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How Much Can Illiquidity Affect Corporate Debt Yield Spread?

Abudy, Menachem (Meni) - 2016

We present a structural method for measuring the upper bound for the illiquidity risk of liabilities issued by a levered firm. The method calculates the upper bound of illiquidity spread of a corporate bond given its duration and the issuing firm's asset risk and leverage ratio. Consistent with...

Persistent link: https://www.econbiz.de/10013004548

Bank risk dynamics where assets are risky debt claims

Peleg-Lazar, Sharon; Raviv, Alon - In: European financial management : the journal of the … 23 (2017) 1, pp. 3-31

Persistent link: https://www.econbiz.de/10011713413

How much can illiquidity affect corporate debt yield spread?

Abudy, Menachem Meni; Raviv, Alon - In: Journal of financial stability 25 (2016), pp. 58-69

Persistent link: https://www.econbiz.de/10011704784

Dynamic volatility regulation of financial institutions

Hilscher, Jens; Raviv, Alon; Wiener, Zvi - In: Finance research letters 61 (2024), pp. 1-6

Persistent link: https://www.econbiz.de/10014490771

A closed-form solution to the risk-taking motivation of subordinated debtholders

Heller, Yuval; Peleg-Lazar, Sharon; Raviv, Alon - In: Economics letters 181 (2019), pp. 169-173

Persistent link: https://www.econbiz.de/10012121790

Banks' risk taking and creditors' bargaining power

Heller, Yuval; Peleg Lazar, Sharon; Raviv, Alon - In: The journal of corporate finance : contracting, … 74 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013366529