| 来源类型 | FEEM working papers "Note di lavoro" series |
| 规范类型 | 论文 |
| Hunting the Living Dead A "Peso Problem" in Corporate Liabilities Data | |
| Matteo Manera; Umberto Cherubini | |
| 发表日期 | 2005 |
| 出处 | Economy and Society |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | Recent literature has pointed out that information asymmetries may be the reason for the poor performance of structural credit risk models to fit corporate bond data. It is well known in fact that these models lead to a strong understatement of the credit spread terms structure, particularly on the short maturity end. Possible explanations stem from strategic debt service behavior and, as discovered more recently, the problem of accounting transparency. This raises the possibility that some of these flaws could be reconducted to a sort of "peso problem", i.e. that the market may ask for a premium in order to allow for a small probability that accounting data may actually be biased (Baglioni and Cherubini, 2005). In this paper we propose a modified version of the Duan (1994,2000) MLE approach to structural models estimation in order to allow for this "peso problem" effect. The model is estimated for the Parmalat case, one of the most famous cases of accounting opacity, using both equity and CDS data. |
| 特色分类 | C22,G33 |
| 关键词 | Credit risk,Corporate debt,Peso problem,Maximum likelihood,Transformed data |
| URL | https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/hunting-the-living-dead-a-peso-problem-in-corporate-liabilities-data/ |
| 来源智库 | Fondazione Eni Enrico Mattei (Italy) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/117188 |
| 推荐引用方式 GB/T 7714 | Matteo Manera,Umberto Cherubini. Hunting the Living Dead A "Peso Problem" in Corporate Liabilities Data. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| NDL2005-076.pdf（418KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
