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Abandon ship : inside debt and risk-taking incentives in bad times
Cambrea, Domenico Rocco; Colonnello, Stefano; Curatola, … - 2016 - This draft: December 13, 2016
We develop a model that endogenizes the manager's choice of firm risk and of inside debt investment strategy. Our model delivers two predictions. First, managers have an incentive to reduce the correlation between inside debt and company stock in bad times. Second, managers that reduce such a...
Persistent link: https://www.econbiz.de/10011572771
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The COVID-19 shock and equity shortfall : firm-level evidence from Italy
Carletti, Elena; Oliviero, Tommaso; Pagano, Marco; … - 2020
We employ a representative sample of 80,972 Italian firms to forecast the drop in profits and the equity shortfall triggered by the COVID-19 lockdown. A 3-month lockdown generates an aggregate yearly drop in profits of about 10% of GDP, and 17% of sample firms, which employ 8.8% of the sample's...
Persistent link: https://www.econbiz.de/10012259870
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Buildings' energy efficiency and the probability of mortgage default : the Dutch case
Billio, Monica; Costola, Michele; Pelizzon, Loriana; … - 2019 - This draft: October 14, 2019
In this paper, we investigate the relation between buildings' energy efficiency and the probability of mortgage default. To this end, we construct a novel panel dataset by combining Dutch loan-level mortgage information with provisional building energy ratings that are calculated by the...
Persistent link: https://www.econbiz.de/10012109899
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Assessing systemic fragility : a probabilistic perspective
Radev, Deyan - 2014
We outline a procedure for consistent estimation of marginal and joint default risk in the euro area financial system. We interpret the latter risk as the intrinsic financial system fragility and derive several systemic fragility indicators for euro area banks and sovereigns, based on CDS...
Persistent link: https://www.econbiz.de/10010419854
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The trading response of individual investors to local bankruptcies
Laudenbach, Christine; Loos, Benjamin; Pirschel, Jenny; … - 2020
We use data from a German online brokerage and a survey to show that retail investors sharply reduce risk-taking in response to nearby firm bankruptcies, which are not predictive of returns. The e.ects on trading are spatially highly concentrated, immediate and not persistent. They seem to...
Persistent link: https://www.econbiz.de/10012181473
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Debt is not free
Moreno Badía, Marialuz; Medas, Paulo; Gupta, Pranav; … - 2020
With public debt soaring across the world, a growing concern is whether current debt levels are a harbinger of fiscal crises, thereby restricting the policy space in a downturn. The empirical evidence to date is however inconclusive, and the true cost of debt may be overstated if interest rates...
Persistent link: https://www.econbiz.de/10012170046
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The use of data in assessing and designing insolvency systems
Bergthaler, Wolfgang; DeLong, Chanda; Johnson, Juliet Ellen - 2019
To date, the use of empirical data in insolvency law analysis has been sporadic. This paper provides a conceptual … framework for the use of data to assess the effectiveness and efficiency of insolvency systems. The paper analyzes the existing … sources of data on insolvency proceedings, including general insolvency statistics, judicial statistics, statistics of …
Persistent link: https://www.econbiz.de/10012009271
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Credit scoring in SME asset-backed securities : an Italian case study
Bedin, Andrea; Billio, Monica; Costola, Michele; … - 2019
We investigate the default probability, recovery rates and loss distribution of a portfolio of securitised loans granted to Italian small and medium enterprises (SMEs). To this end, we use loan level data information provided by the European DataWarehouse platform and employ a logistic...
Persistent link: https://www.econbiz.de/10012111366
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Bottom-up default analysis of corporate solvency risk : an application to Latin America
Chan-Lau, Jorge A.; Lim, Cheng Hoon; … - 2017
This paper suggests a novel approach to assess corporate sector solvency risk. The approach uses a Bottom-Up Default Analysis that projects probabilities of default of individual firms conditional on macroeconomic conditions and financial risk factors. This allows a direct macro-financial link...
Persistent link: https://www.econbiz.de/10011704646
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Bankruptcy technology, finance, and entrepreneurship
Souza Sobrinho, Nelson Ferreira - 2017
rationale for structural reforms that simultaneously speed up the resolution of private sector insolvency, improve creditor …
Persistent link: https://www.econbiz.de/10011705385