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Liquidity and credit risk

We develop a structural bond valuation model to simultaneously capture liquidity and credit risk. Our model implies that renegotiation in financial distress is influenced by the illiquidity of the market for distressed debt. As default becomes more likely, the components of bond yield spreads attributable to illiquidity increase. When we consider finite maturity debt, we find decreasing and convex term structures of liquidity spreads. Using bond price data spanning 15 years, we find evidence of a positive correlation between the illiquidity and default components of yield spreads as well as support for downward-sloping term structures of liquidity spreads..Printed Journal

Ketersediaan

Call NumberLocationAvailable
PSB lt.dasar - Pascasarjana1
Penerbit The American Finance Association.,
Edisi -
Subjek Liquidity
Economic models
Regression analysis
Credit risk
Correlation analysis
Comparative studies
Bond ratings
Spread
ISBN/ISSN 221082
Klasifikasi -
Deskripsi Fisik -
Info Detail Spesifik -
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