Technical paper/Debt
Crises, combined crises and their implications for firm profitability
The authors put forward a taxonomy for combined crises where up to four accompanying crises are apparent and how their interactions might impact firm profitability.
Optimization of systemic risk: reallocation of assets based on bank networks
In this paper, the authors investigate the optimization of systemic risk based on DebtRank by considering two contagion channels: interbank lending and common asset holdings.
The economics of debt collection, with attention to the issue of salience of collections at the time credit is granted
This paper considers the role of policies that protect consumers from aggressive debt collection tactics.
Stress testing household debt
The authors estimate a county-level model of household delinquency and use it to conduct “stress tests” of household debt.
Network sensitivity of systemic risk
Here, we address the more general problem of how shock propagation dynamics depend on the topological details of the underlying network. To this end, we consider different realistic network topologies, all consistent with balance sheet information…
Costs of capital under credit risk
In cost-of-capital computations, credit risk is only taken into consideration at the level of the debt beta approach. We show that applications of the debt beta approach in company valuation suffer from unrealistic assumptions about the market index and…
Debt and the oil industry: analysis on the firm and production level
This paper analyzes the relationship between debt and the production decisions of companies active in the exploration and production of oil and gas in the United States.
Debt, information asymmetry and bankers on board
This paper contributes to the financial networks literature by providing evidence that well-connected bankers on the boards of directors of nonfinancial firms reduce information asymmetry between credit markets and firms.
Nonlinear relationships in a logistic model of default for a high-default installment portfolio
This paper uses data on consumer credit along with generalized additive models to analyze nonlinear relationships and their effect on predicting the probability of default in the context of consumer credit scoring.
The valuation of contingent convertible catastrophe debt under simple solvency and liquidity covenants
This paper studies a new write-off debt instrument (called CoCoCAT bond) whose writeoff is triggered by solvency and event-driven covenants.
Are all collections equal? The case of medical debt
This paper examines the predictive value of medical collections in assessing consumer creditworthiness with credit scoring models.