This paper studies thirty‐one highly leveraged transactions (HLTs) that become financially,
not economically, distressed. The net effect of the HLT and financial distress (from …

Abstract The New Basel Accord will allow internationally active banking organizations to
calculate their credit risk capital requirements using an internal ratings based (IRB) …

We estimate probabilities of bankruptcy for 5784 industrial firms in the period 1988–2002 in
a model where common equity is viewed as a down-and-out barrier option on the firm's …

This survey provides a synthetic and evaluative survey of issues in corporate financial
distress and bankruptcy. This area has moved into a public domain as a result of the recent …

Our model assumes that creditors need to expend resources to collect on claims.
Consequently, because diffuse creditors suffer from mutual free‐riding (Holmstrom (1982)) …

Do strategic actions of borrowers and lenders affect corporate debt values? We find higher
bond spreads for firms that can renegotiate debt contracts relatively easily. Consistent with …

We examine the impact of the US bankruptcy procedure on the valuation of corporate
securities and capital structure decisions. We provide closed‐form solutions for corporate …

Explicit presence of reorganization in addition to liquidation leads to conflicts of interest
between borrowers and lenders. In the first–best outcome, reorganization adds value to both …

Credit risk is an important consideration in most financial transactions. As for any other risk,
the risk taker requires compensation for the undiversifiable part of the risk taken. In bond …

This report describes and documents LossCalc, Moody's model for predicting loss given
default (LGD): the equivalent of (1-recovery rate. LGD is of natural interest to investors and …