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Bankruptcy and the Collateral Channel
Benmelech, Efraim - 2010
Do bankrupt firms impose negative externalities on their non-bankrupt competitors? We propose and analyze a collateral channel in which a firm's bankruptcy reduces collateral values of other industry participants, thereby increasing the cost of external debt finance industry wide. To identify...
Persistent link: https://www.econbiz.de/10012462944
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The Price and Quantity of Interest Rate Risk
Carpenter, Jennifer N.; Lu, Fangzhou; Whitelaw, Robert F. - National Bureau of Economic Research - 2021
volatility is as important as time variation in bond Sharpe ratios. (3) Bond risk premia are solely compensation for bond risk …Studies of the dynamics of bond risk premia that do not account for the corresponding dynamics of bond risk are hard to … interpret. We propose a new approach to modeling bond risk and risk premia. For each of the US and China, we reduce the …
Persistent link: https://www.econbiz.de/10012482660
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The Alchemy of CDO Credit Ratings
Benmelech, Efraim - 2009
Collateralized Loan Obligations (CLOs) were one of the largest and fastest growing segments of the structured finance market, fueling the 2003-2007 boom in syndicated loans and leveraged buyouts. The credit crisis brought CLO issuance to a halt, and as a result the leveraged loan market dried...
Persistent link: https://www.econbiz.de/10012463769
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Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility
Collin-Dufresne, Pierre - 2004
Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is … stochastic volatility (USV)." Of the models tested, only the A1(4) USV model is found to generate both realistic volatility … estimates and a good cross-sectional fit. Our findings suggests that interest rate volatility cannot be extracted from the cross …
Persistent link: https://www.econbiz.de/10012467934
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The Effect of Principal Reduction on Household Distress : Evidence from Mortgage Cramdown
Cespedes, Jacelly C.; Parra, Carlos R.; Sialm, Clemens - National Bureau of Economic Research - 2021
Mortgage cramdown enabled bankruptcy judges to discharge the underwater portion of a mortgage during Chapter 13 bankruptcy before the Supreme Court disallowed this practice in 1993. We exploit the random assignment of cases to judges to quantify the ex-post effects of Chapter 13 bankruptcy over...
Persistent link: https://www.econbiz.de/10012585384
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LDC Borrowing with Default Risk
Sachs, Jeffrey - 1982
short maturities on international loans; and (4) a prevalence of bank lending relative to bond-market lending …
Persistent link: https://www.econbiz.de/10012478182
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Designed to Fail : Effects of the Default Option and Information Complexity on Student Loan Repayment
Cox, James C. - 2018
We ask why so few student loan borrowers enroll in Income Driven Repayment when the majority would benefit from doing so. To do so we run an incentivized laboratory experiment using a facsimile of the government's Student Loan Exit Counseling website. We test the role information complexity,...
Persistent link: https://www.econbiz.de/10012480909
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Rollover Risk and Market Freezes
Acharya, Viral V. - 2010
The crisis of 2007-09 has been characterized by a sudden freeze in the market for short-term, secured borrowing. We present a model that can explain a sudden collapse in the amount that can be borrowed against finitely-lived assets with little credit risk. The borrowing in this model takes the...
Persistent link: https://www.econbiz.de/10012462978
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Rollover Risk and Credit Risk
He, Zhiguo - 2010
This paper models a firm's rollover risk generated by conflict of interest between debt and equity holders. When the firm faces losses in rolling over its maturing debt, its equity holders are willing to absorb the losses only if the option value of keeping the firm alive justifies the cost of...
Persistent link: https://www.econbiz.de/10012462997
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Mortgage Default, Foreclosure, and Bankruptcy
Li, Wenli - 2009
In this paper we examine the relationship between homeowners' bankruptcy decisions and their mortgage default decisions and the relationship between homeowners' bankruptcy decisions and lenders' decisions to foreclose. In theory, both relationships could be either substitutes or complements....
Persistent link: https://www.econbiz.de/10012463177