Credit Risk and Taxes: A Shareholder Value Analysis

10.30003/JRM.200205.0003

Harald Scheule

Credit Risk ； Taxes ； Default Risk

風險管理學報

4卷1期（2002 / 05 / 01）

77 - 89

英文

Most of the research on credit risk which has been done in recent years focuses on the calculation of various credit risk determinants such as probability of default, exposure at default, loss given default or maturity. However taxes, namely the taxation of the creditors and their shareholders, were regularly neglected. This article shows the integration of corporate and income taxes into the evaluation of a typical loan. It concludes that taxes have an important influence.

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