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Network Centrality, Failure Prediction and Systemic Risk

Zareei, Abalfazl - 2015

A financial market can be expressed in a network structure where the stocks resides as nodes and the links account for returns correlation. Centrality measure in the financial network structure captures firms' embeddedness and connectivity in the capital market structure. This paper investigates...

Persistent link: https://www.econbiz.de/10013021792

On Modelling IPO Failure Risk

Colak, Gonul; Fu, Mengchuan; Hasan, Iftekhar - 2022

This paper offers a novel framework, combining firm operational risk, IPO pricing risk, and market risk, to model IPO failure risk. By analyzing nearly a thousand variables, we observe that prior IPO failure risk models have suffered from a major missing-variable problem. Evidence reveals...

Persistent link: https://www.econbiz.de/10013296828

Risk Analysis Probability of Default : A Stochastic Simulation Model

Montesi, Giuseppe - 2015

We present a stochastic simulation model for estimating forward-looking corporate probability of default and loss given default. We formulate the model in a discrete time frame, apply capital-budgeting techniques to define the relationships that identify the default condition, and solve the...

Persistent link: https://www.econbiz.de/10013023044

Low Inflation : High Default Risk AND High Equity Valuations

Bhamra, Harjoat Singh - 2018

We develop an asset-pricing model with endogenous corporate policies that explains how inﬂation jointly impacts real asset prices and corporate default risk. Our model includes two empirically grounded nominal frictions: ﬁxed nominal coupons and sticky proﬁtability. Taken together, these...

Persistent link: https://www.econbiz.de/10012907340

Low Inflation : High Default Risk and High Equity Valuations

Bhamra, Harjoat Singh - 2018

We develop an asset-pricing model with endogenous corporate policies that explains how inflation jointly impacts real asset prices and corporate default risk. Our model includes two empirically grounded nominal frictions: fixed nominal coupons and sticky profitability. Taken together, these two...

Persistent link: https://www.econbiz.de/10012907464

Low Inflation : High Default Risk and High Equity Valuations

Smarzynska Javorcik, Beata - 2019

Persistent link: https://www.econbiz.de/10012892192

COVID-19 Crisis, Bankruptcy Risk, and Transition Dynamics

Lamichhane, Sujan - 2021

The COVID-19 pandemic has pushed many firms to the edge of bankruptcy and revived concerns of a prolonged/deep recession. The government has introduced various policies to mitigate its economic impact. We build a continuous time heterogeneous agent model to study (i) corporate bankruptcy risks,...

Persistent link: https://www.econbiz.de/10013242060

Default Risk Under Different Colors of Noise

Parnes, Dror - 2011

In this study we theoretically simulate default risk scenarios under various economic noises. We find that firms default more quickly with stronger economic shocks but simultaneously expose higher default probabilities during their deterioration, offering traders better visibility. When the...

Persistent link: https://www.econbiz.de/10013133441

Private Equity, Buy-Outs and Insolvency Risk

Wilson, Nick - 2011

set comprising the population of over eight million company year observations and 153,000 instances of insolvency covering … formal insolvency proceedings than other firms and how this varies over the economic cycle. Controlling for size, age, sector … and macro-economic conditions (base hazard) we find that private-equity backed buyouts are no more prone to insolvency …

Persistent link: https://www.econbiz.de/10013123344

Tracking Down Distress Risk

Kapadia, Nishad - 2010

This paper shows that exposure to aggregate distress risk is the underlying source of the premiums for the Fama-French size (SMB) and value (HML) factors. Using a unique dataset of aggregate business failures of both private and public firms from 1926 to 1997, I build portfolios that track news...

Persistent link: https://www.econbiz.de/10013151437