Corporate Distress and Restructuring with Macroeconomic Fluctuations: The Cases of GM and Ford
(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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1514167
- author
- Oxelheim, Lars LU and Wihlborg, Clas
- organization
- publishing date
- 2008
- type
- Working paper/Preprint
- 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- unpublished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
- 2016-04-04 11:57:02
- date last changed
- 2018-11-21 21:08:09
@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}}, keywords = {{GM; default predictions; Z-scores; credit risk; creditworthiness; Ford; restructuring}}, language = {{eng}}, note = {{Working Paper}}, publisher = {{IFN Working Paper series}}, title = {{Corporate Distress and Restructuring with Macroeconomic Fluctuations: The Cases of GM and Ford}}, url = {{https://lup.lub.lu.se/search/files/5892710/1522974.pdf}}, year = {{2008}}, }