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Risk of Financial Distress in Secondary Buyouts

Eschenröder, Tjark - 2020

Secondary buyouts (SBOs) represent more than 50 percent of all buyouts in 2018. Even though general partners argue that SBOs are less attractive investment targets for buyouts and some empirical indication against an outperformance of SBOs exists, the share of SBOs continuously increases....

Persistent link: https://www.econbiz.de/10012845490

Healthy... Distress... Default

Kakushadze, Zura - 2019

We discuss a simple, exactly solvable model of stochastic stock dynamics that incorporates regime switching between healthy and distressed regimes. Using this model, which is analytically tractable, we discuss a way of extracting expected returns for stocks from realized CDS spreads,...

Persistent link: https://www.econbiz.de/10012863946

The Systemic Risk Implications of Using Credit Ratings Versus Quantitative Measures to Limit Bond Portfolio Risk

Löffler, Gunter - 2019

Despite intense criticism, agency credit ratings are still widely used in regulation and risk management. One possible alternative is to replace them with quantitative default risk measures. For US data, I find that systemically relevant losses from corporate defaults are mostly smaller if...

Persistent link: https://www.econbiz.de/10012889469

What Drives the Price Convergence between Credit Default Swap and Put Option : New Evidence

Chan, Ka Kei - 2019

Credit default swaps (CDSs) and deep out-of-the-money put (DOOMP) options can both be used as a credit protection instrument. However, partial market segmentation results in deviations between firm hazard rates implied by these contracts. These deviations are driven by a systematic...

Persistent link: https://www.econbiz.de/10012899167

Underwriter reputation and the quality of certification : evidence from high-yield bonds

Andres, Christian; Betzer, André; Limbach, Peter - 2013

valuable to investors owing to low liquidity and issuing firms’ high opacity and default risk. We find bonds underwritten by …

Persistent link: https://www.econbiz.de/10010191992

Eine Analyse des Credit Spreads und seiner Komponenten als Grundlage für Hedge Strategien mit Kreditderivaten

Krones, Julia; Cremers, Heinz - 2012

.e. default risk, liquidity, risk and the relative attractiveness of government bonds. Afterwards we will shed some light on the …

Persistent link: https://www.econbiz.de/10009576035

Ratingmodell zur Quantifizierung des Ausfallrisikos von LBO-Finanzierungen

Lang, Michael; Cremers, Heinz; Hentze, Rainald - 2010

Credit risk measurement and management become more important in all financial institutions in the light of the current financial crisis and the global recession. This particularly applies to most of the complex structured financing forms whose risk cannot be quantified with com-mon rating...

Persistent link: https://www.econbiz.de/10003939552

Loss Given Default - Modelle zur Schätzung von Recovery Rates

Böttger, Marc (contributor); Guthoff, Anja (contributor); … - 2008

Loss Given Default (LGD) is a major element for pricing credits and bonds. As there has been a substantial amount of research during the last years, this paper aims to give an overview. Initially, defaults and recovery definitions for credits and the differences to bonds are discussed. A survey...

Persistent link: https://www.econbiz.de/10003750324

Multilateral development bank ratings and preferred creditor status

Perraudin, William R. M.; Powell, Andrew; Yang, Peng - 2016

This paper analyzes influences on the credit standing of Multilateral Development Banks (MDBs), specifically the quality, diversification and single name concentration of their portfolios, and on the market practice known as Preferred Creditor Status (PCS), whereby sovereigns that default on...

Persistent link: https://www.econbiz.de/10011486485

The Life of the Counterparty : Shock Propagation in Hedge Fund-Prime Broker Credit Networks

Kruttli, Mathias S. - 2020

. Liquidity shocks to prime brokers can lead to cycles of deleveraging that produce losses at funds and potentially have harmful … rehypothecated. Using a within fund-quarter empirical strategy, we identify the effects of an idiosyncratic liquidity shock to a … collateral is less affected because such collateral improves the constrained creditor's liquidity situation. Even large hedge …

Persistent link: https://www.econbiz.de/10012852681