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Computing Reliable Default Probabilities in Turbulent Times
Fantazzini, Dean - 2012
In this paper, we compare different methods for computing default probabilities using a sample of banks that experienced financial distress during the 2007–2009 global financial crisis. The traditional KMV-Merton model for firm valuation, credit ratings by rating agencies and a recently...
Persistent link: https://www.econbiz.de/10013097198
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Do Credit Default Swaps Matter After They Are Settled? Evidence from Debt Recovery Rates
Qi, Min - 2016
restructuring or bankruptcy filings and, presumably, should cease to be relevant after the settlements. However, we find that the … for the bankrupt firms with CDS contracts before bankruptcy filings. This CDS effect on recovery rates is more pronounced … for bonds than for loans. The overall evidence is consistent with the view that CDS trigger earlier bankruptcy filings …
Persistent link: https://www.econbiz.de/10013005997
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The Effect of Relationship Banking on Firm Efficiency and Default Risk
Yildirim, Alev - 2020
Does relationship bank oversight improve firm operational efficiency and reduce default risk? I find that a new loan from a relationship bank improves the technical efficiency of inefficient firms that have an elevated probability of default. Moreover, borrowing firms with elevated default risk...
Persistent link: https://www.econbiz.de/10012855084
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An Evidence of Link between Default and Loss of Bank Loans from the Modeling of Competing Risks
de Oliveira Jr, Mauro - 2014
In this paper we propose a method that provides a useful technique to compare relationship between risk involved that takes customer becomes defaulter and debt collection process that might make this defaulter recovered. Through estimation of competitive risks that lead to realization of the...
Persistent link: https://www.econbiz.de/10013056380
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A market-based study of the cost of default
Davydenko, Sergei A.; Strebulaev, Ilya A.; Zhao, Xiaofei - 2012
Although the cost of financial distress is a central issue in capital structure and credit risk studies, reliable estimates of its size are difficult to come by. This paper proposes a novel method of extracting the cost of default from the change in the market value of a firm's assets upon...
Persistent link: https://www.econbiz.de/10010206258
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Board Co-Option and Default Risk
Baghdadi, Ghasan - 2020
We find that co-opted boards facilitate more erratic and arbitrary decision-making, contributing towards default risk. A one standard deviation increase in co-option increases default risk by 11% relative to normal levels. Supporting the notion that co-option makes decision-making more erratic,...
Persistent link: https://www.econbiz.de/10012848864
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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
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Business closure and financial loss : who foots the bill? ; evidence from German small business closures
Metzger, Georg - 2010
assess financial prospects. -- Bankruptcy ; business closure ; financial loss …
Persistent link: https://www.econbiz.de/10003961536
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Clustering Default Syndromes Across Italian SMEs
Modina, Michele; Zedda, Stefano - 2021
The quantitative analyses related to firms’ default prediction extensively analyzed which balance sheet ratios include significant information on the probability of default of a firm. These analyses are typically aimed at measuring a generic default risk, while no analyses are aimed at...
Persistent link: https://www.econbiz.de/10013242550
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Cyclicality and Firm-size in Private Firm Defaults
Jensen, Thais Laerkholm; Lando, David; Medhat, Mamdouh - 2016
The Basel II/III and CRD-IV Accords reduce capital charges on bank loans to smaller firms by assuming that the default probabilities of smaller firms are less sensitive to macroeconomic cycles. We test this assumption in a default intensity framework using a large sample of bank loans to private...
Persistent link: https://www.econbiz.de/10014124273