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A Default System with Overspilling Contagion

Coculescu, Delia - 2017

In classical contagion models, default systems are Markovian conditionally on the observation of their stochastic environment, with interacting intensities. This necessitates that the environment evolves autonomously and is not influenced by the history of the default events. We extend the...

Persistent link: https://www.econbiz.de/10012951738

The Impact of Crisis-Period Interest Rate Declines on Distressed Borrowers

Gabriel, Stuart A.; Lutz, Chandler - 2021

We measure the causal impact of reductions in benchmark interest rates on the renegotiation and performance of distressed loans, using 2000s subprime adjustable-rate mortgages as a laboratory. Subprime borrowers treated with larger benchmark Libor rate declines benefited from increased...

Persistent link: https://www.econbiz.de/10013221253

Stock liquidity and corporate trade credit strategies : evidence from China

Shahzad, Umeair; Liu, Jing; Luo, Fukai - In: Journal of business economics and management 23 (2022) 1, pp. 40-59

This study investigates the nexus of stock liquidity and trade-credit policies in China from 2002 to 2017. The … liquidity significantly impacts firms' capacity to produce more trade credit supplies and less reliant on trade credit demand … liquidity and trade credit strategies is substantial in state-owned enterprises. Additional analysis revealed that the said …

Persistent link: https://www.econbiz.de/10013258463

Profitability and working capital management : evidence from the Warsaw Stock Exchange

Jaworski, Jacek; Czerwonka, Leszek - In: Journal of business economics and management 23 (2022) 1, pp. 180-198

cycle /CCC/, working capital value /WC/ and the financial liquidity /CR/) and profitability of companies listed on the …

Persistent link: https://www.econbiz.de/10013258565

The Technical Default Spread

Bisetti, Emilio; Li, Kai; YU, Jun - 2021

We study the quantitative impact of lender control rights on firm investment, asset prices, and the aggregate economy. We build a general equilibrium model with endogenous loan covenants, in which the breaching of a covenant (technical default) entails a switch in investment control rights from...

Persistent link: https://www.econbiz.de/10013313938

Valuation of reverse mortgages with default risk models

Bernard, Carole; Kolkiewicz, Adam; Tang, Junsen - In: The journal of real estate finance and economics 66 (2023) 4, pp. 806-839

Persistent link: https://www.econbiz.de/10014258992

Different types of central bank insolvency and the central role of seignorage

Reis, Ricardo - 2015

Persistent link: https://www.econbiz.de/10011382565

Property boom and banking bust : the role of commercial lending in the bankruptcy of banks

Jones, Colin A. - 2018

Intro -- Title Page -- Copyright Page -- Contents -- List of Figures -- Acknowledgements -- Chapter 1 Introduction -- Sub-prime Lending Enters the Financial Vocabulary -- The Global Extension -- Commercial Property Market Context -- Past UK Experience -- A Worldwide Phenomenon -- Commercial...

Persistent link: https://www.econbiz.de/10012683629

O-score financial distress risk asset pricing

Lai, Syou-Ching; Li, Hung-Chih; Conover, James A.; Wu, … - In: Research in finance, (pp. 51-94). 2010

We examine explicitly priced financial distress risk in post-1990 equity markets. We add a financial distress risk factor to Fama and French's (1993) three-factor model, based on Griffin and Lemmon's (2002) findings that financial distress is not fully captured by the book-to-market factor. We...

Persistent link: https://www.econbiz.de/10015381520

Risk and ruin : Enron and the culture of American capitalism

Benke, Gavin - 2018

Persistent link: https://www.econbiz.de/10014481443