FAIR VALUE ACCOUNTING FOR LIABILITIES AND OWN CREDIT RISK

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KHALEGHI KASBI PARVANEH; AGHAEI MOHAMMADALI

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Journal Paper

Paper Information

Journal: Advances in Mathematical Finance and Applications Year:2017 | Volume:2 | Issue:1 Page(s): 55-68

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Information Journal Paper

Title

FAIR VALUE ACCOUNTING FOR LIABILITIES AND OWN CREDIT RISK

Author(s)

KHALEGHI KASBI PARVANEH | AGHAEI MOHAMMADALI | Issue Writer Certificate

Keywords

FAIR VALUE

CREDIT RISK

DEFAULT RISK

SOLVENCY

Abstract

Changes in CREDIT RISK may arise when either the value or the risk of corporate assets changes. Changes in the equity value associated with the changes in the asset value and changes in asset risk can be characterized into potentially countervailing direct and indirect effects. The indirect effect of risk on equity value is a function of factors that affect the debt value of including leverage, asset value, and asset risk. This study examines whether the equity value reflects the profits and losses associated with the changes in the debt value consistent with the predictions of Merton [21]. The insurance companies listed in the Stock Exchange during 2010-2015 were selected to test the desired hypotheses. It has been found that the stock returns are negatively related to the increase in CREDIT RISK as reflected in the changes of estimated bond ratings. More importantly for the research question, it has been realized that the relationship between risk changes and equity returns is negative when the leverage is higher.

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APA: Copy

KHALEGHI KASBI, PARVANEH, & AGHAEI, MOHAMMADALI. (2017). FAIR VALUE ACCOUNTING FOR LIABILITIES AND OWN CREDIT RISK. ADVANCES IN MATHEMATICAL FINANCE AND APPLICATIONS, 2(1), 55-68. SID. https://sid.ir/paper/349489/en

Vancouver: Copy

KHALEGHI KASBI PARVANEH, AGHAEI MOHAMMADALI. FAIR VALUE ACCOUNTING FOR LIABILITIES AND OWN CREDIT RISK. ADVANCES IN MATHEMATICAL FINANCE AND APPLICATIONS[Internet]. 2017;2(1):55-68. Available from: https://sid.ir/paper/349489/en

IEEE: Copy

PARVANEH KHALEGHI KASBI, and MOHAMMADALI AGHAEI, “FAIR VALUE ACCOUNTING FOR LIABILITIES AND OWN CREDIT RISK,” ADVANCES IN MATHEMATICAL FINANCE AND APPLICATIONS, vol. 2, no. 1, pp. 55–68, 2017, [Online]. Available: https://sid.ir/paper/349489/en

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