regime switching model with a state-dependent cash flow process to capture macroeconomic risk in a firm's cash flow. Our … ratios, benefits to leverage, and costs of operating at a non-optimal leverage. If macroeconomic risk decreases, i … risk. The regime switching property of EBIT traces observed EBIT paths closely and is applicable to a wide range of …

equity capital to the risk-free interest rate. When equity capital falls, bankruptcy risks rise. Firms become more vulnerable … long time. -- liquidity trap ; financial crisis ; rare disasters ; equity capital ; leverage ; bankruptcy risk …

Recent developments in Turkish derivatives markets demonstrate the increasing importance of risk management not only … for individual banks but also for the entire system. In this context, this study analyzes the counterparty credit risk of … banks hold. Thus, the portfolio consists of vanilla swaps, which dominate banks' transactions. By simulating market risk …

asset prices and corporate default risk. Our model includes two empirically grounded nominal frictions: fixed nominal coupons …

asset prices and corporate default risk. Our model includes two empirically grounded nominal frictions: fixed nominal …

asset prices and corporate default risk. Our model includes two empirically grounded nominal frictions: fixed nominal …

evidence that political uncertainty, proxied by national election dummy, is positively related to firm-level credit risk … affects the credit risk of individual firm …

highlight that EPU can reduce real efficiency through worsening credit misallocation …

The incremental risk charge (IRC) is a new regulatory requirement from the Basel Committee in response to the recent … generated. The second Monte Carlo simulation is the random draws based on the constant level of risk assumption. It convolutes …