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Kenyon, Chris - 2013

Changes in collateralization have been implicated in significant default (or near-default) events during the financial crisis, most notably with AIG. We have developed a framework for quantifying this effect based on moving between Merton-type and Black-Cox-type structural default models. Our...

Persistent link: https://www.econbiz.de/10013087656

A Simple Measure of Default-Risk Based on Endogenous Credit-Risk Models

Ibañez, Alfredo - 2020

We introduce a new distance-to-default (DD) measure based on observable covariates, allowing us to bypass any model-based inference (e.g., Merton, 1974), that works well. It is based on the following result: The default event defined by endogenous credit-risk models, a sufficiently low asset...

Persistent link: https://www.econbiz.de/10012856484

The Effect of Rollover Risk on Default Risk : Evidence from Bank Financing

Chiu, Wan-Chien - 2015

.3% increase in default rates. We present evidence revealing the extent to which bank financing dependence affects the influence of … rollover risk on default risk. Firms that depend on bank financing suffer the strongest rollover risk, especially during crisis …

Persistent link: https://www.econbiz.de/10013033588

The Effect of Rollover Risk on Default Risk : Evidence from Bank Financing

Chiu, Wan-Chien - 2015

particular, we ask whether bank-dependent firms suffer greater rollover risk than otherwise similar firms that do not rely on … bank financing (i.e., firms that depend on publicly traded debt). Empirical evidence strongly supports the rollover risk … examine if the rollover risk effect is higher for firms that depend on bank financing, compared with firms without this …

Persistent link: https://www.econbiz.de/10013028447

Endogenous Debt Maturity : Liquidity Risk vs. Default Risk

Manuelli, Rodolfo - 2019

We study the endogenous determination of corporate debt maturity in a setting with default risk. We assume that firms must access the bond market and they issue debt with a flexible structure (coupon, face value, and maturity). Initially, the firm is in a low growth/illiquid state that requires...

Persistent link: https://www.econbiz.de/10012897314

Pricing Default Risk : The Good, The Bad, and The Anomaly

Ferreira Filipe, Sara - 2016

While empirical literature has documented a negative relation between default risk and stock returns, theory suggests …. In accordance with theory, we find that the systematic part, measured as the PD sensitivity to aggregate default risk, is …

Persistent link: https://www.econbiz.de/10013006759

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

De and re-levering betas with risky debt

Krause, Marko Volker - In: Business research 12 (2019) 2, pp. 703-720

De- and re-levering betas is important to obtain discount rates for assets that are not publicly traded. A de- and re-levering procedure is around for the case of risk-free debt. The procedure for risky debt is much less clear even under very simplifying assumptions. In this paper, I concretize...

Persistent link: https://www.econbiz.de/10012256377

Strategic Default and Equity Risk Across Countries

Favara, Giovanni - 2013

more shareholder bargaining power relative to debt holders. These relations weaken as the country's insolvency procedure …

Persistent link: https://www.econbiz.de/10013094469

The Stability of Efficiency Rankings When Risk-Preferences and Objectives are Different

Koetter, Michael - 2016

We analyze the stability of efficiency rankings of German universal banks between …

Persistent link: https://www.econbiz.de/10012989305

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