Alessio Saretto

University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics

800 Campbell Road

SM 31

Richardson, TX 75080

United States

http://www.utdallas.edu/~axs125732

SCHOLARLY PAPERS

13

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CITATIONS
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Top 5,650

in Total Papers Citations

90

Scholarly Papers (13)

1.

Option Returns and Volatility Mispricing

Number of pages: 38 Posted: 14 Mar 2006
Amit Goyal and Alessio Saretto
University of Lausanne and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 2,866 (2,322)
Citation 28

Abstract:

option returns, implied volatility

2.

Predicting and Pricing the Probability of Default

AFA 2006 Boston Meetings Paper
Number of pages: 44 Posted: 13 Nov 2005
Alessio Saretto
University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 1,617 (6,781)
Citation 6

Abstract:

Default, Hazard Rate, Distress Risk

3.

Option Strategies: Good Deals and Margin Calls

EFA 2006 Zurich Meetings
Number of pages: 40 Posted: 25 Mar 2005
Alessio Saretto and Pedro Santa-Clara
University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and New University of Lisbon - Nova School of Business and Economics
Downloads 1,059 (13,525)
Citation 30

Abstract:

Option strategies, margin requirements

4.

Auction Failures and the Market for Auction Rate Securities

Number of pages: 46 Posted: 27 Aug 2008 Last Revised: 27 Jun 2009
John J. McConnell and Alessio Saretto
Purdue University and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 559 (35,834)
Citation 9

Abstract:

Auction Failures, Auction Rate Securities, ARS

5.

Complex Securities and Underwriter Reputation: Do Reputable Underwriters Produce Better Securities?

Number of pages: 111 Posted: 01 Jul 2012 Last Revised: 01 Mar 2014
John M. Griffin, Richard Lowery and Alessio Saretto
University of Texas at Austin - Department of Finance, University of Texas-Austin and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 455 (43,810)
Citation 1

Abstract:

complex securities, reputation, CDO, ABS, MBS, CLO

6.

Corporate Leverage, Debt Maturity and Credit Supply: The Role of Credit Default Swaps

Number of pages: 74 Posted: 08 Mar 2011 Last Revised: 17 Aug 2015
Alessio Saretto and Heather Tookes
University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and Yale University - Yale School of Management
Downloads 375 (60,180)
Citation 16

Abstract:

capital structure, supply frictions, credit default swaps

7.

Dynamic Capacity Choice, Dynamic Capital Structure, and Credit Risk

EFA 2009 Bergen Meetings Paper
Number of pages: 69 Posted: 08 Jul 2008 Last Revised: 11 Mar 2014
Andrea Gamba, Mamen Aranda and Alessio Saretto
University of Warwick - Finance Group, University of Navarra - Business and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 372 (57,978)

Abstract:

dynamic capital structure, investment, credit risk, agency costs

Does Hedging with Derivatives Reduce the Market's Perception of Credit Risk?

Number of pages: 53 Posted: 19 Aug 2015 Last Revised: 25 Jul 2016
Sriya Anbil, Alessio Saretto and Heather Tookes
Board of Governors of the Federal Reserve System, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and Yale University - Yale School of Management
Downloads 183 (129,490)

Abstract:

risk management, derivatives, SFAS 133, SFAS 161, basis risk

Does Hedging with Derivatives Reduce the Market's Perception of Credit Risk?

FEDS Working Paper No. 2016-100
Number of pages: 56 Posted: 27 Dec 2016
Sriya Anbil, Alessio Saretto and Heather Tookes
Board of Governors of the Federal Reserve System, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and Yale University - Yale School of Management
Downloads 26 (418,462)

Abstract:

Counterparty credit risk, Derivatives, futures, and options, Risk management, Hedging

9.

Firm Policies and the Cross-Section of CDS Spreads

Number of pages: 62 Posted: 31 Jul 2012 Last Revised: 11 Mar 2014
Andrea Gamba and Alessio Saretto
University of Warwick - Finance Group and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 199 (104,845)

Abstract:

CDS, leverage, credit risk, default

10.

Does Capital Structure Affect the Behavior of Non-Financial Stakeholders? An Empirical Investigation into Leverage and Union Strikes

Number of pages: 34 Posted: 11 Aug 2011 Last Revised: 11 Feb 2016
Brett W. Myers and Alessio Saretto
Texas Tech, Rawls College of Business and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 150 (117,591)

Abstract:

leverage, non-financial stakeholders, contract negotiations, union strikes

11.

The Agency Credit Spread

Number of pages: 62 Posted: 01 Jan 2014 Last Revised: 13 May 2015
Andrea Gamba, Mamen Aranda and Alessio Saretto
University of Warwick - Finance Group, University of Navarra - Business and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 90 (165,591)

Abstract:

corporate credit risk, credit spread, structural models, debt-equity agency conflicts

12.

The Trust Alternative

Number of pages: 54 Posted: 01 Sep 2014 Last Revised: 16 Dec 2016
Indraneel Chakraborty, Alessio Saretto and Malcolm Wardlaw
University of Miami, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and University of Texas - Dallas
Downloads 53 (218,496)

Abstract:

Platform-Pays, Ratings Inflation, Ratings Shopping, Rating Agencies

13.

Firm Policies, Growth Options and Credit Risk

WBS Finance Group Research Paper
Number of pages: 82 Posted: 11 Jul 2016
Andrea Gamba and Alessio Saretto
University of Warwick - Finance Group and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 0 (306,195)

Abstract:

credit risk, capital structure, growth options, structural models

Other Papers (1)

Total Downloads: 0    Citations: 0
1.

Union Strikes and the Impact of Non-Financial Stake Holders on Capital Structure

Posted: 16 Feb 2010
Brett W. Myers and Alessio Saretto
Texas Tech, Rawls College of Business and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics

Abstract:

Capital structure, Unions, Strikes