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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/10013148372

The Alchemy of Cdo Credit Ratings

Benmelech, Efraim - 2010

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/10012757547

Can Interest Rate Volatility Be Extracted from the Cross Section of Bond Yields? an Investigation of Unspanned Stochastic Volatility

Collin-Dufresne, Pierre - 2006

Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is …;unspanned stochastic volatility (USV).quot; 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/10012783833

Cash Holdings and Credit Risk

Acharya, Viral V. - 2011

Intuition suggests that firms with higher cash holdings are safer and should have lower credit spreads. Yet empirically, the correlation between cash and spreads is robustly positive and higher for lower credit ratings. This puzzling finding can be explained by the precautionary motive for...

Persistent link: https://www.econbiz.de/10013125920

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/10013155027

An Empirical Study of the Credit Market with Unobserved Consumer Typers

Gan, Li - 2008

This paper proposes an econometric model to identify unobserved consumer types in the credit market. Consumers choose different amounts of loan because of differences in their time or risk preferences (types). Thus, the unconditional probability of default is modeled using a mixture density...

Persistent link: https://www.econbiz.de/10012772371

Personal Bankruptcy and Credit Supply and Demand

Gropp, Reint - 2008

This paper examines how personal bankruptcy and bankruptcy exemptions affect the supply and demand for credit. While generous state-level bankruptcy exemptions are probably viewed by most policymakers as benefitting less-well-off borrowers, our results using data from the 1983 Survey of Consumer...

Persistent link: https://www.econbiz.de/10012774973

Corporate Yield Spreads : Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market

Longstaff, Francis A. - 2004

time varying and strongly related to measures of bond-specific illiquidity as well as to macroeconomic measures of bond …

Persistent link: https://www.econbiz.de/10012785748

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/10012907768

Mortgage Default and Low Downpayment Loans : The Costs of Public Subsidy

Deng, Yongheng - 2010

This paper presents a unified model of the default and prepayment behavior of homeowners in a proportional hazard framework. The model uses the option-based approach to analyze default and prepayment and considers these two interdependent hazards as competing risks. The results indicate the...

Persistent link: https://www.econbiz.de/10012763726

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