The bank as Grim Reaper: Debt composition and bankruptcy thresholds

• 成果类型: Article
• 署名作者: Carey, Mark; Gordy, Michael B.
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.05.048
• 发表日期: 2021
• 页码: 1092-1108
• 关键词: credit risk; RECOVERY RATES; bankruptcy; Debt default

摘要

We offer a model and evidence showing that private debtholders play a key role in setting the endogenous asset value threshold below which corporations declare bankruptcy. As predicted by the model, we find that the recovery rate at emergence from bankruptcy on all of the firm's debt taken together is increasing in the pre-bankruptcy share of private debt in all debt. We further find evidence consistent with a two-threshold model in which private debtholders force default in some cases and shareholders default strategically in others. (c) 2021 Elsevier B.V. All rights reserved.