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Clustering Default Syndromes Across Italian SMEs

Modina, Michele; Zedda, Stefano - 2021

The quantitative analyses related to firms’ default prediction extensively analyzed which balance sheet ratios include significant information on the probability of default of a firm. These analyses are typically aimed at measuring a generic default risk, while no analyses are aimed at...

Persistent link: https://www.econbiz.de/10013242550

No-fault Default, Chapter 11 Bankruptcy, and Financial Institutions

Merton, Robert C.; Thakor, Richard T. - 2021

bankruptcy process. We show that the deadweight costs of bankruptcy can be avoided or substantially reduced through no … bankruptcy process to efficiently allow the renegotiation of labor contracts in certain cases. In sharp contrast to the human …-capital-based theories of optimal capital structure in which the renegotiation of labor contract in bankruptcy is a cost associated with …

Persistent link: https://www.econbiz.de/10013249095

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

Chiu, Wan-Chien - 2015

We study the effect of rollover risk on the risk of default using a comprehensive database of U.S. industrial firms during 1986–2013 This article is the most thoroughgoing empirical research to date to support the existence of a rollover risk effect on the risk of default. A one standard...

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

The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling

Xiao, Tim - 2015

This article presents a comprehensive framework for valuing financial instruments subject to credit risk and collateralization. In particular, we focus on the impact of default dependence on asset pricing, as correlated default risk is one of the most pervasive threats to financial markets. Some...

Persistent link: https://www.econbiz.de/10013035565

Credit Derivatives and Corporate Default Prediction

Ye, Xiaoxia; Yu, Fan; Zhao, Ran - 2021

There have been 128 defaults among U.S. CDS reference entities between 2001 and 2020. Within this sample, the five-year CDS spread is a significant predictor of corporate default in models with equity market covariates and firm attributes. This finding holds for forecast horizons up to 12...

Persistent link: https://www.econbiz.de/10013213330

Dynamic Debt Structure, Market Value of Firm, and Recovery Rate

Qi, Min - 2010

This paper examines the determinants of the outcomes of the default recovery process. We find that a new variable that incorporates not only the percentage of debt more senior to the debt instrument, but also debt at the same rank, is the most important factor driving the recovery rate. It is...

Persistent link: https://www.econbiz.de/10013147107

The Performance of Insolvency Prediction and Credit Risk Models in the UK : A Comparative Study

Jackson, Richard H.G. - 2013

Theoretically driven, market-based contingent claims models have recently been applied to the field of corporate insolvency prediction in an attempt to provide the art with a theoretical methodology that has been lacking in the past. Limited studies have been carried out in order directly to...

Persistent link: https://www.econbiz.de/10013079540

Financial Crises, Financing Sources, and Default Risks

Chiu, Wan-Chien - 2014

We examine the mechanism through which a financial crisis affects the default risk of real economy firms. Specifically, firms with strong dependence on bank financing suffer higher increases in default risk than firms with no such dependence. Conversely, firms relying solely on financing from...

Persistent link: https://www.econbiz.de/10013062942

Default Risk in Corporate Yield Spreads

Dionne, Georges - 2010

An important research question examined in the credit risk literature focuses on the proportion of corporate yield spreads attributed to default risk. This topic is reexamined in the light of the different issues associated with the computation of transition and default probabilities obtained...

Persistent link: https://www.econbiz.de/10012717692

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