Net-worth covenants, as introduced by Black and Cox (1976), provide the firm’s bondholders with the right to force reorganization or liquidation if the value of the firm falls below a certain threshold. In the event of default, however, many bankruptcy codes stipulate an automatic stay of...

This paper analyses the determinants of banks’ loan loss allowances for samples of US banks and three non-US samples: a group of 21 countries, Canada and Japan. The model includes fundamental (or non-discretionary) determinants of the allowance such as non-performing loans, and discretionary...

Eine positive Fortbestehensprognose eines Unternehmens beinhaltet eine mit überwiegender Wahrscheinlichkeit erwartete nachhaltige Zahlungsfähigkeit. In dem Beitrag „Die Fortbestehensprognose – Rechtliche Anforderungen und ihre betriebswirtschaftlichen Grundlagen“ der Verfasser in WPg...

This working paper aims at improving the comparability of forecast quality measures of insolvency prediction studies. For this purpose, in a first step commonly used accuracy measures for categorial, ordinal and cardinal insolvency predictions are presented. It will be argued, that ordinal...

This paper graphically demonstrates the significant impact of the observed financial market persistence, i.e., long term memory or dependence, on European option valuation. Many empirical researchers have observed non-Fickian degrees of persistence or long memory in the financial markets...

In April 2001 Swiss banks held over CHF 500 billion in mortgages. This important segment accounts for about 63\% of all the loan portfolios of Swiss banks. In this paper we restrict our attention to residential mortgages held by private clients, i.e. borrowers who finance their property by the...

This work is focused on identifying a circular pull production control system (PPCS) and make emphasis on the presence of a stability attribute. It is an introductory paper to an extended study of macroeconomic financial stability in a physically open but systemic closed system. Previous work...

This paper proposes a model of how agents adjust their asset holdings in response to losses in general equilibrium. By emphasising the relation between deflation and financial distress, we capture some original features of the early debt-deflation literature, such as distress selling,...

This paper presents an equilibrium model of industry dynamics and capital structure decisions. The unique stationary equilibrium is derived in closed-form. The analysis reveals that the interaction between capital structure and production decisions influences the stationary distribution of...