Credit Risk, Liquidity, and Bubbles
نویسندگان
چکیده
منابع مشابه
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 con...
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ژورنال
عنوان ژورنال: International Review of Finance
سال: 2018
ISSN: 1369-412X,1468-2443
DOI: 10.1111/irfi.12239