Search Results - subject:"default barrier"

Semi-analytische und simulative Kreditrisikomessung synthetischer Collateralized Debt Obligations bei heterogenen Referenzportfolios ; Unternehmenswertorientierte Modellentwicklung und transaktionsbezogene Modellanwendungen ; Semi-Analytical and Simulative Credit Risk Measurement of Synthetic Collateralized Debt Obligations with Heterogeneous Reference Portfolios ; A Modified Asset-Value Model and ...

Jortzik, Stephan - 2013

Persistent link: https://www.econbiz.de/10010353253

Debt Contracts and Stochastic Default Barrier

Dózsa, Martin; Seidler, Jakub - Institut ekonomických studií, Univerzita Karlova v Praze - 2012

This article presents structural asset pricing model with stochastic interest rate and default barrier based on the … constant default barrier framework used in the currently available literature. …

Persistent link: https://www.econbiz.de/10010556311

Debt contracts and stochastic default barrier

Dózsa, Martin; Seidler, Jakub - 2012

Persistent link: https://www.econbiz.de/10010322323

On the Determinants of the Implied Default Barrier

Dionne, Georges; Laajimi, Sadok - Centre Interuniversitaire sur le Risque, les Politiques … - 2009

-of-sample forecasts. Regression analysis shows that leverage is not the only determinant of the default barrier. The implied default … find that liquidation costs, renegotiation frictions and equity holders' bargaining power increase the implied default … barrier level. …

Persistent link: https://www.econbiz.de/10005015272

Implied default barrier in credit default swap premia

Alonso Sánchez, Francisco; Forte, Santiago; Marqués … - 2006

the credit derivatives market. With this model it is thus possible to estimate the default barrier resorting solely to the …

Persistent link: https://www.econbiz.de/10012530153

Implied default barrier in credit default swap premia

Alonso, Francisco; Forte, Santiago; Marqués, José M. - Banco de España - 2006

possible to estimate the default barrier resorting solely to the equity market. Compared with other alternatives for setting …

Persistent link: https://www.econbiz.de/10005590716

About Debt and the Option to Extend Debt Maturity

Realdon, Marco - Department of Economics and Related Studies, University …

Both borrowers and creditors often have an implicit option to extend debt maturity as the debtor approaches financial distress. This implicit "extension option" is associated with the possibility for debtors and creditors to renegotiate the debt contract in the hope that extending debt maturity...

Persistent link: https://www.econbiz.de/10005523998