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Market microstructure effects on firm default risk evaluation

Barsotti, Flavia; Sanfelici, Simona - In: Econometrics : open access journal 4 (2016) 3, pp. 1-31

Default probability is a fundamental variable determining the credit worthiness of a firm and equity volatility estimation plays a key role in its evaluation. Assuming a structural credit risk modeling approach, we study the impact of choosing different non parametric equity volatility...

Persistent link: https://www.econbiz.de/10011506497

Localising forward intensities for multiperiod corporate default

Prastyo, Dedy Dwi; Härdle, Wolfgang - 2014

Using a local adaptive Forward Intensities Approach (FIA) we investigate multiperiod corporate defaults and other delisting schemes. The proposed approach is fully datadriven and is based on local adaptive estimation and the selection of optimal estimation windows. Time-dependent model...

Persistent link: https://www.econbiz.de/10010403045

Costly External Finance, Liquidity Risk, and Default Risk

Yang, Jun - 2011

I use the 2007-2008 financial crisis to gauge how internal financial resources and external financial constraints mitigate or worsen the impact of the crisis on default risk of US industrial firms. I identify heterogeneity in short-term funding needs at the onset of the crisis by exploiting...

Persistent link: https://www.econbiz.de/10013128496

Modelling Default Risk : A New Structural Approach

Yildirim, Yildiray - 2011

This paper provides an alternative approach to the structural credit risk models. The first-passage-time approach extends the original Merton (Journal of Finance 29, 449-470) model by accounting for the fact that the default may occur not only at the debt's maturity, but also prior to this date....

Persistent link: https://www.econbiz.de/10013130480

Credit Derivatives, Creditor’s Powers and Bankruptcy Initiation

Radulovic, Branko - 2010

reduces the incentives of the bank to monitor debtor, a ‘harsh' bankruptcy environment (as evidenced in the shift from the … motivate the bank to effectively monitor in the presence of the credit risk transfer market alleviating borrower's shirking … decisions. The specific approach is adapted from Dessi (2005). The fact that the debtor and the bank (monitor and protection …

Persistent link: https://www.econbiz.de/10013139530

Default Risk Modeling with Position-Dependent Killing

Katz, Yuri A. - 2012

Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to diverse models of bankruptcy. One “stylized fact” is...

Persistent link: https://www.econbiz.de/10013099878

Consumer bankruptcy, mortgage default and labour supply

Li, Wenli; Meghir, Costas; Oswald, Florian - 2022

We specify and estimate a lifecycle model of consumption, housing demand and labor supply in an environment where individuals may file for bankruptcy or default on their mortgage. Uncertainty in the model is driven by house price shocks, education specific productivity shocks, and catastrophic...

Persistent link: https://www.econbiz.de/10013167646

An Empirical Study of the Returns on Defaulted Debt and the Discount Rate for Loss-Given-Default

Jacobs, Michael - 2010

Persistent link: https://www.econbiz.de/10013152416

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

Stressed Distance to Default and Default Risk

Guo, Nan - 2020

Distance to default (DTD) is a strong predictor of default risk derived from structural models. This paper specifies a stressed version of DTD ("stressed DTD'') to measure time-varying corporate default risk in the event that a systematic stress scenario occurs. Compared with the ordinary DTD,...

Persistent link: https://www.econbiz.de/10012842858