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"Modeling Credit Risk: A Structural Approach with Long-term and Short-term Debts" (in Japanese)

Author

Listed:
  • Ryoichi Ikeda

    (Graduate School of Economics, University of Tokyo)

  • Takao Kobayashi

    (Faculty of Economics, University of Tokyo)

  • Akihiko Takahashi

    (Faculty of Economics, University of Tokyo)

Abstract

This paper proposes a structural model to price credit risk of firms with short-term and long-term debts. This enables one to distinguish between default probabilities in the short run and in the long run, and to identify how the composition of debts affects credit risk. We endogenize the banks' decision to bankrupt or save firms in insolvency, and analyze the influence of the governance structure on credit risk valuation.

Suggested Citation

  • Ryoichi Ikeda & Takao Kobayashi & Akihiko Takahashi, 2005. ""Modeling Credit Risk: A Structural Approach with Long-term and Short-term Debts" (in Japanese)," CIRJE J-Series CIRJE-J-131, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:jseres:2005cj131
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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2005/2005cj131.pdf
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