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A market-based study of the cost of default

Davydenko, Sergei A.; Strebulaev, Ilya A.; Zhao, Xiaofei - 2012

Although the cost of financial distress is a central issue in capital structure and credit risk studies, reliable estimates of its size are difficult to come by. This paper proposes a novel method of extracting the cost of default from the change in the market value of a firm's assets upon...

Persistent link: https://www.econbiz.de/10010206258

Modeling portfolio defaults using hidden Markov models with covariates

Banachewicz, Konrad; Vaart, Aad W. van der; Lucas, André - 2006

We extend the Hidden Markov Model for defaults of Crowder, Davis, and Giampieri (2005) to include covariates. The covariates enhance the prediction of transition probabilities from high to low default regimes. To estimate the model, we extend the EM estimating equations to account for the time...

Persistent link: https://www.econbiz.de/10011349709

Identifying empty creditors with a shock and micro-data

Degryse, Hans; Gündüz, Yalın; O'Flynn, Kuchulain; … - 2021

bank-firm CDS net notional and credit exposures we find that the probability of default for CDS firms drops when the effect …

Persistent link: https://www.econbiz.de/10012697959

Identifying empty creditors with a shock and micro-data

Degryse, Hans; Gündüz, Yalın; O'Flynn, Kuchulain; … - 2020

bank-firm CDS net notional and credit exposures we find that the probability of default for firms with CDS traded on them …

Persistent link: https://www.econbiz.de/10012181510

Bank efficiency and default in Brazil : causality tests

Tabak, Benjamin Miranda; Craveiro, Giovana L.; … - 2011

Persistent link: https://www.econbiz.de/10009531688

A dialogue on the costs and benefits of automatic stays for derivatives and repurchase agreements

Duffie, Darrell; Skeel, David - 2012 - Last rev.: March 04, 2012

For nearly two years, the two of us have had a running discussion of the costs and benefits of automatic stays in bankruptcy for qualified financial contracts (QFCs) such as derivatives and repurchase agreements, particularly those held by systemically important major dealer banks. Under current...

Persistent link: https://www.econbiz.de/10009504439

Multiple lenders and corporate distress : evidence on debt restructuring

Brunner, Antje; Krahnen, Jan Pieter - 2006 - This version: June 2006

In the recent theoretical literature on lending risk, the coordination problem in multi-creditor relationships have been analyzed extensively. We address this topic empirically, relying on a unique panel data set that includes detailed credit-file information on distressed lending relationships...

Persistent link: https://www.econbiz.de/10009767665

The real effects of bank distress : evidence from bank bailouts in Germany

Bersch, Johannes; Degryse, Hans; Kick, Thomas; Stein, Ingrid - 2019

How does bank distress impact their customers' probability of default and trade credit availability? We address this … question by looking at a unique sample of German firms from 2000 to 2011. We follow their firm-bank relationships through times … of distress and crisis, featuring the different transmission of bank distress shocks into already weakened firm balance …

Persistent link: https://www.econbiz.de/10012108717

Judicial efficiency and banks credit risk exposure

Canzian, Giulia; Ferrara, Antonella Rita - 2021

We exploit the outset of a regulation seeking to improve judicial efficiency through the rearrangement of courts … reform on both judicial efficiency and Non-Performing Loans ratio. Furthermore, we identify heterogeneous effects based on … indirectly (through judicial efficiency) and directly, thereby influencing borrowers who react to the perceived enforcement. …

Persistent link: https://www.econbiz.de/10012485338

A deep learning approach to estimate forward default intensities

Divernois, Marc-Aurèle - 2020 - Preliminary draft

This paper proposes a machine learning approach to estimate physical forward default intensities. Default probabilities are computed using artificial neural networks to estimate the intensities of the inhomogeneous Poisson processes governing default process. The major contribution to previous...

Persistent link: https://www.econbiz.de/10012419329

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