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KCI 등재 SCOPUS
Capital immobility and rollover risk in debt markets
( Hyun Soo Doh )
선물연구 31권 1호 29-54(26pages)
DOI 10.1108/JDQS-09-2022-0021
UCI I410-ECN-0102-2023-300-001125296

This paper aims to develop a credit-risk model in which firms face rollover risk, and the markets for defaulted assets are segmented due to entry costs. The paper shows that reducing the entry costs in this economy may decrease the total surplus of the economy. This outcome can arise because when market barriers are lifted, the gap between the liquidation prices across the markets will shrink, but then the market that would experience a price drop may face more bankruptcies because the rollover risk will increase in that market. The paper describes under which condition such an intervention policy improves or hurts the total surplus.

1. Introduction
2. Simple static model
3. Full credit-risk model
4. Model solutions
5. Model implications
6. Conclusion
Notes
References
[자료제공 : 네이버학술정보]
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