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