Corporate Debt and Distress Risk in Emerging Markets

This dissertation consists of two papers in the field of international finance, both under the general theme of corporate distress in emerging markets. In the first paper, I explore how the leverage and size of emerging market firms relates to their financial fragility. I also show that idiosyncratic shocks to large firms have macroeconomic effects. In the second paper, I estimate an emerging market-specific measure of distress risk and explore its asset pricing implications. I find that global financial conditions help explain changes in firms’ probability of default, and that distressed stocks earn a premium over their safer counterparts.Doctor of Philosoph

Lessons Unlearned? Corporate Debt in Emerging Markets

This paper documents a set of stylized facts about leverage and financial fragility in the nonfinancial corporate sector in emerging markets since the Global Financial Crisis (GFC). Corporate debt vulnerability indicators prior to the Asian Financial Crisis (AFC) attributed to corporate financial roots provide a benchmark for comparison. The firm-level data suggest that emerging markets post-GFC have lower leverage ratios than the five Asian crisis countries (Asian Five) in the run-up to the AFC. However, a broader set of emerging market countries show weaker liquidity, solvency, and profitability indicators. More countries are also in the Altman Z-score's “grey zone”, that is, at risk for corporate distress. Regression estimates confirm that leading up to the AFC and in the aftermath of the GFC, firms with higher leverage have Z-scores that are closer to the financial distress range. The data also corroborate two macro-related hypotheses: first, that leverage interacted with currency depreciation had a statistically significant adverse impact on Z-scores in pre-AFC; and second, that in countries with higher GDP growth leverage is correlated with less corporate financial fragility. Consistent with Gabaix (2011) the paper finds a granularity effect in that large firms are systemically important—idiosyncratic shocks to large firms significantly correlate with GDP growth in our emerging markets sample. Also, the more-levered large firms are more vulnerable to exchange rate shocks than smaller firms with comparable levels of leverage. While this result holds for the average country in our sample, there is substantial cross-country heterogeneity

Assessing the Mobility of Severe Acute Respiratory Syndrome Coronavirus-2 Spike Protein Glycans by Structural and Computational Methods

Two years after its emergence, the coronavirus disease-2019 (COVID-19) pandemic caused by severe acute respiratory syndrome coronavirus-2 (SARS-CoV-2) remains difficult to control despite the availability of several vaccines. The extensively glycosylated SARS-CoV-2 spike (S) protein, which mediates host cell entry by binding to the angiotensin converting enzyme 2 (ACE2) through its receptor binding domain (RBD), is the major target of neutralizing antibodies. Like to many other viral fusion proteins, the SARS-CoV-2 spike protein utilizes a glycan shield to thwart the host immune response. To grasp the influence of chemical signatures on carbohydrate mobility and reconcile the cryo-EM density of specific glycans we combined our cryo-EM map of the S ectodomain to 4.1 Å resolution, reconstructed from a limited number of particles, and all-atom molecular dynamics simulations. Chemical modifications modeled on representative glycans (defucosylation, sialylation and addition of terminal LacNAc units) show no significant influence on either protein shielding or glycan flexibility. By estimating at selected sites the local correlation between the full density map and atomic model-based maps derived from molecular dynamics simulations, we provide insight into the geometries of the α-Man-(1→3)-[α-Man-(1→6)-]-β-Man-(1→4)-β-GlcNAc(1→4)-β-GlcNAc core common to all N-glycosylation sites