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Concept

Municipal bond

Publications associées (9)

Takeover Protections and Asset Prices

Erwan Morellec

We study the effects of takeover feasibility on asset prices and returns in a unified framework. We show theoretically that takeover protections increase equity risk, stock returns, and bond yields by removing a valuable put option to sell the firm, notabl ...

Informs2024

Frictional Intermediation in Over-the-Counter Markets

Julien Hugonnier

We extend Duffie et al.'s (2005) search-theoretic model of over-the-counter (OTC) asset markets, allowing for a decentralized inter-dealer market with arbitrary heterogeneity in dealers' valuations (or, equivalently, inventory costs). We develop a solution ...

OXFORD UNIV PRESS2020

The CDS-bond basis

Pierre Collin-Dufresne

We investigate the cross-sectional variation in the credit default swap (CDS)-bond bases and test explanations for the violation of the arbitrage relation between cash bond and CDS contract, which states that the basis should be zero in normal conditions. ...

WILEY2019

Linear credit risk models

Damir Filipovic, Damien Edouard Ackerer

We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors. The price of a CDS ...

2020

Polynomial models in finance

Damien Edouard Ackerer

This thesis presents new flexible dynamic stochastic models for the evolution of market prices and new methods for the valuation of derivatives. These models and methods build on the recently characterized class of polynomial jump-diffusion processes for w ...

EPFL2017

Default And Systemic Risk In Equilibrium

Martin Larsson

We develop a finite horizon continuous time market model, where risk-averse investors maximize utility from terminal wealth by dynamically investing in a risk-free money market account, a stock, and a defaultable bond, whose prices are determined via equil ...

Wiley-Blackwell2015

Modeling Credit Contagion via the Updating of Fragile Beliefs

Pierre Collin-Dufresne

We propose an equilibrium model for defaultable bonds that are subject to contagion risk. Contagion arises because agents with "fragile beliefs" are uncertain about the underlying economic state and its probability. Estimation on sovereign European credit ...

Oxford Univ Press Inc2015

Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

Loriano Mancini

We provide the first systematic study of liquidity in the foreign exchange market. We find significant variation in liquidity across exchange rates, substantial illiquidity costs, and strong commonality in liquidity across currencies and with equity and bo ...

Wiley-Blackwell2013

Activation of a C(sp3)H Bond by a Transient s-Alkylpalladium(II) Complex: Synthesis of Spirooxindoles Through a Palladium-Catalyzed Domino Carbopalladation/C(sp3)C(sp3) Bond-Forming Process

Jieping Zhu

Heck shortens the distance. Palladium-catalyzed activation of C(sp3)-H bond by a σ-alkyl Pd(II) complex generated in situ from a remote arylhalide function is developed. The novel domino carbopalladation/C(sp3)-C(sp3) bond forming process allowed a rapid a ...

Wiley-Blackwell2012

Publications associées (9)

Activation of a C(sp3)H Bond by a Transient s-Alkylpalladium(II) Complex: Synthesis of Spirooxindoles Through a Palladium-Catalyzed Domino Carbopalladation/C(sp3)C(sp3) Bond-Forming Process

Jieping Zhu

Wiley-Blackwell2012