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Corporate Distress and Restructuring with Macroeconomic Fluctuations: The Cases of GM and Ford

Oxelheim, Lars LU and Wihlborg, Clas (2008)
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.
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author
organization
publishing date
type
Working Paper
publication status
unpublished
subject
keywords
GM, default predictions, Z-scores, credit risk, creditworthiness, Ford, restructuring
publisher
IFN Working Paper series
language
English
LU publication?
yes
id
886faf74-1c3e-4527-941f-c87a00a76a40 (old id 1514167)
alternative location
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1313720
date added to LUP
2009-12-30 10:10:31
date last changed
2016-08-29 16:23:59
@misc{886faf74-1c3e-4527-941f-c87a00a76a40,
  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.},
  author       = {Oxelheim, Lars and Wihlborg, Clas},
  keyword      = {GM,default predictions,Z-scores,credit risk,creditworthiness,Ford,restructuring},
  language     = {eng},
  publisher    = {ARRAY(0x9916e18)},
  title        = {Corporate Distress and Restructuring with Macroeconomic Fluctuations: The Cases of GM and Ford},
  year         = {2008},
}