Rollover Risk and Credit Risk

By Zhiguo He. 2012

615 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/5720179db9617f84da3cb44f828950ac037e9297

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

In Finance

Citations in the corpus

Do Debt Contract Enforcement Costs Affect Financing and Asset Structure (2014, positive): “Finally, there is a recent literature which highlights that reliance on short-term debt may expose a firm to rollover risk and increase its overall credit risk (e.g., He and Xiong (2012a), He and Xiong (2012b) and Gopalan et al. (2011)).”
The Relationship between Liquidity Risk and Credit Risk in Banks (2014, methodology): “He and Xiong (2012a), in building on Diamond and Dybvig (1983), also focus on debt rollover risk.”
Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle (2018, positive): “For instance, in He and Xiong [2012], a higher distance-to-default cannot affect the exogenously given secondary bond market liquidity.”
Leverage Dynamics without Commitment (2021, neutral): “See, for instance, Leland (1998), Leland and Toft (1996), He and Xiong (2012), and Diamond and He (2014).”
Common risk factors in the cross-section of corporate bond returns (2019, background): “S. equity market ($19 trillion), the corporate bond market is relatively smaller with a total amount outstanding of $12 trillion.(2) However, the issuance of corporate bonds is at a much larger scale than the issuance of stocks for U.S. corporations: an annual average of $1.3 trillion for corporate ”
How Debt Markets Have Malfunctioned in the Crisis (2009, positive): “Then over fi ve years, the probability that Morgan Stanley will default is approximately 60 percent, following basic probability rules. 12 Investors’ aversion to illiquidity and demand for liquid assets are present in most crises. Caballero and Krishnamurthy (2008) present a model showing how a rise”
When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response (2020, neutral): “Several papers focus specifically on liquidity in bond markets in the COVID-19 crisis as well, including O’Hara and Zhou (2020), Kargar et al.”