Leasing provides a fundamental source of firm funding, especially for small and medium-sized enterprises. A crucial difference from loans and bonds is that the lessor retains ownership rights of the leased asset during the lease term. This facilitates the asset utilization and work-out process...

This paper has been accepted for publication in the 'Review of Economics and Statistics'.We propose a dynamic factor model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range of families of parametric distributions, may be...

This paper examines the prediction accuracy of various machine learning (ML) algorithms for firm credit risk. It marks the first attempt to leverage data on corporate social irresponsibility (CSI) to better predict credit risk in an ML context. Even though the literature on default and credit...

The paper aims to examine the new regulatory framework of project finance in the economics of banking firms. In particular, the paper investigates the uniqueness of the project finance, the significant importance of the project finance in bank activity, and the role of the new bank capital...

This paper examines the performance of two commonly applied bankruptcy prediction models, the accounting ratio-based Altman Z-Score model, and the structural Distance to Default model which currently underlies Morningstar's Financial Health Grade for public companies (Morningstar 2008)....

This study assesses the interconnectedness of credit risk exposures in a tripartite network of cross-shareholdings among banks, insurers, and firms in Japan's stock market during the fiscal years 2008-2015. We use consistent measures: credit risk exposure by PD (probability of default)/LGD (loss...

This study assesses the credit risk of Japan's real estate investment trusts (J-REITs) in two related markets during the fiscal years 2008--2017. The first J-REIT market involves blockholders, while the second is a lending market of institutions (i.e., banks and insurers). Unlike investment...

This study assesses the network structures of cross-shareholdings among listed Japanese companies using a dataset of 2,936 companies for fiscal years 2008-2015. First, we analyze the network structure of cross-shareholdings in the Japanese stock market using centrality measures. Financial...

Covered bonds and senior bonds are important securities for fixed income investors. Senior bonds are unsecured, while covered bonds are secured and backed by collateral. Our results show that collateral reduces the total risk in individual bonds by more than 70%. Compared to diversified...

We provide the first empirical analysis on the effects of credit default swaps (CDS) on corporate distress resolution with a focus on debt recovery rate. CDS contracts are settled shortly after the occurrence of credit events such as restructuring or bankruptcy filings and, presumably, should...