Quantitative Market Risk Disclosure, Bond Default Risk and the Cost of Debt: Why Value at Risk
Guo, Hong-Tao
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Permalink
https://hdl.handle.net/2142/87150
Description
Title
Quantitative Market Risk Disclosure, Bond Default Risk and the Cost of Debt: Why Value at Risk
Author(s)
Guo, Hong-Tao
Issue Date
2002
Doctoral Committee Chair(s)
Ziebart, David A.
Department of Study
Accountancy
Discipline
Accountancy
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
Business Administration, Accounting
Language
eng
Abstract
The empirical analyses on both new and seasoned debt issues show that the reduction in bond default risk and cost of debt is observed more frequently with the value at risk format than with sensitivity analysis. Firm size might be a confounding factor, however, because larger firms choose to disclose more value at risk than sensitivity analysis.
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