Pipeline Risk in Leveraged Loan Syndication
Leveraged term loans are typically arranged by banks but distributed to institutional investors. Using novel data, we find that to elicit investors’...
Debt Maturity and the Liquidity of Secondary Debt Markets
We develop an equilibrium model of debt maturity choice of firms, in the presence of fixed issuance costs in primary debt markets, and an over-the...
Walking Wounded or Living Dead? Making Banks Foreclose Bad Loans
Because of limited liability, insolvent banks have an incentive to roll over bad loans, in order to hide losses and gamble for resurrection, even...
Recovery rates, default probabilities and the credit cycle
Recovery rates are negatively related to default probabilities (Altman et al., 2005). This paper proposes and estimates a model in which this...
Estimating structural bond pricing models via simulated maximum likelihood
This paper describes how structural bond pricing models can be estimated using a Simulated Maximum Likelihood procedure developed by Durbin and...
A structural model of corporate bond pricing with co-ordination failure
It has been suggested (Morris, Shin 2001) that co-ordination failure be- tween bondholders could produce an effect that would explain the systematic...
