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The Mills Ratio and the Behavior of Redeemable Bond Prices in the Gaussian Structural Model of Corporate Default

Spencer, Peter - 2017

This paper shows that forward default intensities in the Black and Cox (1976) model of corporate default can be expressed in terms of the Mills Ratio (Mills, 1926). The behavior of the forward default intensity and hence the survivorship functions then follows from inequalities that are...

Persistent link: https://www.econbiz.de/10012954783

Bond Covenants, Bankruptcy Risk, and the Cost of Debt

Mansi, Sattar; Qi, Yaxuan; Wald, John K. - 2021

bond covenants, we document that four out of 24 restrictions are associated with significantly higher bankruptcy risk. The … bankruptcy, or within-creditor conflicts. Firms that use In-House Counsel to help structure their bond issue and those that use … use of these Default Indicating covenants is associated with higher bond and CDS spreads. Overall, the results help …

Persistent link: https://www.econbiz.de/10013252096

The Evolution of Valuation in Bankruptcy

Simkovic, Michael - 2017

Financial analyses such as valuation, solvency and capital adequacy play a crucial role in bankruptcy. Over the course of the 20th century, methods of financial analysis in bankruptcy have shifted from earnings multiples to discounted cash flow (DCF) and recently to market-based approaches such...

Persistent link: https://www.econbiz.de/10012968788

Pricing risky corporate bonds : an empirical study

Baaquie, Belal E.; Karim, Muhammad Mahmudul - In: The journal of futures markets 43 (2023) 1, pp. 90-121

Persistent link: https://www.econbiz.de/10013465896

Strength of Bond Covenants and Bond Assessment Framework

Yahanpath, Noel - 2010

We examine bond covenants of 29 New Zealand bond issues prior to the 2008 securities market act. Results from the study … compensated for holding the additional risk. We propose an alternative bond protection assessment framework that directly assesses … the level of protections, restrictive covenants provide to bond holders. We calculate the covenant quality score for the …

Persistent link: https://www.econbiz.de/10013139213

Credit Spreads, Recovery Rates and Bond Portfolio Risk Measures in a Hybrid Credit Risk Model

Gauthier, Geneviève - 2012

spreads as it modifies both the level and shape of the curves. When a bond portfolio is considered, the presence of dependence …

Persistent link: https://www.econbiz.de/10013101883

Strength of Bond Covenants and Bond Assessment Framework

Yahanpath, Noel - 2013

We examine bond covenants of 29 New Zealand bond issues between 2001 and 2007. Results from the study indicate that …

Persistent link: https://www.econbiz.de/10013094216

Individual investors and suboptimal early exercises in the fixed-income market

Eickholt, Mathias; Entrop, Oliver; Wilkens, Marco - 2014

This paper is the first to analyze and value early exercises of Individual Investors in fixed-income investment products. Assuming decision and transaction costs we consider that a continuous decision-making on holding or exercising is not optimal anymore and propose a new approach to modeling...

Persistent link: https://www.econbiz.de/10010412103

Corporate Pandemic Bonds

Gao, Xiang - 2020

,217, recovered cases increase by 6,468, and the recovery rate increases by 6.9% following the issuance of a corporate pandemic bond …

Persistent link: https://www.econbiz.de/10012833766

Default Risk for Bonds with a Make Whole Call Provision

Maalaoui Chun, Olfa - 2016

We estimate the default probabilities implicit in the transaction prices of a new type of call provision, the make whole call. The new issuance of make whole callable bonds has supplanted that of traditional callable bonds and noncallable bonds. Make whole callable bonds have strike prices that...

Persistent link: https://www.econbiz.de/10013007621

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