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Debt Rescheduling with Multiple Lenders: Relying on the Information of Others

Fluet, Claude; Garella, Paolo G. - Centre Interuniversitaire sur le Risque, les Politiques … - 2013

Can debt rescheduling decisions differ in multiple lenders’ versus a single lender loan? Do multiple lenders efficiently react to information? We show that the precision of information plays an essential role. Foreclosing by one lender is disruptive so that a lender can rationally wait for the...

Persistent link: https://www.econbiz.de/10010693194

On Debt Service and Renegotiation when Debt-holders Are More Strategic

Bourgeon, Jean-Marc; Dionne, Georges - Centre Interuniversitaire sur le Risque, les Politiques … - 2007

with the empirical observation that recovery rate at emergence of bankruptcy is function of the share of private debt in …

Persistent link: https://www.econbiz.de/10005015284

Relying on the Information of Others: Debt Rescheduling with Multiple Lenders

Fluet, Claude; Garella, Paolo G. - Centre Interuniversitaire sur le Risque, les Politiques … - 2007

Can inertia in terminating unsuccessful loans be due to the multiplicity of lenders in loan arrangements? Can a lender reschedule, betting against his odds? We show that fear of being last in a liquidation run prevents the aggregation of the lenders' information about the value of continuation....

Persistent link: https://www.econbiz.de/10005015314

Heterogeneous Beliefs and the Choice Between Private Restructuring and Formal Bankruptcy

François, Pascal; Raviv, Alon - Centre Interuniversitaire sur le Risque, les Politiques … - 2014

renegotiate their debt prefer a formal bankruptcy procedure, which is more costly, over direct negotiations with their debtholders … driving the outcome of a formal procedure, such as the cost of bankruptcy, the likelihood of deviation from the absolute … creditor coordination problems are important drivers of the decision to restructure under formal bankruptcy procedures rather …

Persistent link: https://www.econbiz.de/10011086417

On the Determinants of the Implied Default Barrier

Dionne, Georges; Laajimi, Sadok - Centre Interuniversitaire sur le Risque, les Politiques … - 2009

We use the maximum likelihood (ML) estimation approach to estimate the default barriers from market values of equities for a sample of 762 public industrial Canadian firms. The ML approach allows us to estimate the asset instantaneous drift, volatility and barrier level simultaneously, when the...

Persistent link: https://www.econbiz.de/10005015272

Model Implied Credit Spreads

Grass, Gunnar - Centre Interuniversitaire sur le Risque, les Politiques … - 2012

I propose a new measure of credit risk, model implied credit spreads (MICS), which can be extracted from any structural credit risk model in which debt values are a function of asset risk and the payout ratio. I implement MICS assuming a barrier option framework nesting the Merton (1974) model...

Persistent link: https://www.econbiz.de/10010540183

Is there Any Dependence Between Consumer Credit Line Utilization and Default Probability on a Term Loan? Evidence from Bank-Level Data

Bergerès, Anne-Sophie; d'Astous, Philippe; Dionne, Georges - Centre Interuniversitaire sur le Risque, les Politiques … - 2011

Whereas recent studies on revolving lines of credit suggest a positive relationship between exposure at default and default probability on the line, this paper considers the relationship between two financial instruments through the simultaneous analysis of credit line utilization and default...

Persistent link: https://www.econbiz.de/10009221569

Book Review of : The Theory of Corporate Finance

Dionne, Georges - Centre Interuniversitaire sur le Risque, les Politiques … - 2011

The book proposes an original contribution to the economics and finance literature by developing the foundations of corporate finance. It also covers in detail various corporate governance issues faced by organizations. The common treatment of corporate finance and corporate governance started...

Persistent link: https://www.econbiz.de/10009223202

Game Theoretic Analysis of Negotiations under Bankruptcy

Annabi, Amira; Breton, Michèle; François, Pascal - Centre Interuniversitaire sur le Risque, les Politiques … - 2011

distress under formal bankruptcy as a non-cooperative game between claimants under the supervision of the bankruptcy judge. The … bankruptcy design must trade-off the initial priority of claims with the viability of reorganized firms. …

Persistent link: https://www.econbiz.de/10009643550

Estimation of the Default Risk of Publicly Traded Canadian Companies

Dionne, Georges; Laajimi, Sadok; Mejri, Sofiane; … - Centre Interuniversitaire sur le Risque, les Politiques … - 2006

In this paper, we investigate the hybrid contingent claim approach with publicly traded Canadian companies listed on the Toronto Stock Exchange. Our goal is to assess how combining their continuous valuation by the market with the value given in their financial statements improves our ability to...

Persistent link: https://www.econbiz.de/10005067688