Measuring the probability of financial covenant violation in private debt contracts
We measure the probability that a borrower will violate financial covenants in private debt contracts. We analyze hand-coded data and specify standard covenant definitions using Compustat data that minimize measurement error for all individual Dealscan covenants. We use these definitions to create a...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Demerjian, Peter R. [verfasserIn] |
|---|
| Format: |
E-Artikel |
|---|---|
| Sprache: |
Englisch |
| Erschienen: |
2016 |
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| Schlagwörter: |
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| Umfang: |
15 |
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| Übergeordnetes Werk: |
Enthalten in: Impact of a Hygiene Intervention on Virus Transmission in a Long-term Care Facility - Sifuentes, Laura Y. ELSEVIER, 2014, Amsterdam [u.a.] |
|---|---|
| Übergeordnetes Werk: |
volume:61 ; year:2016 ; number:2 ; pages:433-447 ; extent:15 |
| Links: |
|---|
| DOI / URN: |
10.1016/j.jacceco.2015.11.001 |
|---|
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ELV035133406 |
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| 520 | |a We measure the probability that a borrower will violate financial covenants in private debt contracts. We analyze hand-coded data and specify standard covenant definitions using Compustat data that minimize measurement error for all individual Dealscan covenants. We use these definitions to create a measure of aggregate probability of violation, which can be used across all covenants in a loan or among covenant subsets of interest. We provide evidence that our aggregate probability measure is superior to alternatives used in prior literature. | ||
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10.1016/j.jacceco.2015.11.001 doi GBVA2016005000015.pica (DE-627)ELV035133406 (ELSEVIER)S0165-4101(15)00072-5 DE-627 ger DE-627 rakwb eng 330 330 DNB 610 VZ 540 VZ 35.18 bkl Demerjian, Peter R. verfasserin aut Measuring the probability of financial covenant violation in private debt contracts 2016 15 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier We measure the probability that a borrower will violate financial covenants in private debt contracts. We analyze hand-coded data and specify standard covenant definitions using Compustat data that minimize measurement error for all individual Dealscan covenants. We use these definitions to create a measure of aggregate probability of violation, which can be used across all covenants in a loan or among covenant subsets of interest. We provide evidence that our aggregate probability measure is superior to alternatives used in prior literature. Covenant violation Elsevier Dealscan Elsevier Debt covenants Elsevier Owens, Edward L. oth Enthalten in Elsevier Sifuentes, Laura Y. ELSEVIER Impact of a Hygiene Intervention on Virus Transmission in a Long-term Care Facility 2014 Amsterdam [u.a.] (DE-627)ELV022562850 volume:61 year:2016 number:2 pages:433-447 extent:15 https://doi.org/10.1016/j.jacceco.2015.11.001 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U GBV_ILN_20 GBV_ILN_21 GBV_ILN_72 GBV_ILN_130 GBV_ILN_2002 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2012 GBV_ILN_2016 35.18 Kolloidchemie Grenzflächenchemie VZ AR 61 2016 2 433-447 15 045F 330 |
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10.1016/j.jacceco.2015.11.001 doi GBVA2016005000015.pica (DE-627)ELV035133406 (ELSEVIER)S0165-4101(15)00072-5 DE-627 ger DE-627 rakwb eng 330 330 DNB 610 VZ 540 VZ 35.18 bkl Demerjian, Peter R. verfasserin aut Measuring the probability of financial covenant violation in private debt contracts 2016 15 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier We measure the probability that a borrower will violate financial covenants in private debt contracts. We analyze hand-coded data and specify standard covenant definitions using Compustat data that minimize measurement error for all individual Dealscan covenants. We use these definitions to create a measure of aggregate probability of violation, which can be used across all covenants in a loan or among covenant subsets of interest. We provide evidence that our aggregate probability measure is superior to alternatives used in prior literature. Covenant violation Elsevier Dealscan Elsevier Debt covenants Elsevier Owens, Edward L. oth Enthalten in Elsevier Sifuentes, Laura Y. ELSEVIER Impact of a Hygiene Intervention on Virus Transmission in a Long-term Care Facility 2014 Amsterdam [u.a.] (DE-627)ELV022562850 volume:61 year:2016 number:2 pages:433-447 extent:15 https://doi.org/10.1016/j.jacceco.2015.11.001 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U GBV_ILN_20 GBV_ILN_21 GBV_ILN_72 GBV_ILN_130 GBV_ILN_2002 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2012 GBV_ILN_2016 35.18 Kolloidchemie Grenzflächenchemie VZ AR 61 2016 2 433-447 15 045F 330 |
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10.1016/j.jacceco.2015.11.001 doi GBVA2016005000015.pica (DE-627)ELV035133406 (ELSEVIER)S0165-4101(15)00072-5 DE-627 ger DE-627 rakwb eng 330 330 DNB 610 VZ 540 VZ 35.18 bkl Demerjian, Peter R. verfasserin aut Measuring the probability of financial covenant violation in private debt contracts 2016 15 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier We measure the probability that a borrower will violate financial covenants in private debt contracts. We analyze hand-coded data and specify standard covenant definitions using Compustat data that minimize measurement error for all individual Dealscan covenants. We use these definitions to create a measure of aggregate probability of violation, which can be used across all covenants in a loan or among covenant subsets of interest. We provide evidence that our aggregate probability measure is superior to alternatives used in prior literature. Covenant violation Elsevier Dealscan Elsevier Debt covenants Elsevier Owens, Edward L. oth Enthalten in Elsevier Sifuentes, Laura Y. ELSEVIER Impact of a Hygiene Intervention on Virus Transmission in a Long-term Care Facility 2014 Amsterdam [u.a.] (DE-627)ELV022562850 volume:61 year:2016 number:2 pages:433-447 extent:15 https://doi.org/10.1016/j.jacceco.2015.11.001 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U GBV_ILN_20 GBV_ILN_21 GBV_ILN_72 GBV_ILN_130 GBV_ILN_2002 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2012 GBV_ILN_2016 35.18 Kolloidchemie Grenzflächenchemie VZ AR 61 2016 2 433-447 15 045F 330 |
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10.1016/j.jacceco.2015.11.001 doi GBVA2016005000015.pica (DE-627)ELV035133406 (ELSEVIER)S0165-4101(15)00072-5 DE-627 ger DE-627 rakwb eng 330 330 DNB 610 VZ 540 VZ 35.18 bkl Demerjian, Peter R. verfasserin aut Measuring the probability of financial covenant violation in private debt contracts 2016 15 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier We measure the probability that a borrower will violate financial covenants in private debt contracts. We analyze hand-coded data and specify standard covenant definitions using Compustat data that minimize measurement error for all individual Dealscan covenants. We use these definitions to create a measure of aggregate probability of violation, which can be used across all covenants in a loan or among covenant subsets of interest. We provide evidence that our aggregate probability measure is superior to alternatives used in prior literature. Covenant violation Elsevier Dealscan Elsevier Debt covenants Elsevier Owens, Edward L. oth Enthalten in Elsevier Sifuentes, Laura Y. ELSEVIER Impact of a Hygiene Intervention on Virus Transmission in a Long-term Care Facility 2014 Amsterdam [u.a.] (DE-627)ELV022562850 volume:61 year:2016 number:2 pages:433-447 extent:15 https://doi.org/10.1016/j.jacceco.2015.11.001 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U GBV_ILN_20 GBV_ILN_21 GBV_ILN_72 GBV_ILN_130 GBV_ILN_2002 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2012 GBV_ILN_2016 35.18 Kolloidchemie Grenzflächenchemie VZ AR 61 2016 2 433-447 15 045F 330 |
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10.1016/j.jacceco.2015.11.001 doi GBVA2016005000015.pica (DE-627)ELV035133406 (ELSEVIER)S0165-4101(15)00072-5 DE-627 ger DE-627 rakwb eng 330 330 DNB 610 VZ 540 VZ 35.18 bkl Demerjian, Peter R. verfasserin aut Measuring the probability of financial covenant violation in private debt contracts 2016 15 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier We measure the probability that a borrower will violate financial covenants in private debt contracts. We analyze hand-coded data and specify standard covenant definitions using Compustat data that minimize measurement error for all individual Dealscan covenants. We use these definitions to create a measure of aggregate probability of violation, which can be used across all covenants in a loan or among covenant subsets of interest. We provide evidence that our aggregate probability measure is superior to alternatives used in prior literature. Covenant violation Elsevier Dealscan Elsevier Debt covenants Elsevier Owens, Edward L. oth Enthalten in Elsevier Sifuentes, Laura Y. ELSEVIER Impact of a Hygiene Intervention on Virus Transmission in a Long-term Care Facility 2014 Amsterdam [u.a.] (DE-627)ELV022562850 volume:61 year:2016 number:2 pages:433-447 extent:15 https://doi.org/10.1016/j.jacceco.2015.11.001 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U GBV_ILN_20 GBV_ILN_21 GBV_ILN_72 GBV_ILN_130 GBV_ILN_2002 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2012 GBV_ILN_2016 35.18 Kolloidchemie Grenzflächenchemie VZ AR 61 2016 2 433-447 15 045F 330 |
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We measure the probability that a borrower will violate financial covenants in private debt contracts. We analyze hand-coded data and specify standard covenant definitions using Compustat data that minimize measurement error for all individual Dealscan covenants. We use these definitions to create a measure of aggregate probability of violation, which can be used across all covenants in a loan or among covenant subsets of interest. We provide evidence that our aggregate probability measure is superior to alternatives used in prior literature. |
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We measure the probability that a borrower will violate financial covenants in private debt contracts. We analyze hand-coded data and specify standard covenant definitions using Compustat data that minimize measurement error for all individual Dealscan covenants. We use these definitions to create a measure of aggregate probability of violation, which can be used across all covenants in a loan or among covenant subsets of interest. We provide evidence that our aggregate probability measure is superior to alternatives used in prior literature. |
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We measure the probability that a borrower will violate financial covenants in private debt contracts. We analyze hand-coded data and specify standard covenant definitions using Compustat data that minimize measurement error for all individual Dealscan covenants. We use these definitions to create a measure of aggregate probability of violation, which can be used across all covenants in a loan or among covenant subsets of interest. We provide evidence that our aggregate probability measure is superior to alternatives used in prior literature. |
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10.1016/j.jacceco.2015.11.001 |
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2024-07-06T16:45:52.128Z |
| _version_ |
1803848884821164032 |
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7.3995123 |