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Optimal Capital Structure and Industry Dynamics
Miao, Jianjun - EconWPA - 2003
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...
Persistent link: https://www.econbiz.de/10005134424
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The U-shaped Investment Curve: Theory and Evidence
Cleary, Sean; Povel, Paul; Raith, Michael - EconWPA - 2003
This paper examines how the investment of financially constrained firms varies with their level of internal funds. We develop a theoretical model of optimal investment under financial constraints. Our model endogenizes the costs of external funds and allows for negative levels of internal funds....
Persistent link: https://www.econbiz.de/10005413170
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Liquidation Triggers and the Valuation of Equity and Debt
Galai, Dan; Raviv, Alon; Wiener, Zvi - EconWPA - 2003
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...
Persistent link: https://www.econbiz.de/10005561605
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Allocating Risks in a Domestic Greenhouse Gas Trading System
Kerr, Suzi - EconWPA - 2003
strategic incentives for either government or regulated entities. Consideration of both exogenous risk (uncontrollable) and … endogenous risk (concerns about policy credibility) suggests that permits should be auctioned several years in advance of use … all risk to be pooled and managed as efficiently as possible within the private sector. For endogenous risk, it creates a …
Persistent link: https://www.econbiz.de/10005407778
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Financial Market Imperfections and Investment: an Overview
Calmès, Christian - EconWPA - 2004
The paper examines the interpretation of firms' investment-cash flow sensitivity as an artifact of financial market imperfection. Two alternative explanations of the financial constraints are compared. One is based on informational problems (asymmetric information). The other focuses on limited...
Persistent link: https://www.econbiz.de/10005077038
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An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios
Giorgi, Enrico De - EconWPA - 2002
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...
Persistent link: https://www.econbiz.de/10005126112
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CIRCULAR VARIABLE WORK IN PROCESS
Vildosola, Luis - EconWPA - 2002
work in process inventory levels, under a particular risk allowance and a particular environmental scenario. This work …
Persistent link: https://www.econbiz.de/10005126234
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Debt-Deflation: Concepts, and a Stylised Model
Peter, Goetz von - EconWPA - 2005
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,...
Persistent link: https://www.econbiz.de/10005126279
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The Valuation of Corporate Debt with Default Risk
Naqvi, Hassan - EconWPA - 2004
This article values equity and corporate debt by taking into account the fact that in practice the default point differs from the liquidation point and that it might be in the creditors' interest to delay liquidation. The article develops a continuous time asset pricing model of debt...
Persistent link: https://www.econbiz.de/10005134655
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Central counterparty clearing: constructing a framework for evaluation of risks and benefits
Ripatti, Kirsi - EconWPA - 2005
Counterparty Clearing has become increasingly popular in Europe, not just in derivatives markets, where, due to the high risk …’s securities market infrastructure – clearing and settlement. Because of the importance of its role, a CCP must have sound risk … management. The CCP assumes responsibility in the aggregate and reallocates risk among participants. Moreover, if the CCP fails …
Persistent link: https://www.econbiz.de/10005134670