gave me a better understanding of the processes analyzed in this paper. Scott McNiven provided excellent research assistance, and Celine Castillo-Macy helped finalize the document. All errors and omissions are mine. ABSTRACT Using a longitudinal data set from Bukidnon, Philippines, this paper explores the impact of past credit constraints on asset holdings, intergenerational transfers, and cons...

The more the telecom services marketing paradigm evolves, the more important it becomes to retain high value customers. Traditional customer segmentation methods based on experience or ARPU (Average Revenue per User) consider neither customers’ future revenue nor the cost of servicing customers of different types. Therefore, it is very difficult to effectively identify high-value customers. In ...

Prior research documents significant negative long-term stock returns following bond-rating downgrades. Some downgraded firms are placed on credit watches before downgrades, and we find that the post-downgrade stock underperformance of such firms is significantly reduced. We explore two explanations for the difference in post-downgrade stock performance that are not mutually exclusive: (a) a cr...

I quantify a new motive of holding cash through the channel of financing risk. I show that if the access to future credit is risky, firms may issue long-term debt now and save funds in cash to secure the current credit capacity for the future. I structurally estimate the model and find that this motive explains about 30% of cash holdings in the data. Counterfactual experiments indicate that the...

This paper is an empirical investigation of the asset pricing implication of rollover risk, the risk that a firm might not be able to refinance its due liabilities. I focus on the long-term debt rollover risk and use the proportion of long-term debt falling due within the year to measure a firm’s exposure to rollover risk. I find that firm-specific rollover risk coupled with deteriorating marke...

We develop an agency model of financial contracting. We derive long-term debt, a line of credit, and equity as optimal securities, capturing the debt coupon and maturity; the interest rate and limits on the credit line; inside versus outside equity; dividend policy; and capital structure dynamics. The optimal debt-equity ratio is history dependent, but debt and credit line terms are independent...

While most of the empirical studies of structural credit risk models try to test the performance of structural models in bond and credit derivatives pricing, little results are provided for default prediction. Therefore, in this study, we empirically compare four structural credit risk models – for their default prediction capabilities. Our empirical results indicate that exogenous default boun...

This paper develops a framework for stress-testing the credit risk of Chinese commercial banks to macroeconomic shocks. Using data over the period 1985-2008, this study establishes a vector auto-regression (VAR) model to describe the links between default rate and macroeconomic factors, and then designs three stress scenarios to implement the stress testing by Monte Carlo simulation. As a resul...

The effective management of credit risk is a critical component of risk management and essential to the long-term success of any banking organization. Credit-risk management practices vary considerably among organizations. Bad accounts affect the credit reputation of the cardholder and cause issuers to loose billions of dollars each year. However, bad debts problems are complex, full of uncerta...

..................................................................................................................................................... 1 Students vs. Skills: Partitioning Variance Explained in Learner Models ........................................... 2 The Opportunity Count Model: A Flexible Approach to Modeling Student Performance ............. 10 Enhancing the Efficiency and R...