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1、CHAPTER40creditriskInthisChapter...•modelsforinstantaneousandexogenousriskofdefault•stochasticriskofdefaultandimpliedriskofdefault•creditratings•howtomodelchangeofrating•howtomodelriskofdefaultinconvertiblebonds40.1INTRODUCTIONInthepreviouschapterIdescr
2、ibedsomewaysoflookingatdefaultviamodelsforthecredit-worthinessofthefirmissuingthedebt.Thisisaniceapproachifyouhaveaccesstoallthedata.Amorerecentapproachistomodeldefaultasacompletelyexogenouseventi.e.abitlikethetossingofacoinortheappearanceofzeroonaroulet
3、tewheel,andhavingnothingtodowithhowwellthecompanyorcountryisdoing.Typically,onetheninfersfromriskybondpricestheprobabilityofdefaultasperceivedbythemarket.I’mnotwildaboutthisideabutitisverypopular.LaterinthischapterIdescribetheratingserviceprovidedbyStan
4、dard&Poor’sandMoody’s,forexample.Theseratingsprovideapublishedestimateoftherelativecreditworthinessoffirms.40.2RISKYBONDSIfyouareacompanywantingtoexpand,butwithoutthenecessarycapital,youcouldborrowthecapital,intendingtopayitbackwithinterestatsometimeinth
5、efuture.Thereisachance,however,thatbeforeyoupayoffthedebtthecompanymayhavegotintofinancialdifficultiesorevengonebankrupt.Ifthishappens,thedebtmayneverbepaidoff.Becauseofthisriskofdefault,thelenderwillrequireasignificantlyhigherinterestratethanifhewerelendi
6、ngtoaveryreliableborrowersuchastheUSgovernment.Therealsituationis,ofcourse,morecomplicatedthanthis.Inpracticeitisnotjustacaseofallornothing.Thisbringsustotheideasoftheseniorityofdebtandthepartialpaymentofdebt.Firmstypicallyissuebondswithalegalranking,de
7、terminingwhichofthebondstakepriorityintheeventofbankruptcyorinabilitytorepay.Thehigherthepriority,themorelikelythedebt650PartFourcreditrisk121086YieldUScurve4Ba3B12Caa1NR0012468102DurationFigure40.1Yieldversusdurationforsomeriskybonds.istoberepaid,thehi
8、gherthebondvalueandtheloweritsyield.Intheeventofbankruptcythereistypicallyalong,drawnoutbattleoverwhichcreditorsgetpaid.Itisusual,evenaftermanyyears,forcreditorstogetsomeoftheirmoneyback.Thenthequestionishowmuchandhowsoon?Itisals
