We test the implications of Flannery's (1986) and Diamond's (1991) models concerning the effects of risk and asymmetric … information in determining debt maturity, and we examine the overall importance of informational asymmetries in debt maturity … choices. We employ data on over 6,000 commercial loans from 53 large U.S. banks. Our results for low-risk firms are consistent …

We investigate the role of "country risk" in determining the default risk of firms in emerging markets. In particular … greater country risk. …

From a credit risk perspective, little is known about the distress factors -- economy-wide or firm-specific -- that are … defaultable coupon bond yields. Credit risk models that take into consideration leverage and book-to-market are found to reduce … errors, the credit risk models perform relatively better for high grade bonds. Controlling for credit rating, the model …

The credit derivatives market is emerging as a potentially important new development that may help shape the overall … financial markets in the years to come. In this paper, I provide a brief overview of the credit derivatives market and assess … its future potential in the creation of private-sector instruments that are virtually free of default risk, and, thus, may …

This article presents a framework for modeling defaultable debt under alternative recovery conventions (for a wide … class of processes describing recovery rates and default probability). These debt models have the ability to differentiate … rates implicit in bond prices. Among potential applications, the framework can be used for pricing and hedging credit …

generating both relatively flat yield spreads when firms have low credit risk and steeper yield spreads when firms have higher … credit risk. … of misspecification. The results indicate that single factor models of instantaneous default risk face a significant …

carry a uniform risk weight, irrespective of variations in credit risk. The proposed new Capital Accord of the Bank for … International Settlements provides for a greater sensitivity of capital requirements to credit risk, raising the question of whether … agencies. We combine Moody's data on changes in U.S. borrowers' credit ratings since 1970 with estimates of the risk profile of …

debt crisis, and we attempt to gauge the extent to which they would have received greater benefits if policies that improve …