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Transmission of Macro Shocks to Loan Losses in a Deep Crisis : The Case of Finland

Jokivuolle, Esa - 2009

Building on the work of Sorge and Virolainen (2006), we revisit the data on aggregate Finnish bank loan losses from the corporate sector, which covers the ‘Big Five' crisis in Finland in the early 1990s. Several extensions to the empirical model are considered. These extensions are then used...

Persistent link: https://www.econbiz.de/10013153601

Employee Well-Being, Firm Leverage, and Bankruptcy Risk

Verwijmeren, Patrick - 2009

Employees of liquidating firms are likely to lose income and non-pecuniary benefits of working for the firm, which makes bankruptcy costly for employees. This paper examines whether firms take these costs into account when deciding on the optimal amount of leverage. We find that firms with...

Persistent link: https://www.econbiz.de/10013155261

Comparing Models of Corporate Bankruptcy Prediction : Distance to Default vs. Z-Score

Miller, Warren - 2009

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)....

Persistent link: https://www.econbiz.de/10013156771

Insolvency of Significant Non-Financial Enterprises : Lessons from Bank Failures and Bank Resolution

Kokorin, Ilya - 2020

seek to preserve financial stability and ensure continuity of critical functions. The same cannot be said of insolvency …, insolvency law has largely remained microprudential and reactive.Admittedly, unlike bank failures, corporate insolvencies usually … trigger contagion and cause disruptive consequences. Insofar as insolvency of SNFEs raises concerns common to bank failures …

Persistent link: https://www.econbiz.de/10012833155

Machine Learning for Zombie Hunting. Firms' Failures and Financial Constraints

Bargagli Stoffi, Falco - 2020

In this contribution, we exploit machine learning techniques to predict the risk of failure of firms. Then, we propose an empirical definition of zombies as firms that persist in a status of high risk, beyond the highest decile, after which we observe that the chances to transit to lower risk...

Persistent link: https://www.econbiz.de/10012835532

Financial Distress and the Cost of Labor : Evidence from a Natural Experiment

Pedersen, David - 2020

Employees bear significant costs in bankruptcy. Theoretical models predict they will accept lower wages in the face of financial distress to avoid such costs. Using a natural experiment, I test this theory and find an exogenous increase in default risk causes a decrease in employee wages. The...

Persistent link: https://www.econbiz.de/10012837496

How large are Pre-Default Costs of Financial Distress? Estimates from a Dynamic Model

Elkamhi, Redouane - 2020

We estimate the costs of financial distress prior to default (pre-default costs) separately from the loss incurred at default (the loss given default) using a dynamic trade-off model of capital structure. We document that pre-default costs are on average equal to 6.5% of firm value per year. We...

Persistent link: https://www.econbiz.de/10012839730

Investment Sensitivity to Lender Default Shocks

Celil, Hursit - 2020

We investigate how idiosyncratic lender shocks impact corporate investment. Lenders with recent default experience write stricter loan contracts, leading to a reduction in real investment for borrowing firms. The decline in investment is not attributable to loan riskiness, borrower's agency...

Persistent link: https://www.econbiz.de/10012839813

Default Count-Based Network Models for Credit Contagion

Agosto, Arianna - 2020

Interconnectedness between economic institution and sectors, already recognised as a trigger of the great financial crisis in 2008-2009, is assuming growing importance in financial systems. In this paper we study contagion effects between corporate sectors using financial network models, in...

Persistent link: https://www.econbiz.de/10012839989

Bankruptcy Risk Among Indonesian Stock Exchange Listed Companies

Setiawan, Anton - 2020

Objective - This research analyses whether there was a change in bankruptcy risk of companies in Indonesia for the period between 2015–2018, during the first presidency period of Joko Widodo, when Indonesia experienced tremendous dynamic economic, political and technological change. Previous...

Persistent link: https://www.econbiz.de/10012842095