A LENDER-BASED THEORY OF COLLATERAL
Title: A LENDER-BASED THEORY OF COLLATERALInderst, Roman; Müller, Holger M.Abstract: We offer a novel explanation for the use of collateral based on the dualfunction of banks to provide credit and...
View ArticleA MODEL OF CREDIT RISK, OPTIMAL POLICIES, AND ASSET PRICES
Title: A MODEL OF CREDIT RISK, OPTIMAL POLICIES, AND ASSET PRICESBasak, Suleyman; Shapiro, AlexAbstract: This paper studies the optimal policies of borrowers (firms orindividuals) who may default...
View ArticleA Model of Optimal Capital Structure with Stochastic Interest Rates
Title: A Model of Optimal Capital Structure with Stochastic Interest RatesHuang, Jing-zhi; Ju, Nengjiu; Ou-Yang, HuiAbstract: This paper develops a model of optimal capital structure with...
View ArticleA Simple Model for Pricing Securities with Equity, Interest-Rate, and Default...
Title: A Simple Model for Pricing Securities with Equity, Interest-Rate, andDefault RiskDas, Sanjiv R.; Sundaram, Rangarajan K.Abstract: We develop a model for pricing derivative and hybrid securities...
View ArticleA Survey of Cyclical Effects in Credit Risk Measurement Models
Title: A Survey of Cyclical Effects in Credit Risk Measurement ModelsAllen, Linda; Saunders, AnthonyAbstract: We survey both academic and proprietary models to examine howmacroeconomic and systematic...
View ArticleAn Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects
Title: An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump EffectsBierens, Herman; Huang, Jing-zhi; Kong, WeipengAbstract: In this paper, we examine the dynamic behavior of credit...
View ArticleAN INTEGRATED PRICING MODEL FOR DEFAULTABLE LOANS AND BONDS
Title: AN INTEGRATED PRICING MODEL FOR DEFAULTABLE LOANS AND BONDSAltman, Edward I.; Onorato, MarioAbstract: In recent years, credit risk has played a key role in risk managementissues. Practitioners,...
View ArticleBIRTH OF THE FEDERAL RESERVE: CRISIS IN THE WOMB
Title: BIRTH OF THE FEDERAL RESERVE: CRISIS IN THE WOMBSilber, William L.Abstract: The outbreak of World War I shut the New York Stock Exchange for morethan four months. The conventional explanation...
View ArticleCapital Structure with Asymmetric Information about Value and Risk: Theory...
Title: Capital Structure with Asymmetric Information about Value and Risk:Theory and Empirical AnalysisHalov, Nikolay; Heider, FlorianAbstract: The paper presents a simple model arguing that the...
View ArticleCommercial Bank Underwriting of Credit-Enhanced Bonds: Are there Benefits to...
Title: Commercial Bank Underwriting of Credit-Enhanced Bonds: Are thereBenefits to the Issuer?Saunders, Anthony; Stover, Roger D.Abstract: Recent studies have expanded the commercial bank...
View ArticleCommercial Bank Underwriting of Credit-Enhanced Bonds: Are there...
Title: Commercial Bank Underwriting of Credit-Enhanced Bonds: Are thereCertification Benefits to the Issuer?Saunders, Anthony; Stover, Roger D.Abstract: Recent studies have expanded the commercial bank...
View ArticleConflicts of Interest and Market Discipline Among Financial Services Firms
Title: Conflicts of Interest and Market Discipline Among Financial Services FirmsWalter, IngoAbstract: There has been substantial public and regulatory attention of late toapparent exploitation of...
View ArticleCORPORATE DISTRESS PREDICTION MODELS IN A TURBULENT ECONOMIC AND BASEL II...
Title: CORPORATE DISTRESS PREDICTION MODELS IN A TURBULENT ECONOMIC AND BASELII ENVIRONMENTAltman, Edward I.Abstract: This paper discusses two of the primary motivating influences on therecent...
View ArticleCredit Rating Dynamics and Markov Mixture Models
Title: Credit Rating Dynamics and Markov Mixture ModelsFrydman, Halina; Schuermann, TilAbstract: Despite overwhelming evidence to the contrary, credit migrationmatrices, used in many credit risk and...
View ArticleCREDIT RATINGS AND THE BIS REFORM AGENDA
Title: CREDIT RATINGS AND THE BIS REFORM AGENDAAltman, Edward; Saunders, AnthonyAbstract: This is an updated and revised paper from the authors’ report on“An Analysis and Critique of the BIS Proposal...
View ArticleCredit Risk Analysis and Security Design
Title: Credit Risk Analysis and Security DesignInderst, Roman; Müller, Holger M.Abstract: This paper considers the potential cost of subjective judgment anddiscretion in credit decisions. We show that...
View ArticleDefault Recovery Rates in Credit Risk Modeling: A Review of the Literature...
Title: Default Recovery Rates in Credit Risk Modeling: A Review of theLiterature and Empirical EvidenceAltman, Edward; Resti, Andrea; Sironi, AndreaAbstract: Evidence from many countries in recent...
View ArticleDefaults and Returns in the High Yield Bond Market: The Year 2003 in Review...
Title: Defaults and Returns in the High Yield Bond Market: The Year 2003 inReview and Market OutlookAltman, Edward I.; Fanjul, GonzaloAbstract: High yield bond defaults in 2003 declined significantly...
View ArticleDefaults and Returns on High Yield Bonds: Analysis Through September 30, 2002
Title: Defaults and Returns on High Yield Bonds: Analysis Through September 30, 2002Altman, Edward I.; Bana, GauravAbstract: The third-quarter 2002 default rate for high yield bonds was 4.95%,based on...
View ArticleDefaults and Returns on High Yield Bonds: The Year 2002 in Review and the...
Title: Defaults and Returns on High Yield Bonds: The Year 2002 in Review andthe Market OutlookAltman, Edward I.; Bana, GauravAbstract: The year 2002 was remarkably difficult on many fronts for most...
View ArticleDoes the Failure of the Expectations Hypothesis Matter for Long-Term Investors
Title: Does the Failure of the Expectations Hypothesis Matter for Long-Term InvestorsSangvinatsos, Antonios; Wachter, JessicaAbstract: We consider the consumption and portfolio choice problem of a...
View ArticleExplaining Credit Spread Changes: Some New Evidence from Option-Adjusted...
Title: Explaining Credit Spread Changes: Some New Evidence from Option-AdjustedSpreads of Bond IndicesHuang, Jing-zhi; Kong, WeipengAbstract: This paper revisits the question of the determinants of...
View ArticleFinancial Distress and Bank Lending Relationships
Title: Financial Distress and Bank Lending RelationshipsDahiya, Sandeep; Saunders, Anthony; Srinivasan, AnandAbstract: One of the most important risks faced by a bank is that of loan defaultby its...
View ArticleFixed Income Pricing
Title: Fixed Income PricingDai, Qiang; Singleton, KennethAbstract: This chapter surveys the literature on fixed-income pricing models,including dynamic term structure models (DTSMs) and interest...
View ArticleHabit Formation and Returns on Bonds and Stocks
Title: Habit Formation and Returns on Bonds and StocksWachter, Jessica A.Abstract: This paper proposes a habit formation model that explains the failure ofthe expectations hypothesis documented by...
View ArticleHow Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?
Title: How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?Huang, Jing-zhi; Huang, MingAbstract: No consensus has yet emerged from the existing credit risk literature onhow much of...
View ArticleHOW RATING AGENCIES ACHIEVE RATING STABILITY
Title: HOW RATING AGENCIES ACHIEVE RATING STABILITYAltman, Edward I.; Rijken, Herbert A.Abstract: Surveys on the use of agency credit ratings reveal that most investorsbelieve that rating agencies are...
View ArticleIncome Smoothing over the Business Cycle: Changes in Banks’ Coordinated...
Title: Income Smoothing over the Business Cycle: Changes in Banks’Coordinated Management of Provisions for Loan Losses and LoanCharge-offs from the Pre-1990 Bust to the 1990s BoomLiu, Chi-Chun; Ryan,...
View ArticleIncorporating Systemic Influences Into Risk Measurements: A Survey of the...
Title: Incorporating Systemic Influences Into Risk Measurements: A Survey ofthe LiteratureAllen, Linda; Saunders, AnthonyAbstract: Procyclicality has emerged as a potential drawback to adoption...
View ArticleInformational Efficiency of Loans versus Bonds: Evidence from Secondary...
Title: Informational Efficiency of Loans versus Bonds: Evidence from SecondaryMarket PricesAltman, Edward; Gande, Amar; Saunders, AnthonyAbstract: This paper examines the informational efficiency of...
View ArticleIssues in the Credit Risk Modeling of Retail Markets
Title: Issues in the Credit Risk Modeling of Retail MarketsAllen, Linda; DeLong, Gayle; Saunders, AnthonyAbstract: Retail loan markets create special challenges for credit riskassessment. Borrowers...
View ArticleLeverage and Growth Opportunities: Risk-Avoidance Induced by Risky Debt
Title: Leverage and Growth Opportunities: Risk-Avoidance Induced by Risky DebtBrito, José Almeida; John, KoseAbstract: This paper shows that illiquid growth opportunities crucially impact theagency...
View ArticleMarket Size and Investment Performance of Defaulted Bonds and Bank Loans:...
Title: Market Size and Investment Performance of Defaulted Bonds and BankLoans: 1987-2002Altman, Edward I.; Jha, ShubinAbstract: The defaulted and distressed, public and private debt markets in...
View ArticleModeling Sovereign Yield Spreads: A Case Study of Russian Debt
Title: Modeling Sovereign Yield Spreads: A Case Study of Russian DebtDuffie, Darrell; Pedersen, Lasse Heje; Singleton, Kenneth J.Abstract: We construct a model for pricing sovereign debt that accounts...
View ArticlePricing Credit Derivatives with Rating Transitions
Title: Pricing Credit Derivatives with Rating TransitionsAcharya, Viral V.; Das, Sanjiv Ranjan; Sundaram, Rangarajan K.Abstract: We develop a model for pricing risky debt and valuing credit...
View ArticlePricing Inflation-Indexed Convertible Bonds with Credit Risk
Title: Pricing Inflation-Indexed Convertible Bonds with Credit RiskLandskroner, Yoram; Raviv, AlonAbstract: In Issuing convertible bonds has become a popular way of raising capitalby corporations in...
View ArticleRating Agencies: Is There an Agency Issue?
Title: Rating Agencies: Is There an Agency Issue?Smith, Roy C.; Walter, IngoAbstract: This paper examines the potential for conflicts of interest in the debtratings business. Inherent in the current...
View ArticleRegime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields
Title: Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond YieldsDai, Qiang; Singleton, Kenneth J.; Yang, WeiAbstract: This paper develops and empirically implements an...
View ArticleRevisiting Credit Scoring Models in a Basel 2 Environment
Title: Revisiting Credit Scoring Models in a Basel 2 EnvironmentAltman, Edward I.Abstract: This paper discusses two of the primary motivating influences on therecent development/revisions of credit...
View ArticleRisk Aversion and Allocation to Long-Term Bonds
Title: Risk Aversion and Allocation to Long-Term BondsWachter, Jessica A.Abstract: As risk aversion approaches infinity, the portfolio of an investor withutility over consumption at time T is shown to...
View ArticleRisk Management with Benchmarking
Title: Risk Management with BenchmarkingBasak, Suleyman; Shapiro, Alex; Tepla, LucieAbstract: Portfolio theory must address the fact that in reality, portfoliomanagers are evaluated relative to a...
View ArticleTENDER OFFERS AND LEVERAGE
Title: TENDER OFFERS AND LEVERAGEMueller, Holger M.; Panunzi, FaustoAbstract: We examine the role of leverage in tender offers for widely held firms.Leverage allows raiders to appropriate part of the...
View ArticleThe Impact of Shareholder Control on Bondholders
Title: The Impact of Shareholder Control on BondholdersCremers, K.J. Martijn; Nair, Vinay B.; Wei, Chenyang (Jason)Abstract: This paper investigates the effect of shareholder control on...
View ArticleTHE INVESTMENT PERFORMANCE AND MARKET SIZE OF DEFAULTED BONDS AND BANK LOANS...
Title: THE INVESTMENT PERFORMANCE AND MARKET SIZE OF DEFAULTED BONDS AND BANKLOANS IN 2003: OUTLOOK FOR 2004/2005Altman, Edward I.; Kumar, Rohit
View ArticleThe Link between Default and Recovery Rates
Title: The Link between Default and Recovery RatesAltman, Edward I.; Brady, Brooks; Resti, Andrea; Sironi, AndreaAbstract: This paper analyzes the association between aggregate default andrecovery...
View ArticleThe Link between Default and Recovery Rates: Implications for Credit Risk...
Title: The Link between Default and Recovery Rates: Implications for CreditRisk Models and ProcyclicalityAltman, Edward I.; Brady, Brooks; Resti, Andrea; Sironi, AndreaAbstract: This paper analyzes the...
View ArticleThe Link between Default and Recovery Rates: Theory, Empirical Evidence and...
Title: The Link between Default and Recovery Rates: Theory, Empirical Evidenceand ImplicationsAltman, Edward I.; Brady, Brooks; Resti, Andrea; Sironi, AndreaAbstract: This paper analyzes the...
View ArticleThe Long-Run Behavior of Debt and Equity Underwriting Spreads
Title: The Long-Run Behavior of Debt and Equity Underwriting SpreadsKim, Dongcheol; Palia, Darius; Saunders, AnthonyAbstract: This paper is the first to look at the long-run (30-year) behavior...
View ArticleWHAT HAPPENED TO LIQUIDITY WHEN WORLD WAR I SHUT THE NYSE?
Title: WHAT HAPPENED TO LIQUIDITY WHEN WORLD WAR I SHUT THE NYSE?Silber, William L.Abstract: The suspension of trading on the New York Stock Exchange for more thanfour months following the outbreak of...
View ArticleWhen Does Strategic Debt Service Matter?
Title: When Does Strategic Debt Service Matter?Acharya, Viral V.; Huang, Jing-zhi; Subrahmanyam, Marti G.; Sundaram, Rangarajan K.Abstract: Recent work has suggested that strategic underperformance...
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