Estimating the probability of default for shipping high yield bond issues

Grammenos, Costas Th.; Nomikos, Nikos K.; Papapostolou, Nikos C.

doi:10.1016/j.tre.2007.10.005

Cited by 37 publications

(32 citation statements)

References 33 publications

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“…Logit models have been found to be useful analytical techniques in previous shipping and finance-related studies (e.g. (Grammenos et al, 2008;Kavussanos and Tsouknidis, 2011 for investment activity on behalf of ship owners.…”

Section: Methodsmentioning

confidence: 99%

“…It is also a conservative sector with borrowers favouring traditional finance over other more sophisticated and complex modes of finance (Shipping Finance, 2013). Although the industry is turning to capital markets for equity and debt finance, securing funds through bank loans is the preponderant form of ship financing (Grammenos et al, 2008).…”

Section: Trends In Shipping Financementioning

confidence: 99%

See 1 more Smart Citation

Performance drivers of shipping loans: An empirical investigation

Mitroussi

Abouarghoub

Haider

et al. 2016

International Journal of Production Economics

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Section: Methodsmentioning

confidence: 99%

Section: Trends In Shipping Financementioning

confidence: 99%

Performance drivers of shipping loans: An empirical investigation

Mitroussi

Abouarghoub

Haider

et al. 2016

International Journal of Production Economics

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“…The negative consequences were mitigated by the efforts of shipping banks to avoid asset sales and their willingness 3 Shipping bonds were rated as non-investment grade high-yield bonds ever since they were first issued in the early 1999s (Grammenos et al, 2007(Grammenos et al, , 2008Kavussanos and Tsouknidis, 2014). Merikas et al (2009Merikas et al ( , 2010 provide a detailed description of the market for shipping IPOs and their performance.…”

Section: Introductionmentioning

confidence: 99%

Cash flow sensitivities during normal and crisis times: Evidence from shipping

Drobetz¹,

Haller²,

Meier

2016

Transportation Research Part A: Policy and Practice

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“…2 Opportunities for investors also exist in debt capital or alternative asset classes in the maritime industry. Examples include corporate shipping (high yield) bonds (Grammenos et al, 2008;Kavussanos and Tsouknidis, 2010), ship mortgage bonds issued by banks as well as freight rate derivatives and hedge funds (Kavussanos and Visvikis, 2006;Alizadeh and Nomikos, 2009). Bessler et al (2010) provide an overview of investment opportunities in the shipping industry.…”

Section: N O T E Smentioning

confidence: 99%

“…Likewise, they are the most important financing instruments for the German charter owners. Financing ships through the international capital markets, such as the issuance of high-yield shipping bonds (Leggate, 2000;Grammenos et al, 2007;Grammenos et al, 2008;Kavussanos and Tsouknidis, 2010) and initial public offerings (Grammenos and Arkoulis, 1999;Cullinane and Gong, 2002;Merikas et al, 2009;Merikas et al, 2010), has not been common in Germany even in the recent past. Accordingly, closed-end ship funds are 'the' financing vehicle that has substantially contributed to the development of Germany as one of the leading international centres of the maritime industry.…”

Section: Introductionmentioning

confidence: 99%

The development of a performance index for KG funds and a comparison with other shipping-related indices

Drobetz

Tegtmeier

2013

Marit Econ Logist

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Wo l f g a n g D r o b e t z a a n d L a r s Te g t m e i e r b a Institute of Finance, University of Hamburg, Von-Melle-Park 5, 20146 Hamburg, Germany. E-mail: wolfgang.drobetz@wiso.uni-hamburg.de b TKL.FONDS Gesellschaft fü r Fondsconception und-analyse mbH, Hans-Henny-Jahnn-Weg 35, 22085 Hamburg, Germany. E-mail: tegtmeier@tkl-fonds.de A b s t ra c t Despite their high economic importance, academic research has granted KG funds only marginal attention. A main reason is the lack of reliable performance data due to non-observable market prices during the lifetime of a KG fund. In order to measure the performance of KG funds, we construct an index using a database of more than 300 German one-ship companies during the sample period from December 1996 to December 2007. Looking at the distributional characteristics and the correlation structures, we analyse the comovement of the KG index with a broad set of other shipping-related indices. The variation of our index is more dependent on vessel prices than on charter rates. Moreover, we use principal component analysis (PCA) in order to examine whether there are common structures and linkages between the different indices. On the basis of the resulting factor loadings, the KG index exhibits peculiar risk-return characteristics. PCA identifies one statistical factor that is specific to KG funds in the sense that only the KG index loads significantly on this particular factor. Our index does not merely represent a linear combination of vessel prices and freight rates, and it also does not stand in direct relationship with all other shipping-related indices. Instead, it constitutes a new index concept measuring the development of the market value of equity and distributions in the form of a performance index and incorporates specific information that is primarily of importance for one-ship companies. The availability of a performance index will likely increase transparency in the market for closed-end ship funds.

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Estimating the probability of default for shipping high yield bond issues

Cited by 37 publications

References 33 publications

Performance drivers of shipping loans: An empirical investigation

Performance drivers of shipping loans: An empirical investigation

Cash flow sensitivities during normal and crisis times: Evidence from shipping

The development of a performance index for KG funds and a comparison with other shipping-related indices

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