Liquidity And Credit Risk  

Oleh:

Ericsson, Jan ; Renault, Olivier

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 5 (Okt. 2006), page 2219-2250.
Topik: credit risk; comparative studies; regression analysis; liquidity; credit risk; economic models; spread; bond ratings; correlation analysis
Fulltext: p 2219.pdf (283.28KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

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 decreassing and convex term structures of liquidity spreads.

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