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Bank Value and Financial Fragility
Gobert, Karine; González, Patrick; Poitevin, Michel - Département d'Économique, Université Laval - 2002
We propose a valuation model for a bank which faces a bankruptcy risk. Banks are identified with a possibly infinite …
Persistent link: https://www.econbiz.de/10005670360
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Trade credit and the propagation of corporate failure: An empirical analysis
Jacobsen, Tor; von Schedvin, Erik - 2012
invoked by a debtor failure imposes a substantially enhanced bankruptcy risk on the creditors. The propagation mechanism is …
Persistent link: https://www.econbiz.de/10010320754
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Industry contagion in loan spreads
Hertzel, Michael G.; Officer, Micah S. - In: Journal of financial economics 103 (2012) 3, pp. 493-506
Persistent link: https://www.econbiz.de/10009520652
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Can a violation of investor trust lead to financial contagion in the market for tax-exempt hospital bonds?
Bernet, Patrick; Getzen, Thomas - In: International Journal of Health Care Finance and Economics 8 (2008) 1, pp. 27-51
Persistent link: https://www.econbiz.de/10005711047
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Contagion in financial networks: a threat index
Demange, Gabrielle - HAL - 2012
defaults and bankruptcy. Building on a simple model for the joint determination of the repayments of interbank claims, this …
Persistent link: https://www.econbiz.de/10010739081
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Industry contagion in loan spreads
Hertzel, Michael G.; Officer, Micah S. - In: Journal of Financial Economics 103 (2012) 3, pp. 493-506
) in the two years surrounding bankruptcy filings by industry rivals. This industry-specific contagion is particularly … severe in the middle of industry bankruptcy waves. Furthermore, this contagion in loan spreads is mitigated in concentrated … industries, consistent with the hypothesis and evidence in Lang and Stulz (1992) that bankruptcy filings in concentrated …
Persistent link: https://www.econbiz.de/10010571690
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Trade Credit and the Propagation of Corporate Failure: An Empirical Analysis
Jacobson, Tor; von Schedvin, Erik - Sveriges Riksbank - 2012
invoked by a debtor failure imposes a substantially enhanced bankruptcy risk on the creditors. The propagation mechanism is …
Persistent link: https://www.econbiz.de/10010818841
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Costly contracts and consumer credit
Livshits, Igor; MacGee, James; Tertilt, Michèle - 2011
Financial innovations are a common explanation of the rise in consumer credit and bankruptcies. To evaluate this story, we develop a simple model that incorporates two key frictions: asymmetric information about borrowers' risk of default and a fixed cost to create each contract offered by...
Persistent link: https://www.econbiz.de/10010291903
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Financial Risks, Bankruptcy Probabilities, and the Investment Behaviour of Enterprises
Kirchesch, Kai - 2004
repayment obligations and thus the risk of bankruptcy. If the risk of bankruptcy enters the profit maximization of the firm, the … cover a period of 12 years. The empirical results confirm the assumption that the risk of bankruptcy is an important … decisions of enterprises, or whether bankruptcy probabilities better account for these potential financial risks. …
Persistent link: https://www.econbiz.de/10010295432
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Estimating probabilities of default with support vector machines
Härdle, Wolfgang Karl; Moro, Rouslan A.; Schäfer, Dorothea - 2007
This paper proposes a rating methodology that is based on a non-linear classification method, the support vector machine, and a non-parametric technique for mapping rating scores into probabilities of default. We give an introduction to underlying statistical models and represent the results of...
Persistent link: https://www.econbiz.de/10010295937