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Optimal Capital Structure and Investment with Real Options and Endogenous Debt Costs

Kumar, Praveen - 2017

We examine the joint optimization of financial leverage and irreversible capacity investment in a real options framework with risky debt and endogenous interest costs. Higher capacity, ceteris paribus, increases operating leverage and default probability, but lowers ex post adjustment costs and...

Persistent link: https://www.econbiz.de/10012949906

Fast approximation methods for credit portfolio risk calculations

Jakob, Kevin; Churt, Johannes; Fischer, Matthias; Nolte, Kim - In: Digital Finance 5 (2023) 3, pp. 689-716

Credit risk is one of the main risks financial institutions are exposed to. Within the last two decades, simulation-based credit portfolio models became extremely popular and replaced closed-form analytical ones as computers became more powerful. However, especially for non-homogenous and...

Persistent link: https://www.econbiz.de/10015191392

Loss given default in SME leasing

Kaposty, Florian; Klein, Philipp; Löderbusch, Matthias; … - In: Review of Managerial Science 16 (2021) 5, pp. 1561-1597

Leasing provides a fundamental source of firm funding, especially for small and medium-sized enterprises. A crucial difference from loans and bonds is that the lessor retains ownership rights of the leased asset during the lease term. This facilitates the asset utilization and work-out process...

Persistent link: https://www.econbiz.de/10014501509

Does Diversification Protect Bank Lending Against Uncertainty?

Dang, Van Dan; Nguyen, Hoang Chung - In: Credit and Capital Markets – Kredit und Kapital 55 (2022) 3, pp. 349-379

banking by the dispersion of bank-level shocks. Our results confirm that banks may reduce loan growth and experience more …

Persistent link: https://www.econbiz.de/10014521969

Institutional quality and risk in the banking system

Schinckus, Christophe - In: Journal of Economics, Finance and Administrative Science 26 (2021) 51, pp. 22-40

in high-economic growth countries. This effect is also stronger in highly liquid banking systems. Notably, a better … systems and in high-growth countries. This influence is weaker in highly liquid and well-capitalized banking systems. Finally …

Persistent link: https://www.econbiz.de/10013192191

Optimal capital structure and endogenous default

Hilberink, Bianca; Rogers, L.C.G. - In: Finance and Stochastics 6 (2002) 2, pp. 237-263

In a sequence of fascinating papers, Leland and Leland and Toft have investigated various properties of the debt and credit of a firm which keeps a constant profile of debt and chooses its bankruptcy level endogenously, to maximise the value of the equity. One feature of these papers is that the...

Persistent link: https://www.econbiz.de/10005390699

Dynamic Model of Credit Risk in Relationship Lending: A Game- theoretic Real Options Approach

Shibata, Takashi; Yamada, Tetsuya - Institute for Monetary and Economic Studies, Bank of Japan - 2009

We develop a dynamic credit risk model for the case that banks compete to collect their loans from a firm falling in danger of bankruptcy. We apply a game-theoretic real options approach to investigate bankfs optimal strategies. Our model reveals that the bank with the larger loan amount, namely...

Persistent link: https://www.econbiz.de/10004975779

Credit risk modeling in segmented portfolios: an application to credit cards

Canals-Cerda, Jose J.; Kerr, Sougata - Federal Reserve Bank of Philadelphia - 2015

The Great Recession offers a unique opportunity to analyze the performance of credit risk models under conditions of economic stress. We focus on the performance of models of credit risk applied to risk-segmented credit card portfolios. Specifically, we focus on models of default and loss and...

Persistent link: https://www.econbiz.de/10011160735

How Bank Managers Anticipate Non-Performing Loans. Evidence from Europe, US, Asia and Africa

Ozili, PK - Volkswirtschaftliche Fakultät, … - 2015

, the result indicate that banks adjust the level of loan loss reserves and loan growth to minimize the size of NPLs. Our … reduce loan growth when they expect high NPL while banks in developed countries do not anticipate the level of NPL by … adjusting loan growth. Further, I find that post-crisis Basel regulation did not lead to a decrease in the size of NPLs among …

Persistent link: https://www.econbiz.de/10011261765

Evaluation and default time for companies with uncertain cash flows

Hainaut, Donatien - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 276-285

In this study, we propose a modelling framework for evaluating companies financed by random liabilities, such as insurance companies or commercial banks. In this approach, earnings and costs are driven by double exponential jump–diffusion processes and bankruptcy is declared when the income...

Persistent link: https://www.econbiz.de/10011263854