In this paper, I propose a structural credit risk model with lagged information on a firm. Under the simple assumption that information on a firm's asset value is observed with a time lag, I show the model also has the properties of a reduced form model with a default intensity process. In...

We show that supply side effects arising from the bond holdings of open-end mutual funds affect corporate credit risk. In our model, funds exposed to flow-performance relationships are reluctant to refinance bonds of companies with poor cash flow prospects fearing future investor outflows as a...