Credit Spreads with Jump Risks and Stationary Leverage Ratio

AbstractWe build a structural two-factor model of default where the stock market index is one of the stochastic factors. We allow the firm to adjust its leverage ratio in response to changes in the business climate for which the past performance of the stock market index acts as a proxy. We assume that the firm's log-leverage ratio follows a mean-reverting process and that the past performance of the stock index negatively affects the firms target leverage ratio. We show that for most credit ratings our model may explain actual yield spreads better than other well-known structural credit risk models. Also, our model shows that the past performance of the stock index returns and the firm's assets beta have a significant impact on credit spreads. Hence, our model can explain why credit spreads may be different within the same credit rating groups and why spreads are lower during economic expansions and higher during recessions.

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PENGARUH PERPUTARAN PIUTANG DAN SOLVABILITAS TERHADAP KONDISI FINANCIAL DISTRESS PERUSAHAAN MANUFAKTUR SEKTOR GARMEN DAN TEKSTIL DI BURSA EFEK INDONESIA

Jurnal Pengembangan Wiraswasta ◽

10.33370/jpw.v19i2.128 ◽

2018 ◽

Vol 19 (2) ◽

pp. 87

Author(s):

Siska Wulandari

Keyword(s):

Financial Distress ◽

Free Market ◽

Linear Regression Analysis ◽

Secondary Data ◽

Multiple Linear Regression Analysis ◽

Working Capital ◽

Leverage Ratio ◽

Ratio Effect ◽

Waste Bank ◽

Solvency Ratio

Manufacture Sub Sector Garment And Textile have financial distress condition. Increas of sales is one of choice for company can be competitive in free market. But increase of sales will be followed by the many possibilities of uncollected receivable or the low receivable turnover which can effect forced the company to further provide working capital. One way is to get working capital from a third part or what we call debt.This research aims to determine the effect of receivable turnover and the solvency ratio toward the financial distressThe problems of the research were: 1) is the receivable turnover effect toward financial distress condition on Garmen and textile company Listed on IDX on 2011-2015? 2) is the leverage ratio effect toward financial distress condition on Garmen and textile company Listed on IDX on 2011-2015 ? 3) Are the receivable turnover and solvency ratio effect toward financial distress condition on Garmen and textile company Listed on IDX on 2011-2015?The sample of this research is 11 Manufacture company of sub sector Garmen And Textile were taken by using purposive sampling techniques. This research data used secondary data that getting from literature review. Data were tested using multiple linear regression analysis to determine the effect between one variable with another variables, and the data was then processed using SPSS 22.0 for windows.Result of the research showed that partially, receivables turnover hadnâ€™t a significant effect towardÂ the financial distress. Partially, solvency ratio (Debt to Asset) had a significant influence toward financial distress Simultaneously, receivable turnover and solvency ratio had a significant effect toward financial distress.Â Kata kunci:Waste Bank, Waste Bank Management, Waste Bank Basic Concepts, Economic Improvement of the Family

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Another Look at the Relation between Credit Spreads and Interest Rates

CFA Digest ◽

10.2469/dig.v38.n1.9 ◽

2008 ◽

Vol 38 (1) ◽

pp. 20-22

Author(s):

Deborah Kidd

Keyword(s):

Interest Rates ◽

Credit Spreads

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Role of Credit Rating in determining Capital structure: Evidence from Non-Financial sector of Pakistan

Studies of Applied Economics ◽

10.25115/eea.v38i3.3066 ◽

2020 ◽

Vol 38 (3) ◽

Cited By ~ 1

Author(s):

Shoaib Ali ◽

Imran Yousaf ◽

Muhammad Naveed

Keyword(s):

Capital Structure ◽

Credit Rating ◽

Least Square ◽

Annual Data ◽

Leverage Ratio ◽

Financial Decisions ◽

Financial Firms ◽

High Level ◽

The Impact ◽

The Capital Structure

This paper aims to examine the impact of external credit ratings on the financial decisions of the firms in Pakistan. This study uses the annual data of 70 non-financial firms for the period 2012-2018. It uses ordinary least square (OLS) to estimate the impact of credit rating on capital structure. The results show that rated firm has a high level of leverage. Moreover, Profitability and tanagability are also found to be a significantly negative determinant of the capital structure, whereas, size of the firm has a significant positive relationship with the capital structure of the firm. Besides, there exists a non-linear relationship between the credit rating and the capital structure. The rated firms have higher leverage as compared to the non-rated firms. The high and low rated firms have a low level of leverage, while mid rated firms have a higher leverage ratio. The finding of the study have practical implications for the manager; they can have easier access to the financial market by just having a credit rating no matter high or low. Policymakers must stress upon the rating agencies to keep improving themselves as their rating severs as the measure to judge the creditworthiness of the firm by both the investors and management as well.

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PENGARUH RASIO KEUANGAN TERHADAP PENCAPAIAN LABA PERUSAHAAN KELOMPOK INDUSTRI MAKANAN YANG TERDAFTAR DI BURSA EFEK INDONESIA

Jurnal Manajemen Bisnis Krisnadwipayana ◽

10.35137/jmbk.v4i1.28 ◽

2016 ◽

Vol 4 (1) ◽

Author(s):

Akhmad Sodiqin

Keyword(s):

Stock Exchange ◽

Fixed Effect ◽

Current Ratio ◽

Return On Equity ◽

Leverage Ratio ◽

Food Industries ◽

Equity Ratio ◽

Turn Over

The aims of this research are to know influence of finacial ratios which consisted of Current ratio, Debt equity ratio, Leverage ratio, Inventory turn over, and total assets turn over to return on equity simultanously and to know influence of finacial ratios which consisted of Current ratio, Debt equity ratio, Leverage ratio, Inventory turn over, and total assets turn over to return on equity partially. Data was analyzed used fixed effect model.Data which collected for 3 years from 2011 until 2013 comes 8 firms in food industries listed in Indonesian Stock Exchange (IDX). Based on data analyzed was known that finacial ratios which consisted of Current ratio, Debt equity ratio, Leverage ratio, Inventory turn over, and total assets turn over to didn’t influence to return on equity simultanously and finacial ratios which consisted of Current ratio, Leverage ratio, Inventory turn over, and total assets turn over didn’t inluence to return on equity partially but debt equity ratio influence significantly to return on equity.

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