When Do Firms Default? A Study of the Default Boundary

Additive Intensity Regression Models in Corporate Default Analysis

“…Other default studies have used the same data supplemented with additional defaults from other sources -e.g. Li and Zhao (2006), Das et al (2007), Davydenko (2007), and Le (2007). Our main purpose here is to investigate the role of time-varying coefficients and the importance of model checking in an additive intensity regression setting.…”

“…In particular, we do not correct the timing of a "Distressed exchange," which in the DRSD is registered as the time of completion of the exchange, although as suggested by Davydenko (2007), it would probably be more appropriate to instead collect separate information on the announcement date of the exchange.…”

Resolution of financial distress under Chapter 11

“…We …rst show that the judge's vector of weights ; along with sharing rule (15), de…nes a unique reorganization plan c at (v; k). We then derive the analytic solution to the optimization problem (18)- (19) for all combinations of decisions by the followers, and all possible identities of the leader.…”

“…Over the last few years, Chapter 11 has become the dominant mode of resolution of …nancial distress for large public companies. Among the 213 bond defaults recorded by Moody's from 1997 to 2005, Davydenko (2010) documents that 54% of them are technical defaults (i.e. missed payment), while 37% are resolved through Chapter 11, with only 9% of defaults being resolved out of Court.…”

SME Manufacturing Credit Risk Model Forecast Correctness and Result of Model

“…(Gordon ,1971), (Davydenko, 2005) Very often, financial distress is determined in terms of failure, default, bankruptcy, or distressed restructuring, dependent on the underlying methodology and the objectives of the overall research. As a consequence, theoretical and empirical models of financial distress exhibit to a certain extent a one-sidedness in the context of the analysis questions.…”