Within the structural approach for credit risk models we discuss the optimal exercise of the callable and convertible bonds. The Vasiĕk-model is applied to incorporate interest rate risk into the firm’s value process which follows a geometric Brownian motion. Finally, we derive pricing bounds...

The reaction of stock prices to bankruptcy filing has been frequently analysed in the financial literature. In this paper we adopt a different approach to that of traditional study, and endeavour to determine whether the reaction of markets is conditioned by the orientation of bankruptcy law....

Generally, information provision and certification have been identified as the major economic functions of rating agencies. This paper analyzes whether the watchlist" (rating review) Instrument has extended the agencies' role towards a monitoring position, as proposed by Boot, Milbourn, and...

Within the structural approach for credit risk models we discuss the optimal exercise of the callable and convertible bonds. The Vasiček-model is applied to incorporate interest rate risk into the firm’s value process which follows a geometric Brownian motion. Finally, we derive pricing...

Within a default intensity approach we discuss the optimal exercise of the callable and convertible bonds. Pricing bounds for convertible bonds are derived in an uncertain volatility model, i.e. when the volatility of the stock price process lies between two extreme values.

In recent years, a number of papers have established a new empirical regularity. Stocks of distressed firms vastly underperform those of financially healthy firms. It is not necessary to attribute the negative excess returns of distressed firms to inefficient or irrational markets. We show that...

Generally, information provision and certification have been identified as the major economic functions of rating agencies. This paper analyzes whether the 'watchlist (rating review) instrument has extended the agencies' role towards a monitoring position, as proposed by Boot, Milbourn, and...

In this study we investigate how bankruptcy affects the market behaviour of prices of stocks on Warsaw’s Stock Exchange. As the behaviour of prices can be seen in a myriad of ways, we investigate a particular aspect of this behaviour, namely the predictability of these price formation...

Generally, information provision and certification have been identified as the major economic functions of rating agencies. This paper analyzes whether the watchlistʺ (rating review) Instrument has extended the agencies' role towards a monitoring position, as proposed by Boot, Milbourn, and...

Risk of financial failure is defined as the inability of a firm to pay its current liabilities. Financial failure may lead firms to bankrupt or go into liquidation. This paper aims to develop reliable model to identify the financial failure risk of the firms listed on Istanbul Stock Exchange...