Zobrazeno 1 - 10
of 45
pro vyhledávání: '"Stephen M. Schaefer"'
Publikováno v:
SSRN Electronic Journal.
Long term forward rates contain information that greatly improves the precision with which expectations of future short rates can be distinguished from risk premia in the term structure. Indeed, in affine models, the slope of the term structure of ri
Autor:
Peter Feldhütter, Stephen M. Schaefer
Publikováno v:
SSRN Electronic Journal.
The dynamics of debt are crucial in structural models of credit risk and this paper provides new empirical evidence on these dynamics. For US industrial firms, we find that the future level of debt is negatively related to current leverage. Furthermo
Autor:
Stephen M. Schaefer, Peter Feldhütter
Publikováno v:
The Review of Financial Studies.
We ask whether a standard structural model (Black and Cox, 1976) is able to explain credit spreads on corporate bonds and, in contrast to much of the literature, we find that the model matches the level of investment grade spreads well. Model spreads
Publikováno v:
Journal of Financial Economics. 111:297-310
Using an extensive data set on corporate bond defaults in the US from 1866 to 2010, we study the macroeconomic effects of bond market crises and contrast them with those resulting from banking crises. During the past 150 years, the US has experienced
Publikováno v:
Financial Analysts Journal. 70:5-8
The Financial Economists Roundtable, a group of distinguished senior financial economists, discusses the proposal to tax financial transactions. They highlight the benefits of financial transactions and the potential costs and issues of taxing them.
Publikováno v:
Journal of Financial Economics. 102:233-250
We study corporate bond default rates using an extensive new data set spanning the 1866–2008 period. We find that the corporate bond market has repeatedly suffered clustered default events much worse than those experienced during the Great Depressi
Publikováno v:
Journal of Financial Economics. 90:1-19
Structural models of credit risk provide poor predictions of bond prices. We show that, despite this, they provide quite accurate predictions of the sensitivity of corporate bond returns to changes in the value of equity (hedge ratios). This is impor
Publikováno v:
Economic Notes. 35:227-252
In this paper we discuss the estimation of the diffusion coefficient in one-factor models for the short rate via non-parametric methods. We test the estimators proposed by Ait-Sahalia (1996), Stanton (1997) and Bandi and Phillips (2003) on Monte Carl
Autor:
Edward I. Altman, G. O. Bierwag, Andrew H. Chen, Kose John, Stephen M. Schaefer, Richard A. Brealey, Robert A. Eisenbeis, J. Fred Weston, William F. Sharpe, George G. Kaufman, Mark J. Flannery, Jeremy J. Siegel, Marshall E. Blume, Lemma W. Senbet, Alan Kraus, Richard R. West, Richard Herring, Eduardo S. Schwartz, Kenneth E. Scott, George J. Benston, Willard T. Carleton, Dennis E. Logue, Wayne E. Ferson, Nils H. Hakansson, Marti G. Subrahmanyam, Charles Goodhart, Stewart C. Myers, Ed Kane, Elroy Dimson, Franklin R. Edwards, Seymour Smidt, Ingo Walter, James C. Van Horne
Publikováno v:
Journal of Applied Corporate Finance. 16:108-111
Publikováno v:
Review of Finance. 2:161-187
Value-at-risk methods which employ a linear ("delta only") approximation to the relation between instrument values and the underlying risk factors are unlikely to be robust when applied to portfolios containing non-linear contracts such as options. T