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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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Default and Renegotiation : A Dynamic Model of Debt
Hart, Oliver - 1997
We analyze the role of debt in persuading an entrepreneur to pay out cash flows, rather than to divert them. In the first part of the paper we study the optimal debt contract -- specifically, the trade-off between the size of the loan and the repayment -- under the assumption that some debt...
Persistent link: https://www.econbiz.de/10012472921
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Personal Bankruptcy and Credit Supply and Demand
Gropp, Reint - 1996
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/10012473189
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Mortgage Default and Low Downpayment Loans : The Costs of Public Subsidy
Deng, Yongheng - 1995
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/10012473695
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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