JEL Classification G32
"Financing Policy; Capital and Ownership Structure"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the G32 classification. (sorted by date) Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds
by Tim Xiao of Canadian Imperial Bank of Commerce, CIBC
(380K PDF) -- 25 pages -- May 21, 2013 An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk
by Tim Xiao of Canadian Imperial Bank of Commerce, CIBC
(259K PDF) -- 8 pages -- May 1, 2013 An Economic Examination of Collateralization in Different Financial Markets
by Tim Xiao of Canadian Imperial Bank of Commerce (CIBC), Toronto, Canada
(336K PDF) -- 41 pages -- May 1, 2013 The Limits of Granularity Adjustments
by Jean-David Fermanian of CREST-ENSAE
(402K PDF) -- 29 pages -- March 20, 2013 Lando, David, Mamdouh Medhat, Mads Stenbo Nielsen, Søren Feodor Nielsen, "Additive Intensity Regression Models in Corporate Default Analysis", Forthcoming: Journal of Financial Econometrics, (2013). Cash Holdings and Credit Risk
by Viral V. Acharya of the New York University,
Sergei A. Davydenko of the University of Toronto, and
Ilya A. Strebulaev of the Stanford University
(453K PDF) -- 48 pages -- October 23, 2012 Market-based Credit Ratings
by Drew S. Creal of University of Chicago,
Robert B. Gramacy of University of Chicago, and
Ruey S. Tsay of University of Chicago
(887K PDF) -- 31 pages -- September 24, 2012 Granularity Adjustment for Mark-to-Market Credit Risk Models
by Michael B. Gordy of Federal Reserve Board, and
James Marrone of Federal Reserve Board
(474K PDF) -- 39 pages -- July 2012 Conditional Probabilities for Euro area Sovereign Default Risk
by André Lucas of VU University Amsterdam & Duisenberg School of Finance,
Bernd Schwaab of European Central Bank, and
Xin Zhang of VU University Amsterdam & Tinbergen Institute
(256K PDF) -- 24 pages -- June 28, 2012 Castro, Carlos, "Confidence Sets for Asset Correlations in Portfolio Credit Risk", Revista de Economía del Rosario, Vol. 15, No. 1, (June 2012), pp. 19-58. Determining Marginal Contributions of the Economic Capital of Credit Risk Portfolio: An analytical approach
by Marco Morone of Intesa Sanpaolo,
Anna Cornaglia of Intesa Sanpaolo, and
Giulio Mignola of Intesa Sanpaolo
(670K PDF) -- 17 pages -- June 2012 Aggregating Credit and Market Risk: The Impact of Model Specification
by André Lucas of VU University Amsterdam & Tinbergen Institute, and
Bastiaan Verhoef of Royal Bank of Scotland
(385K PDF) -- 33 pages -- May 29, 2012 Pianeti, Riccardo, Rosella Giacometti, Valentina Acerbis, "Estimating the Joint Probability of Default Using Credit Default Swap and Bond Data", Journal of Fixed Income, (Winter 2012), Vol. 21, No. 3: pp. 44-58. Iscoe, Ian, Alexander Kreinin, Helmut Mausser, Oleksandr Romanko, "Portfolio Credit-risk Optimization", Forthcoming: Journal of Banking & Finance Usage and Exposures at Default of Corporate Credit Lines: An empirical study
by Janet Yinqing Zhao of Moody's Analytics,
Douglas Dwyer of Moody's Analytics, and
Jing Zhang of Moody's Analytics
(285K PDF) -- 19 pages -- December 2011 Debt Structure, Market Value of Firm, and Recovery Rate
by Min Qi of Office of the Comptroller of the Currency, and
Xinlei Zhao of Office of the Comptroller of the Currency
(640K PDF) -- 31 pages -- October 2011 CoVaR
by Tobias Adrian of the Federal Reserve Bank of New York, and
Markus K. Brunnermeier of the Princeton University
(350K PDF) -- 44 pages -- September 15, 2011 Milidonis, Andreas, Konstantinos Stathopoulos, "Do US Insurance Firms Offer the 'Wrong' Incentives to Their Executives?", Journal of Risk and Insurance, Vol. 78, No. 3, (September 2011), pp. 643-672. Fallacies, Irrelevant Facts, and Myths in the Discussion of Capital Regulation: Why bank equity is not expensive
by Anat R. Admati of the Stanford University,
Peter M. DeMarzo of the Stanford University,
Martin F. Hellwig of the Max Planck Institute for Research on Collective Goods, and
Paul Pfleiderer of the Stanford University
(470K PDF) -- 78 pages -- March 23, 2011 The Riskiness of Risk Models
by Christophe M. Boucher of the ABN AMRO & Université Panthéon-Sorbonne - Paris I, and
Bertrand B. Maillet of the ABN AMRO & University of Paris-1
(423K PDF) -- 14 pages -- March 2011 The Predictive Accuracy of Credit Ratings: Measurement and Statistical Inference
by Walter Orth of the University of Cologne
(272K PDF) -- 20 pages -- February 16, 2011 Observation Driven Mixed-measurement Dynamic Factor Models with an Application to Credit Risk
by Drew Creal of the University of Chicago,
Bernd Schwaab of the European Central Bank,
Siem Jan Koopman of the VU University Amsterdam & Tinbergen Institute, Amsterdam, and
André Lucas of the European Central Bank & Tinbergen Institute, Amsterdam
(373K PDF) -- 21 pages -- February 11, 2011 Grundke, Peter, "Top-down Approaches for Integrated Risk Management: How accurate are they?", European Journal of Operational Research, Vol. 203, No. 3, (June 2010), pp. 662-672 Pricing of CDOs Based on the Multivariate Wang Transform
by Masaaki Kijima of the Tokyo Metropolitan University,
Shin-ichi Motomiya of the Credit Pricing Corporation, Ltd., Tokyo, and
Yoichi Suzuki of the Credit Pricing Corporation, Ltd., Tokyo
(338K PDF) -- 28 pages -- February 8, 2010 Internal Assessment of Credit Concentration Risk Capital: A portfolio analysis of Indian public sector bank
by Arindam Bandyopadhyay of the National Institute of Bank Management (NIBM), Pune
(194K PDF) -- 18 pages -- January 31, 2011 Pricing Basket Default Swaps in a Tractable Shot-noise Model
by Alexander Herbertsson of the University of Gothenburg,
Jiwook Jang of the Macquarie University, and
Thorsten Schmidt of the Chemnitz University of Technology
(683K PDF) -- 18 pages -- January 25, 2011 A Non-parametric Approach to Incorporating Incomplete Workouts into Loss Given Default Estimates
by Grazia Rapisarda of the Royal Bank of Scotland, and
David Echeverry of the Royal Bank of Scotland
(452K PDF) -- 16 pages -- November 16, 2010 Corporate Bond Credit Spreads and Forecast Dispersion
by Levent Güntay of Indiana University, and
Dirk Hackbarth of University of Illinois
(455K PDF) -- 18 pages -- October 2010 Finding Systemically Important Financial Institutions around the Global Credit Crisis: Evidence from credit default swaps
by Jian Yang of the University of Colorado Denver, and
Yinggang Zhou of the Chinese University of Hong Kong
(165K PDF) -- 54 pages -- September 16, 2010 A Systematic Approach to Multi-period Stress Testing of Portfolio Credit Risk
by Thomas Breuer of the Fachhochschule Vorarlberg,
Javier Mencia of the Banco de España, and
Martin Summer of the Oesterreichische Nathionalbank
(754K PDF) -- 26 pages -- June 2010 Aggregate Risk and the Choice between Cash and Lines of Credit
by Viral V. Acharya of New York University,
Heitor Almeida of the University of Illinois, and
Murillo Campello of the University of Illinois
(652K PDF) -- 48 pages -- June 2010 Default Risk Modeling Beyond the First-Passage Approximation: Extended Black-Cox Model
by Yuri Katz of Qubit Technology Center, and
Nikolai Shokhirev of Qubit Technology Center
(2,891K PDF) -- 34 pages -- June 2010 Accelerated Investment and Credit Risk under a Low Interest Rate Environment: A real options approach
by Tetsuya Yamada of the Bank of Japan
(491K PDF) -- 42 pages -- June 2010 An Econometric Model to Quantify Benchmark Downturn LGD on Residential Mortgages
by Marco Morone of Intesa Sanpaolo, and
Marco Cornaglia of Intesa Sanpaolo
(499K PDF) -- 28 pages -- May 28, 2010 How to Gauge the Credit Risk of Bank Loans: Evidence from Taiwan
by Kuang-Erh Lai of National Sun Yat-sen University, and
Chau-Jung Kuo of National Sun Yat-sen University
(297K PDF) -- 8 pages -- May 2010 Unintended Consequences of the Market Risk Requirement in Banking Regulation
by Jussi Keppo of the University of Michigan,
Leonard Kofman of the Bank of Montreal, and
Xu Meng of the University of Michigan
(276K PDF) -- 47 pages -- May 2010 Corporate Bond Defaults are Consistent with Conditional Independence
by Florian Kramer of Allianz Investment Management SE, and
Gunter Löffler of Ulm University
(294K PDF) -- 31 pages -- April 2010 Güttler, André and Peter Raupach, "The Impact of Downward Rating Momentum", Journal of Financial Services Research, Vol. 37, No. 1, (February 2010), pp. 1-23. Risk Factor Contributions in Portfolio Credit Risk Models
by Dan Rosen of the Fields Institute, and
David Saunders of the University of Waterloo
(439K PDF) -- 14 pages -- February 2010 Downturn LGD: A spot recovery approach
by Hui Li of AIG
(337K PDF) -- 23 pages -- January 18, 2010 Extension of Spot Recovery Model for Gaussian Copula
by Hui Li of AIG
(192K PDF) -- 20 pages -- October 17, 2009 Pricing CDOs with State Dependent Stochastic Recovery Rates
by Salah Amraoui of BNP Paribas,
Laurent Cousot of BNP Paribas,
Sébastien Hitier of BNP Paribas, and
Jean-Paul Laurent of Université Lyon 1
(436K PDF) -- 38 pages -- September, 9, 2009 How to Find Plausible, Severe and Useful Stress Scenarios
by Thomas Breuer of the Fachhochschule Vorarlberg,
Martin Jandačka of the Fachhochschule Vorarlberg,
Klaus Rheinberger of the Fachhochschule Vorarlberg, and
Martin Summer of the Oesterreichische Nathionalbank
(496K PDF) -- 20 pages -- September 2009 Bankruptcy Codes, Liquidation Timing, and Debt Valuation
by Max Bruche of CEMFI
(374K PDF) -- 51 pages -- July 2009 Estimating Discriminatory Power and PD Curves when the Number of Defaults is Small
by Dirk Tasche of Lloyds Banking Group
(802K PDF) -- 58 pages -- May 24, 2009 Simple Formulas for Standard Errors that Cluster by Both Firm and Time
by Samuel B. Thompson of the Arrowstreet Capital L.P.
(275K PDF) -- 25 pages -- May 12, 2009 On the Determinants of the Implied Default Barrier
by Georges Dionne HEC Montréal, and
Sadok Laajimi of HEC Montréal
(299K PDF) -- 46 pages -- April 8, 2009 Measuring Portfolio Credit Risk Correctly: Why parameter uncertainty matters
by Nikola A Tarashev of the Bank for International Settlements
(423K PDF) -- 43 pages -- April 3, 2009 Incorporating the Dynamics of Leverage into Default Prediction
by Gunter Löffler of Universität Ulm, and
Alina Maurer of Universität Ulm
(368K PDF) -- 28 pages -- April 2009 Credit Risk, Default Loss, and the Economics of Bankruptcy
by John F. Crean of the University of Toronto
(288K PDF) -- 51 pages -- March 30, 2009 Bank Monitoring Incentives and Optimal CDOs
by Henri Pagès of Banque de France
(295K PDF) -- 33 pages -- March 27, 2009 Stefanescu, Catalina, Radu Tunaru, Stuart M. Turnbull, "The Credit Rating Process and Estimation of Transition Probabilities: A Bayesian approach", Journal of Empirical Finance, Vol. 16, No. 2, (March 2009), pp. 216-234. Tightening Credit Standards: The role of accounting quality
by Philippe Jorion of the University of California, Irvine,
Charles Shi of the University of California, Irvine, and
Sanjian Zhang of Lehigh University
(595K PDF) -- 38 pages -- March 2009 A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework
by Xavier Burtschell of BNP-Paribas,
Jon Gregory - Consultant, and
Jean-Paul Laurent of Université de Lyon & BNP-Paribas
(541K PDF) -- 34 pages -- February 20, 2009 Rating Philosophy and Dynamic Properties of Internal Rating Systems: A general framework and an application to backtesting
by Marco Morone of Intesa Sanpaolo, and
Anna Cornaglia of Intesa Sanpaolo
(284K PDF) -- 25 pages -- January 23, 2009 Rosen, Dan, David Saunders, "Analytical Methods for Hedging Systematic Credit Risk with Linear Factor Portfolios", Journal of Economic Dynamics and Control, Vol. 33, No. 1, (January 2009), pp. 37-52 Is it (Still) Mostly Fiscal? Determinants of sovereign spreads in emerging markets
by Emanuele Baldacci of the International Monetary Fund,
Sanjeev Gupta of the International Monetary Fund, and
Amine Mati of the International Monetary Fund
(651K PDF) -- 24 pages -- November 2008 Correlation in Corporate Defaults: Contagion or conditional independence?
by David Lando of the Copenhagen Business School, and
Mads Stenbo Nielsen of the Copenhagen Business School
(620K PDF) -- 41 pages -- August 7, 2008 CVA Calculation for CDS on Super Senior ABS CDO
by Hui Li of AIG
(131K PDF) -- 5 pages -- August 2008 Pricing Synthetic CDO Tranches in a Model with Default Contagion using the Matrix-Analytic Approach
by Alexander Herbertsson of the University of Gothenburg
(409K PDF) -- 31 pages -- July 14, 2008 Banachewicz, Konrad , André Lucas, " Quantile Forecasting for Credit Risk Management Using Possibly Mis-specified Hidden Markov Models", Journal of Forecasting, Vol. 27, No. 7, (July 2008), pp. 566-586. Conditional Loss Estimation Using a South African Global Error Correcting Macroeconometric Model
by Albert H. De Wet of FirstRand Bank, South Africa,
Reneé Van Eyden of the University of Pretoria, and
Rangan Gupta of the University of Pretoria
(287K PDF) -- 32 pages -- July 2008 Nested Simulation in Portfolio Risk Measurement
by Michael B. Gordy of the Federal Reserve Board, and
Sandeep Juneja of the Tata Institute of Fundamental Research
(347K PDF) -- 33 pages -- April 8, 2008 Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions
by Stephen Figlewski of New York University,
Halina Frydman of New York University, and
Weijian Liang of New York University
(195K PDF) -- 57 pages -- March 29, 2008 Credit Risk Assessment Considering Variations in Exposure: Application to commitment lines
by Shigeaki Fujiwara of the Bank of Japan
(303K PDF) -- 34 pages -- February 2008 Designing and Implementing a Basel II Compliant PIT-TTC Ratings Framework
by Scott D. Aguais of Barclays Capital,
Lawrence R. Forest Jr. of Barclays Capital,
Martin King of Barclays Capital,
Marie Claire Lennon of Barclays Capital, and
Brola Lordkipanidze of Barclays Capital
(289K PDF) -- 33 pages -- January 27, 2008 Parnes, Dror, "Time Series Patterns in Credit Ratings", Finance Research Letters, Vol. 4, No. 4, (December 2007), pp. 217-226. A Stochastic Processes Toolkit for Risk Management
by Damiano Brigo of FitchSolutions,
Antonio Dalessandro of FitchSolutions,
Matthias Neugebauer of FitchSolutions, and
Fares Triki of FitchSolutions
(2,995K PDF) -- 43 pages -- November 15, 2007 Default Contagion in Large Homogeneous Portfolios
by Alexander Herbertsson of Göteborg University
(1,512K PDF) -- 24 pages -- November 10, 2007 Banking and Securitization
by Wenying Jiangli of the Federal Deposit Insurance Corporation,
Matthew Pritsker of the Federal Reserve Board, and
Peter Raupach of the Bundesbank
(582K PDF) -- 82 pages -- November 23, 2007 Ownership Links, Leverage and Credit Risk
by Elisa Luciano of the Università di Torino, and
Giovanna Nicodano of the Università di Torino
(458K PDF) -- 47 pages -- November 2007 Measuring Sovereign Risk in Turkey: An application of the contingent claims approach
by Christian Keller of the International Monetary Fund,
Peter Kunzel of the International Monetary Fund, and
Marcos Souto of the International Monetary Fund
(476K PDF) -- 29 pages -- October 2007 Estimating Tranche Spreads by Loss Process Simulation
by Kay Giesecke of Stanford University, and
Baeho Kim of Stanford University
(252K PDF) -- 10 pages -- July 15, 2007 Confidence Sets for Asset Correlation
by Delphine Cassart of the Universite Libre de Bruxelles,
Carlos Castro of the Universite Libre de Bruxelles,
Ronny Langendries of Dexia SA, and
Thomas Alderweireld of Dexia SA
(420K PDF) -- 31 pages -- July 6, 2007 Modelling Default Contagion using Multivariate Phase-type Distributions
by Alexander Herbertsson of Göteborg University
(832K PDF) -- 35 pages -- April 16, 2007 Simulation Based Approach for Measuring Concentration Risk
by Joocheol Kim of Yonsei University, and
Duyeol Lee of Yonsei University
(256K PDF) -- 15 pages -- April 2007 Liquidity and Capital Structure
by Ronald W Anderson of the London School of Economics, and
Andrew Carverhill of Hong Kong University
(449K PDF) -- 52 pages -- January 2007 Sovereign Debt Crises and Credit to the Private Sector
by Carlos Arteta of the Federal Reserve Board, and
Galina Hale of the Federal Reserve Bank of San Francisco
(323K PDF) -- 42 pages -- December 15, 2006 Capital Structure, Credit Risk, and Macroeconomic Conditions
by Dirk Hackbarth of Washington University,
Jianjun Miao of Boston University, and
Erwan Morellec of the University of Lausanne & CEPR
(374K PDF) -- 32 pages --December 2006 Currency Mismatches and Corporate Default Risk: Modeling, Measurement, and Surveillance Applications
by Jorge A. Chan-Lau of the International Monetary Fund, and
Andre O. Santos of the International Monetary Fund
(513K PDF) -- 13 page -- December 2006 Pricing k-th-to-default Swaps Under Default Contagion: The matrix-analytic approach
by Alexander Herbertsson of Göteborg University, and
Holger Rootzen of Chalmers University of Technology
(448K PDF) -- 27 pages -- November 27, 2006 Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model
by Olivier Le Courtois of EM Lyon, and
François Quittard-Pinon of the University of Lyon 1
(357K PDF) -- 34 pages -- November 22, 2006 Analytical Methods for Hedging Systematic Credit Risk with Linear Factor Portfolios
by Dan Rosen of the Fields Institute for Research in Mathematical Sciences, and
David Saunders of the University of Waterloo
(1,332K PDF) -- 47 pages -- November 2006 A Unified Approach to Credit Default Swaption and Constant Maturity Credit Default Swap Valuation
by Martin Krekel of HypoVereinsbank, and
Jorg Wenzel of Fraunhofer ITWM
(774K PDF) -- 57 pages -- October 12, 2006 Default Estimation for Low Default Portfolios
by Nicholas M. Kiefer of Cornell University
(219K PDF) -- 28 pages -- August 2006 Optimal Bank Capital with Costly Recapitalization
by Samu Peura of Sampo plc, and
Jussi Keppo of the University of Michigan
(497K PDF) -- 39 pages -- July 2006 Should Banks Be Diversified? Evidence from individual bank loan portfolios
by Viral V. Acharya of the London Business School,
Iftekhar Hasan of the Rensselaer Polytechnic Institute, and
Anthony Saunders of New York University
(301K PDF) -- 58 pages -- May 2006 Liquidation Triggers and the Valuation of Equity and Debt
by Dan Galai of the Hebrew University of Jerusalem & New York University,
Alon Raviv of the Hebrew University of Jerusalem, and
Zvi Wiener of the Hebrew University of Jerusalem
(330K PDF) -- 35 pages -- January 26, 2006 Eberhart, Allan C., " A Comparison of Merton's Option Pricing Model of Corporate Debt Valuation to the Use of Book Values", Journal of Corporate Finance, Vol. 11, No. 1-2, (March 2005), pp. 401-426. Credit Ratings and Stock Liquidity
by Elizabeth R. Odders-White of the University of Wisconsin, and
Mark J. Ready of the University of Wisconsin
(571K PDF) -- 58 pages -- October 2004 Using Yield Spreads to Estimate Expected Returns on Debt and Equity
by Ian A. Cooper of the London Business School, and
Sergei A. Davydenko of the London Business School
(331K PDF) -- 35 pages -- August 9, 2004 Peura, Samu, Esa Jokivuolle, "Simulation Based Stress Tests of Banks' Regulatory Capital Adequacy", Journal of Banking & Finance, Vol. 28, No. 8, (August 2004), pp. 1801-1824. The Contingent Claims Approach to Corporate Vulnerability Analysis: Estimating Default Risk and Economy-wide Risk Transfer
by Michael T. Gapen of the International Monetary Fund,
Dale F. Gray of Macro Financial Risk Corporation & Consultant to the Macro Financial Risk Project at Moody's Investors Service,
Cheng Hoon Lim of the International Monetary Fund, and
Yingbin Xiao of the International Monetary Fund
(925K PDF) -- 44 pages -- July 2004 Accounting Quality and Debt Contracting
by Sreedhar T. Bharath of the University of Michigan,
Jayanthi Sunder of Northwestern University, and
Shyam V. Sunder of Northwestern University
(214K PDF) -- 48 pages -- July 2004 Capital Structure and Asset Prices: Some Effects of Bankruptcy Procedures
by Pascal François of HEC Montreal, and
Erwan Morellec of the University of Lausanne, University of Rochester, & FAME
(159K PDF) -- 25 pages -- April 2004 Risk Management, Capital Structure and Lending at Banks
by A. Sinan Cebenoyan of Hofstra University, and
Philip E. Strahan of Boston College
(257K PDF) -- 25 pages -- January 2004 Secured Creditor Recovery Rates from Management Buy-outs in Distress
by David Citron of the City University,
Mike Wright of the Nottingham University,
Rod Ball of the Nottingham University, and
Fred Rippington of the City University
(83K PDF) -- 44 pages -- June 2002 Optimal Default Boundary in Discrete Time Models
by Agata Altieri of the Universitá di Padova, and
Tiziano Vargiolu of the Universitá di Padova
(212K PDF) -- 16 pages -- June 2002 Helwege, Jean, and Frank Packer, " Determinants of the Choice of Bankruptcy Procedure in Japan", Journal of Financial Intermediation, Vol. 12, No. 1, (January 2003), pp. 96-120. Rogers, L.C.G. and Bianca Hilberink, " Optimal Capital Structure and Endogenous Default", Finance and Stochastics, Vol. 6, No. 2, (April 2002), pp. 237-263. Mella-Barral, Pierre, " The Dynamics of Default and Debt Reorganization", Review of Financial Studies, Vol. 12, No. 3, (Fall 1999), pp. 535-578. The Importance of Bank Seniority for Relationship Lending
by Stanley D. Longhofer of the Federal Reserve Bank of Cleveland, and
João A.C. Santos of the Bank for International Settlements
(306K PDF) -- 50 pages -- September 1999 Collateral, Renegotiation and the Value of Diffusely Held Debt
by Ulrich Hege of Tilburg University, and
Pierre Mella-Barral of the London School of Economics
(480K PDF) -- 45 pages -- September 1999 The Timing of Debt Issuance and Rating Migrations: Theory and Evidence
by Dan Covitz of the Federal Reserve Board of Governors, and
Paul Harrison of the Federal Reserve Board of Governors
(108K PDF) -- 45 pages -- September 1999 Credit Risk Modeling and Internal Capital Allocation Processes: Implications for a models-based regulatory bank capital standard
by David Jones of the Federal Reserve Board of Governors, and
John Mingo of the Federal Reserve Board of Governors
(175K PDF) -- 30 pages -- March 1999 Debtor- in-possession financing: Size does matter
by Maria Carapeto in the PhD Programme of the London Business School
(155K PDF) -- 56 pages -- November 20, 1998 Leland, Hayne E. and Klaus Bjerre Toft. " Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads", Journal of Finance, Vol. 51, No. 3, (July 1996), pp. 987-1019.
[Home] [JEL Classification] | 
