We study a firm's debt-maturity policy. The firm, keeping book leverage constant, rolls over expiring debt by newly issuing short- or long-term bonds, which pay different coupons. In equilibrium, we always find two balanced issuance regimes, which are associated with one type of debt: In bad...

We study a rich dynamic-leverage model that includes (debt-issuance covenants, a debt floor/ceiling, and specially) a fixed cost. When firms face financial but also operational leverage---the fixed cost, the firm's financial policies strongly interact---bringing forward the default time but...

In this paper I investigate the relation between accounting based variables and bankruptcy risk, using information available for non-listed firms. I use a large sample of firms and find that many of the variables suggested earlier in the literature seem to provide little explanatory power....

The purpose of this study is to examine the impact of the choice of cut-off points, sampling procedures, and the business cycle on the accuracy of bankruptcy prediction models. Misclassification can result in erroneous predictions leading to prohibitive costs to firms, investors and the economy....

We propose a general class of flexible models for longitudinal data with special emphasis on discrete-time survival data. The model is a finite mixture model where the subjects are allowed to move between components through time. The time-varying probability of component memberships is modeled...

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...

In credit default prediction models, the need to deal with time-varying covariates often arises. For instance, in the context of corporate default prediction a typical approach is to estimate a hazard model by regressing the hazard rate on time-varying covariates like balance sheet or stock...

We develop distress prediction models for non-financial small and medium sized enterprises (SMEs) using a dataset from eight European countries over the period 2000-2009. We examine idiosyncratic and systematic covariates and find that macro conditions and bankruptcy codes add predictive power...

The Internal Ratings Based (IRB) approach for capital determination is one of the cornerstones in the proposed revision of the Basel Committee rules for bank regulation. We evaluate the IRB approach using historical business loan portfolio data from a major Swedish bank for the period 1994 to...

Theory predicts that information noise induces interactions between the degree of noise and credit risk determinants (Duffie and Lando [2001, Econometrica 69 633-664]). Using well-known bankruptcy hazard models and over two million firm-months of data during 1979-2012, we demonstrate the...