2017 Fiscal Year Final Research Report
Reserch on Credit Risk Management
| Project/Area Number |
16K17150
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Money/ Finance
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| Research Institution | Nanzan University |
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Principal Investigator |
Ikeda Ryoichi 南山大学, ビジネス研究科, 准教授 (40526480)
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| Research Collaborator |
Igarashi Yoske
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| Project Period (FY) |
2016-04-01 – 2018-03-31
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| Keywords | 信用リスク |
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| Outline of Final Research Achievements |
We study a structural model of credit risk in which the debt repayment is partially done by refinancing. We further extend the model by allowing the bank's option to postpone the date of debt maturity, given the observation that under the Japan's main bank system, the main bank of the firm sometimes postpones the firm’s repayment on default. In the model without postponement option, the lower asset recovery rate leads to higher bankruptcy risk and lower debt/stock values. While introducing the bank's postponement option has a very limited effect when the recovery rate is high, it reduces bankruptcy risk and hence increases the stock values dramatically, when is the recovery rate low.
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| Free Research Field |
ファイナンス
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