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corporate bonds but also credit risk. The latter effect originates from firms' debt rollover. When liquidity deterioration … rollover risk …
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This paper models a firm's rollover risk generated by conflict of interest between debt and equity holders. When the …
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. We also find that the inverse relation between credit spreads and risk free rate that structural models usually predict …
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increased moderately. This de-leveraging effect is stronger for firms exposed to significant rollover risk, while firms whose …
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-levering procedure is around for the case of risk-free debt. The procedure for risky debt is much less clear even under very simplifying …
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