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The COVID-19 impact on corporate leverage and financial fragility

Haque, Sharjil Muktafi; Varghese, Richard - 2021

We study the impact of the COVID-19 recession on capital structure of publicly listed U.S. firms. Our estimates suggest leverage (Net Debt/Asset) decreased by 5.3 percentage points from the pre-shock mean of 19.6 percent, while debt maturity increased moderately. This de-leveraging effect is...

Persistent link: https://www.econbiz.de/10012796218

The impact of legislation on credit risk : comparative evidence from the United States, the United Kingdom and Germany

Schmieder, Christian; Schmieder, Philipp - 2011

Persistent link: https://www.econbiz.de/10009486196

Scenario analysis with the DD-PD mapping approach : stock market shocks and U.S. corporate default risk

Chan-Lau, Jorge A. - 2021

This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative...

Persistent link: https://www.econbiz.de/10012613371

Global corporate stress tests : impact of the COVID-19 pandemic and policy responses

Tressel, Thierry; Ding, Xiaodan - 2021

shocks induced by the pandemic to their liquidity, viability and solvency. For this purpose, we develop novel multi … their debt, and on their liquidity and solvency positions. Applying the October 2020 WEO baseline and adverse scenarios, we … the initial shock as earnings recover in line with projected macroeconomic conditions, liquidity needs remain substantial …

Persistent link: https://www.econbiz.de/10012605125

The Pricing of Credit Default Swaps During Distress

Singh, Manmohan - 2006

Credit default swaps (CDS) provide the buyer with insurance against certain types of credit events by entitling him to exchange any of the bonds permitted as deliverable against their par value. Unlike bonds, whose risk spreads are assumed to be the product of default risk and loss rate, CDS are...

Persistent link: https://www.econbiz.de/10014400274

The End : A New Indicator of Financial and Nonfinancial Corporate Sector Vulnerability

Chan-Lau, Jorge A. - 2005

This paper describes a corporate sector vulnerability indicator, the expected number of defaults (END), based on the joint occurrence of defaults among a number of firms and/or institutions. The END indicator is general enough to assess systemic risk in the corporate and financial sectors, as...

Persistent link: https://www.econbiz.de/10014402060

Fundamentals-Based Estimation of Default Probabilities : A Survey

Chan-Lau, Jorge A. - 2006

because of low liquidity …

Persistent link: https://www.econbiz.de/10014402242

The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions

Podpiera, Jiri - 2010

- that is, Capital Adequacy, Asset Quality, Management Quality, Earnings Potential, Liquidity, and Sensitivity to Market Risk …

Persistent link: https://www.econbiz.de/10014402795

Mortgage Defaults

Martinez, Leonardo - 2012

This paper incorporates house price risk and mortgages into a standard incomplete market (SIM) model. The model is calibrated to match U.S. data and accounts for non-targeted features of the data such as the distribution of down payments, the life-cycle profile of home ownership, and the...

Persistent link: https://www.econbiz.de/10014396941

The riskiness of credit allocation and financial stability

Brandao Marques, Luis; Chen, Qianying; Raddatz, Claudio E. - 2019

We explore empirically how the time-varying allocation of credit across firms with heterogeneous credit quality matters for financial stability outcomes. Using firm-level data for 55 countries over 1991-2016, we show that the riskiness of credit allocation, captured by Greenwood and Hanson...

Persistent link: https://www.econbiz.de/10012103777

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