Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/81483
Authors: 
Oxelheim, Lars
Wihlborg, Clas
Year of Publication: 
2009
Series/Report no.: 
IFN Working Paper 780
Abstract: 
Traditional methods for evaluating corporate credit risk rarely consider the impact of the macro economy on corporate value and performance. We argue that lenders and management can obtain valuable information about the need for and approach to restructuring by decomposing default predictions into intrinsic and macroeconomic factors. We apply a method previously used for measuring macroeconomic exposures on default predictions in order to filter out macroeconomic factors. In this paper the method is applied on an analysis of the Z-scores for GM and Ford for the period 1996–2005. The macro economy has affected the two firms in different ways with implications for managements' and creditors' approaches to restoring their financial health.
Subjects: 
Credit Risk
Creditworthiness
Z-Scores
Default Predictions
GM
Ford
Restructuring
Macroeconomic Exposure
JEL: 
G11
G32
G33
G34
L16
L62
Document Type: 
Working Paper

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