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Chronicle of a death foretold : does higher volatility anticipate corporate default?
Ampudia, Miguel; Busetto, Filippo; Fornari, Fabio - 2022
We test whether a simple measure of corporate insolvency based on equity return volatility - and denoted as Distance to … Insolvency (DI) - delivers better predictions of corporate default than the widely-used Expected Default Frequency (EDF) measure …
Persistent link: https://www.econbiz.de/10013448706
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Loss-given-default and macroeconomic conditions
Galow, Benjamin; Georgescu, Oana-Maria; Marques, Aurea Ponte - 2024
We study the sensitivity of the realised loss-given-default (LGD) to macroeconomic conditions by exploring Global Credit's confidential dataset on observed cash flows from defaulted loans. Given the prolonged duration of loan recovery, spanning several years, and the potential for macroeconomic...
Persistent link: https://www.econbiz.de/10015149572
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Corporate reorganization and the reallocation of labor in bankruptcy
Bonfim, Diana; Nogueira, Gil - 2024
We analyze how corporate reorganization and liquidation change labor reallocation during bankruptcy using randomized judge assignments and linked Portuguese employer-employee and firm data. Reorganization reduces the negative effect of bankruptcy on employee earnings, even with most workers...
Persistent link: https://www.econbiz.de/10015176866
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The time dimension of the links between loss given default and the macroeconomy
Koneèný, Tomáš; Seidler, Jakub; Belyaeva, Aelita; … - 2017
Most studies focusing on the determinants of loss given default (LGD) have largely ignored possible lagged effects of the macroeconomy on LGD. We fill this gap by employing a wide set of macroeconomic covariates on a retail portfolio that represents 15% of the Czech consumer credit market over...
Persistent link: https://www.econbiz.de/10011636239
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Forbearance vs foreclosure in a general equilibrium model
Barbaro, Bianca; Tirelli, Patrizio - 2021
We build a business cycle model characterized by endogenous firms dynamics, where banks may prefer debt renegotiation, i.e. non-performing exposures, to outright borrowers default. We find that debt renegotiations only do not have adverse effects in the event of financial crisis episodes, but a...
Persistent link: https://www.econbiz.de/10012488660
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Twin default crises
Mendicino, Caterina; Nikolov, Kalin; Rubio-Ramírez, … - 2020
We study the interaction between borrowers' and banks' solvency in a quantitative macroeconomic model with financial frictions in which bank assets are a portfolio of defaultable loans. We show that ex-ante imperfect diversification of bank lending generates bank asset returns with limited...
Persistent link: https://www.econbiz.de/10012224086
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Limited liability, strategic default and bargaining power
Mozzanica, Mirco Balatti; López-Quiles, Carolina - 2021
In this paper we examine the effects of limited liability on mortgage dynamics. While the literature has focused on default rates, renegotiation, or loan rates individually, we study them together as equilibrium outcomes of the strategic interaction between lenders and borrowers. We present a...
Persistent link: https://www.econbiz.de/10012422423
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Creditor protection, judicial enforcement and credit access
Maresch, Daniela; Ferrando, Annalisa; Moro, Andrea - 2015
Persistent link: https://www.econbiz.de/10011349868
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I will survive : pricing strategies of financially distressed firms
Duca, Ioana A.; Montero, José Manuel; Riggi, Marianna; … - 2018
constraints in Italy was one of the causes of the sustained growth of prices in 2010-2013. …
Persistent link: https://www.econbiz.de/10011864188
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Insolvency frameworks and private debt : an empirical investigation
Consolo, Agostino; Malfa, Federica; Pierluigi, Beatrice - 2018
This paper presents new evidence on the importance of insolvency frameworks for private sector debt deleveraging and … for the resolution of non-performing loans (NPL). We construct an aggregate insolvency framework index (IFI), which is …, our results indicate that better insolvency frameworks lead to faster NPL reductions and to lower NPL increases during …
Persistent link: https://www.econbiz.de/10011921438