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"Modeling Credit Risk: A Structural Approach with Long-term and Short-term Debts" (in Japanese)

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Author Info

  • Ryoichi Ikeda

    (Graduate School of Economics, University of Tokyo)

  • Takao Kobayashi

    (Faculty of Economics, University of Tokyo)

  • Akihiko Takahashi

    (Faculty of Economics, University of Tokyo)

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.

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File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2005/2005cj131.pdf
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Bibliographic Info

Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE J-Series with number CIRJE-J-131.

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Length: 41 pages
Date of creation: May 2005
Date of revision:
Handle: RePEc:tky:jseres:2005cj131

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