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The Mills Ratio and the Behavior of Redeemable Bond Prices in the Gaussian Structural Model of Corporate Default
Spencer, Peter - 2017
This paper shows that forward default intensities in the Black and Cox (1976) model of corporate default can be expressed in terms of the Mills Ratio (Mills, 1926). The behavior of the forward default intensity and hence the survivorship functions then follows from inequalities that are...
Persistent link: https://www.econbiz.de/10012954783
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Bond Covenants, Bankruptcy Risk, and the Cost of Debt
Mansi, Sattar; Qi, Yaxuan; Wald, John K. - 2021
bond covenants, we document that four out of 24 restrictions are associated with significantly higher bankruptcy risk. The … bankruptcy, or within-creditor conflicts. Firms that use In-House Counsel to help structure their bond issue and those that use … use of these Default Indicating covenants is associated with higher bond and CDS spreads. Overall, the results help …
Persistent link: https://www.econbiz.de/10013252096
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The Evolution of Valuation in Bankruptcy
Simkovic, Michael - 2017
Financial analyses such as valuation, solvency and capital adequacy play a crucial role in bankruptcy. Over the course of the 20th century, methods of financial analysis in bankruptcy have shifted from earnings multiples to discounted cash flow (DCF) and recently to market-based approaches such...
Persistent link: https://www.econbiz.de/10012968788
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Default Risk Modeling with Position-Dependent Killing
Katz, Yuri A. - 2012
Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to diverse models of bankruptcy. One “stylized fact” is...
Persistent link: https://www.econbiz.de/10013099878
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Default Risk in Corporate Yield Spreads
Dionne, Georges - 2010
An important research question examined in the credit risk literature focuses on the proportion of corporate yield spreads attributed to default risk. This topic is reexamined in the light of the different issues associated with the computation of transition and default probabilities obtained...
Persistent link: https://www.econbiz.de/10012717692
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Asymmetric information, dynamic debt issuance, and the term structure of credit spreads
Benzoni, Luca; Garlappi, Lorenzo; Goldstein, Robert S. - 2019
We propose a tractable model of a firm's dynamic debt and equity issuance policies in the presence of asymmetric information. Because "investment-grade" firms can access debt markets, managers who observe a bad private signal can both conceal this information and shield shareholders from...
Persistent link: https://www.econbiz.de/10012102903
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The Cash Externalities of Corporate Bond Defaults : Evidence From China
Ouyang, Yiling; Gao, Haoyu - 2022
This paper examines the intra-industry effects of bond defaults on corporate cash holdings. The staggered difference …
Persistent link: https://www.econbiz.de/10014239513
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Macroeconomic Effects of Corporate Default Crises : A Long-Term Perspective
Giesecke, Kay - 2012
Using an extensive new data set on corporate bond defaults in the U.S. from 1866 to 2010, we study the macroeconomic … effects of bond market crises and contrast them with those resulting from banking crises. During the past 150 years, the U …
Persistent link: https://www.econbiz.de/10013110993
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Are corporate bond defaults contagious across sectors?
Ellis, Colin - In: International Journal of Financial Studies : open … 8 (2020) 1/1, pp. 1-17
Corporate bond defaults in different sectors often increase suddenly at roughly similar times, although some sectors …
Persistent link: https://www.econbiz.de/10012168967
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An Empirical Investigation of CDS Spreads Using a Regime Switching Default Risk Model
Milidonis, Andreas - 2015
Default risk in equity returns can be measured by structural models of default. In this paper we propose a credit warning signal (CWS) based on the Merton default risk (MDR) model and a Regime-switching default risk (RSDR) model. The RSDR model is a generalization of the MDR model, comprises...
Persistent link: https://www.econbiz.de/10013021368