. In particular, we can numerically support the usual simplification in the absence of default risk. In case that firms are … default-risky, however, empirical findings indicate a clear difference between these costs equal to 1.88 percentage points on … company cost of capital does practically not depend on the debt ratio if the firm is not subject to default risk or if …

whether or not to default impacts the incentives of other agents to escape default. Agents' payoffs are determined by the … equilibrium of this default game. Next, we develop an algorithm to find all Nash equilibria that relies on the financial network …

Firms with credit-default swaps (CDS) traded on their debt may face "empty creditors" as hedged creditors have less … bank-firm CDS net notional and credit exposures we find that the probability of default for CDS firms drops when the effect … constrained embed the empty creditor effect into their probability of default estimates of affected firms to a larger extent. So …

This paper investigates a model of default in financial networks where the decision by one agent on whether or not to … default impacts the incentives of other agents to escape default. Agents' payoffs are determined by the clearing mechanism … default game. Furthermore, we develop an algorithm to find all Nash equilibria that relies on the financial network structure …

(including unsecured debt, liquid assets, and illiquid assets) play in default decisions. In sharp contrast to prior studies that … strongest predictor of default. We find that individual unemployment increases the probability of default by 5 - 13 percentage … points, ceteris paribus, compared with the sample average default rate of 3.9 percent. We also find that only 13.9 percent of …

default rate and loss given default of bank loans share a cyclical component, related to the business cycle. We infer this … cycle by a new model that distinguishes loans with large and small losses, and links them to the default rate and macro …