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Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios

Chiarella, Carl - 2012

This article provides a generalized two-firm model of default correlation, based on the structural approach that incorporates interest rate risk. In most structural models default is driven by the firms' asset dynamics. In this article, a two-firm model of default is instead driven by the...

Persistent link: https://www.econbiz.de/10013099258

Cash Pooling and Insolvency : A Practical Global Handbook - Switzerland

Christ, Benedict F. - 2012

. Not only are regulatory constraints tightening by the day, but the risk of insolvency is also becoming an increasingly … pooling and insolvency. Each chapter follows the same template for ease of reference; topics featured include specific legal ….This practical handbook is an essential guide for any insolvency professional, in-house counsel or adviser in banking and finance …

Persistent link: https://www.econbiz.de/10013100209

CDS and the Resolution of Financial Distress

Lubben, Stephen J. - 2012

Over the last decade, the availability of credit default swaps (CDS) has dramatically transformed the markets for credit insurance by providing participants efficient avenues through which to share credit risks. These risk-sharing benefits notwithstanding, the growth of credit default swaps...

Persistent link: https://www.econbiz.de/10013100244

Comparison of Default Probability Models : Russian Experience

Karminsky, Alexander - 2012

Under the Basel II accord, improving probability of default models is a key risk-management priority. There are four main aspects of this research: suggesting the bank default classification; using a wide time horizon (quarterly Russian banking statistics from 1998 to 2011); investigating the...

Persistent link: https://www.econbiz.de/10013100257

A Binary Model Versus Discriminant Analysis to Corporate Bankruptcies for Emerging Market

Makeeva, Elena - 2012

The problem of the firm bankruptcy prediction was investigated by foreign researchers in the 1930s and it still remains relevant. Since publishing of the major Altman's work (1968), based on multiple discriminant analysis, this methodological area has been considerably changed. Taking into...

Persistent link: https://www.econbiz.de/10013100924

Can Creditors Restrict Managerial Investment Behavior in Distressed Firms?

Pryshchepa, Oksana - 2012

Shareholders in distressed firms should profit from shifting to more risky assets, but there is little empirical evidence documenting such behavior. We find that this weak evidence is consistent with creditors being somewhat able to control the investment policies of distressed firms if distress...

Persistent link: https://www.econbiz.de/10013101646

Financial Failures and Risk Management

Coskun, Yener - 2012

Financial failures observed during global financial crisis have again underlined the importance of effective risk management. In this article, the author analyzes the best instrument, namely self discipline, official discipline and market discipline, for the effective risk management. In the...

Persistent link: https://www.econbiz.de/10013102359

A Binary Model Versus Discriminant Analysis to Corporate Bankruptcies for Emerging Market

Makeeva, Elena - 2012

Persistent link: https://www.econbiz.de/10013104287

A Probit Model for Insolvency Risk Among Insurance Companies

de Haan, Leo - 2012

We estimate a probit model of insolvency risk, using a dataset of about 400 Dutch insurance companies during the period … insurer reduce the risk of insolvency. The model can be used to identify insurers with high insolvency risk one year ahead. It … is shown that the choice of the threshold above which an insurer is classified as having high insolvency risk, is an …

Persistent link: https://www.econbiz.de/10013104376

Debt Renegotiation

Moraux, Franck - 2012

This paper develops a new model of debt renegotiation in a structural framework, that accounts for both taxes and bankruptcy costs. We investigate situations where the manager can optimally (on behalf of the equity holder) impose a permanent coupon reduction to creditors, given that the new...

Persistent link: https://www.econbiz.de/10013105032