This paper examines the impact of existing debt on irreversible investment decisions. We confirm that bankruptcy risk discourages investment but find that the impact of debt on firm decisions decreases as uncertainty increases

This paper develops a market-implied credit score as a complement to internal and agency ratings. In its general form, the implied score is a multidimensional process whose passage through regions in space signals different credit events. The model offers analytical tractability and the...

This paper presents a model for approximating the value of a basket of default-correlated assets and analyzes subordinate tranches in securitized debt obligations. The model is calibrated to an intensity-based simulation of correlated defaults and represents an alternative computation method to...