Impact of Airplane Crashes on Firm's Credit Risk Under the CreditGrades Model

Authors

Alexandros Bougias, Athens University of Economics and Business (AUEB)Follow

Abstract

The paper examines the impact of airplane accidents with 40 or more fatalities, on airline's firm credit risk. The sample contains 20 airplane crashes for the period 2000-2017. The analysis proposes the CreditGrades model introduced by Finger et al. (2002) , which is an extension of the first passage time model of Black and Cox (1976). The study concludes that airplane accidents lead to a statistically significant increase in airline's Probability of Default. The results are both significant and robust under the t-Test and the non-parametric Wilcoxon Signed-rank test.

Recommended Citation

Bougias, Alexandros (2018) "Impact of Airplane Crashes on Firm's Credit Risk Under the CreditGrades Model," Undergraduate Economic Review: Vol. 15: Iss. 1, Article 6.
Available at: https://digitalcommons.iwu.edu/uer/vol15/iss1/6