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Incomplete Information, Debt Issuance, and the Term Structure of Credit Spreads

Benzoni, Luca - 2020

We propose a tractable bond pricing model in which managers have an informational advantage over creditors. We show that, regardless of how poor their private signal is, managers of firms that can access the credit market will avoid default by issuing new debt to service existing debt....

Persistent link: https://www.econbiz.de/10012847731

Granularity of corporate debt

Choi, Jaewon; Hackbarth, Dirk; Zechner, Josef - 2013

We study to what extent firms spread out their debt maturity dates across time, which we call "granularity of corporate debt." We consider the role of debt granularity using a simple model in which a firm's inability to roll over expiring debt causes inefficiencies, such as costly asset sales or...

Persistent link: https://www.econbiz.de/10010211468

Granularity of Corporate Debt

Choi, Jaewon - 2017

We study whether firms spread out debt maturity dates, which we call "granularity of corporate debt.'' In our model, firms that are unable to roll over expiring debt need to liquidate assets. If multiple small asset sales are less inefficient than a single large one, it can be optimal to...

Persistent link: https://www.econbiz.de/10012945323

Diversification with Idiosyncratic Credit Spreads : A Pooled Estimation on Heterogeneous Panels

LIn, William T.; Sun, David S. - 2010

Following the method of Pesaran, Shin and Smith (1999), this study extends the results of Sun, Lin and Nieh (2007) to investigate the risk diversification issue of individual corporate bonds in portfolios. This is one of the few studies on the decomposition of individual corporate yield spreads....

Persistent link: https://www.econbiz.de/10014198732

Risk Premia and Optimal Liquidation of Credit Derivatives

Leung, Tim - 2015

This paper studies the optimal timing to liquidate credit derivatives in a general intensity-based credit risk model under stochastic interest rate. We incorporate the potential price discrepancy between the market and investors, which is characterized by risk-neutral valuation under different...

Persistent link: https://www.econbiz.de/10013037586

Implications of implicit credit spread volatilities on interest rate modelling

Fanelli, Viviana - In: European journal of operational research : EJOR 263 (2017) 2, pp. 707-718

Persistent link: https://www.econbiz.de/10011794020

Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach

Beirne, John - 2013

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …

Persistent link: https://www.econbiz.de/10013094544

Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach

Beirne, John - 2010

Persistent link: https://www.econbiz.de/10013141038

Credit Spreads, Factors and Noise

Jaskowski, Marcin - 2010

signal-to-noise analysis of the latent factor and some insights from the random matrix theory reveal that structural models …

Persistent link: https://www.econbiz.de/10013142359

Assessing the Credit Risk of Crypto-Assets Using Daily Range Volatility Models

Fantazzini, Dean - 2023

probability of death using the daily range. Unlike conventional low-frequency volatility models that only utilize close …

Persistent link: https://www.econbiz.de/10014350946