Zobrazeno 1 - 10
of 31
pro vyhledávání: '"Bruche, Max"'
Publikováno v:
The Review of Financial Studies, 2020 Dec 01. 33(12), 5660-5705.
Externí odkaz:
https://www.jstor.org/stable/48616938
Autor:
Bruche, Max
In 1974, Merton wrote a seminal paper that explained how the then recently presented Black-Scholes model could be applied to the pricing of corporate debt. Many extensions of this model followed. The family of models is sometimes referred to as the f
Externí odkaz:
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.645603
Autor:
Bruche, Max, Segura, Anatoli
Publikováno v:
In Journal of Financial Economics June 2017 124(3):599-613
Autor:
Bruche, Max1, Llobet, Gerard2
Publikováno v:
Review of Financial Studies. Mar2014, Vol. 27 Issue 3, p923-956. 34p.
Autor:
Bruche, Max1
Publikováno v:
Journal of Financial & Quantitative Analysis. Sep2011, Vol. 46 Issue 5, p1407-1436. 30p.
Leveraged term loans are typically arranged by banks but distributed to institutional investors. Using novel data, we find that to elicit investors' willingness to pay, arrangers expose themselves to pipeline risk: They have to retain larger shares w
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______206::38218bc15d88cd38144c5f8aab925290
http://eprints.lse.ac.uk/118977/
http://eprints.lse.ac.uk/118977/
Autor:
Bruche, Max, Segura, Anatoli
We develop an equilibrium model of debt maturity choice of firms, in the presence of fixed issuance costs in primary debt markets, and an over-the-counter secondary debt market with search frictions. Liquidity in this market is related to the ratio o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______206::7000fdc3c0ae620965198ff94626f2e7
http://eprints.lse.ac.uk/55404/
http://eprints.lse.ac.uk/55404/
Autor:
Bruche, Max, Llobet, Gerard
Because of limited liability, insolvent banks have an incentive to roll over bad loans, in order to hide losses and gamble for resurrection, even though this is socially inefficient. We suggest a scheme that regulators could use to solve this problem
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______206::12eab8a513e49e3e06678d3e6928a1ee
http://eprints.lse.ac.uk/119073/
http://eprints.lse.ac.uk/119073/
Autor:
Bruche, Max, Gonzalez-Aguado, Carlos
Publikováno v:
IndraStra Global.
Recovery rates are negatively related to default probabilities (Altman et al., 2005). This paper proposes and estimates a model in which this dependence is the result of an unobserved credit cycle: When times are bad, the default probability is high
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::566d0cdc080193624c0456f951f9df23
http://eprints.lse.ac.uk/24524/1/dp572.pdf
http://eprints.lse.ac.uk/24524/1/dp572.pdf
Autor:
Bruche, Max
This paper describes how structural bond pricing models can be estimated using a Simulated Maximum Likelihood procedure developed by Durbin and Koopman (1997). The approach has the advantage that price dated on any traded claim (such as bonds, equity
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::090a728a70f569a4f34c958ed8c16887
http://eprints.lse.ac.uk/24647/
http://eprints.lse.ac.uk/24647/