This paper employs a novel multi-country dataset of corporate defaults to develop a model of distress risk specific to … emerging markets. The data suggest that global financial variables such as US interest rates and shifts in global liquidity and … risk aversion have significant predictive power for forecasting corporate distress risk in emerging markets. We document a …

This paper models a firm's rollover risk generated by conflict of interest between debt and equity holders. When the … market liquidity and shorter debt maturity can exacerbate this externality and cause costly firm bankruptcy at higher … fundamental thresholds. Our model provides implications on liquidity-spillover effects, the flight-to-quality phenomenon, and …

a theoretical model to show that redefault risk, the possibility that a borrower will still default despite costly … renegotiation, and self-cure risk, the possibility that a seriously delinquent borrower will become current without renegotiation …

loadings on value and small-cap risk factors than stocks with a low risk of failure. These patterns hold in all size quintiles … are compensation for the risk of financial distress …

Using the widely-cited Lee-Carter mortality model, we quantify aggregate mortality risk as the risk that the average … substantial mortality risk. We calculate that a markup of 3.7% on an annuity premium (or else shareholders' capital equal to 3 …. Insurance companies could deal with aggregate mortality risk by transferring it to financial markets through mortality …

discrete interdependent risks with heterogeneous agents. There is a threat of an event that can only happen once, and the risk … depends on actions taken by others. Any agent's incentive to invest in managing the risk depends on the actions of others …. Security problems at airlines and in computer networks come into this category, as do problems of risk management in …

This paper studies a model where money is valued for the liquidity services it provides in the future. These liquidity … services cannot be provided by any other asset. Changes in expectations of the value of future liquidity services affect the …. I find that changes in dividend risk have effects opposite to those in standard dynamic portfolio models without money …

with greater wealth-at-risk are more likely to hold health insurance. The implicit insurance from bankruptcy distorts the …

Can banks maintain their advantage as liquidity providers when they are heavily exposed to a financial crisis? The … liquidity insurer is not one of the passive recipient, but of an active seeker, of deposits. We find that banks facing a funding … liquidity demand shocks (as measured by their unused commitments, wholesale funding dependence, and limited liquid assets), as …