Working Papers

Quantitative Finance

J-series

Date:

Number:CARF-J-011

負債の期間構造と信用リスク評価

Author:池田亮一/小林孝雄/高橋明彦

Abstract

This paper proposes a structural model to price credit risk of firms with short-term and long-term debts. This enables one to distinguish between default probabilities in the short run and in the long run, and to identify how the composition of debts affects credit risk. We endogenize the banks' decision to bankrupt or save firms in insolvency, and analyze the influence of the governance structure on credit risk valuation.

Download

Download