I construct a continuous time model of strategic default and provide a numerical algorithm that solves it. I compare the results and computation times to standard discrete time models of sovereign debt. The method proposed here is faster than discrete time computation methods while obtaining...

In this paper we analyze mezzanine capital's investment characteristics; make the distinction between mezzanine capital and high yield debt; explore supply and demand factors that drive pricing; point out similarities and differences in its usage in the U.S. and Europe as well as highlight...

Fat tails of q-Gaussian distributions of daily log-leverage-returns of 520 North American industrial firms reported by Katz and Tian (2013) imply a significantly higher credit risk at short time-horizons and/or large initial distances to the default barrier than forecasted by traditional...