Lee, Shyan Yuan; Chung, Yi Fang - In: Review of Pacific Basin Financial Markets and Policies … 12 (2009) 01, pp. 125-140
This paper uses differing objective functions under the Longstaff model (1990) to discuss the strategic choices faced by the creditor when deciding whether to grant maturity extension on a defaulted loan. The results reveal that: (1) it ensures that the return per unit of risk is higher after...