact of compensation expectations on the debt financing cost of borrowers with high and low risk status. Series of numerical calculations indicate creditors tend to " underestimate” the debt financing cost of high-risk borrowers but " overestimate” the debt financing cost of low-risk borrowers, which leads to the structural differentiation of the debt valuation system. The Chinese-style compensation expectations are expected to uplift the market risk-free yield and connive with the risk-taking propensity of high-risk borrowers. Tempting by compensation expectations, more capitals are misallocated to high risk industries, departments or projects. In order to weaken the negative effects of Chinese-style compensation expectations, we should design the strategies or mechanisms according to their specific forms. The possible policy measures such as strengthening financial institutions’ financing constraints on local government debt is a desirable means to weaken the negative impact of the central government’s implicit guarantee, cutting off the implicit or hidden links between local governments at all levels and their financing platforms and clearly defining the corporate debt attribute of financing platform debts, resolutely breaking the rigid payment myth in the trust industry and prohibiting the corresponding behavior of banking financial institutions lack of principles, and encouraging market-oriented institutions or businesses to break rigid payment under the clear boundary of responsibilities. The modeling for the borrower’s self-solvency is similar to that of the corporate debt valuation model, but different from that, the article reveals the potential and complicated impact of compensation expectations, which is a common phenomenon in China’s economy and finance that has long been neglected in academic discussions, on the debt valuation of borrowers. In addition, the domestic literature on government implicit guarantee only empirically examines whether it has an impact on the borrower’s financing cost, rather than on the structural impact of the debt financing cost of borrowers with different risk status. This article reveals the structural differentiation of the debt valuation system and explains the phenomenon of capital misallocation from the perspective of compensation expectations.