Alessio Saretto

Federal Reserve Banks - Federal Reserve Bank of Dallas

2200 North Pearl Street

PO Box 655906

Dallas, TX 75265-5906

United States

  • Federal Reserve Banks - Federal Reserve Bank of Dallas

SCHOLARLY PAPERS

17

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16,090

SSRN CITATIONS
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Top 9,168

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96

CROSSREF CITATIONS

42

Scholarly Papers (17)

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1.

Option Returns and Volatility Mispricing

Number of pages: 38 Posted: 14 Mar 2006
Amit Goyal and Alessio Saretto
University of Lausanne and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 4,506 (2,982)
Citation 4

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option returns, implied volatility

2.

Anomalies and False Rejections

Swiss Finance Institute Research Paper No. 17-37
Number of pages: 66 Posted: 14 Aug 2017 Last Revised: 23 Jan 2020
Tarun Chordia, Amit Goyal and Alessio Saretto
Emory University - Department of Finance, University of Lausanne and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 3,373 (4,845)
Citation 40

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Hypothesis testing, False discoveries, Trading strategies

3.

Predicting and Pricing the Probability of Default

AFA 2006 Boston Meetings Paper
Number of pages: 44 Posted: 13 Nov 2005
Alessio Saretto
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 2,142 (10,099)
Citation 11

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Default, Hazard Rate, Distress Risk

4.

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
Federal Reserve Banks - Federal Reserve Bank of Dallas and Nova School of Business and Economics
Downloads 1,316 (21,566)
Citation 19

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Option strategies, margin requirements

5.

An Evaluation of Alternative Multiple Testing Methods for Finance Applications

Number of pages: 51 Posted: 13 Dec 2019 Last Revised: 02 Feb 2020
Campbell R. Harvey, Yan Liu and Alessio Saretto
Duke University - Fuqua School of Business, Purdue University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 605 (63,186)
Citation 4

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Multiple hypothesis testing, False rejections, False discovery rate, False non-discovery rate, False omission rate, Family-wise error rate, Data mining, Data snooping, Type I error, Type II error, False discovery control, Luck, Test power

6.

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 Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 594 (64,656)
Citation 12

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

7.

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 Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 594 (64,656)
Citation 12

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Auction Failures, Auction Rate Securities, ARS

8.

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
Federal Reserve Banks - Federal Reserve Bank of Dallas and Yale University - Yale School of Management
Downloads 541 (72,763)
Citation 40

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capital structure, supply frictions, credit default swaps

9.

How Does Hedge Designation Impact the Market's Perception of Credit Risk?

Downloads 485 ( 83,182)

How Does Hedge Designation Impact the Market's Perception of Credit Risk?

Number of pages: 61 Posted: 19 Aug 2015 Last Revised: 02 Apr 2018
Sriya Anbil, Alessio Saretto and Heather Tookes
Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of Dallas and Yale University - Yale School of Management
Downloads 309 (137,603)

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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, Federal Reserve Banks - Federal Reserve Bank of Dallas and Yale University - Yale School of Management
Downloads 176 (236,771)

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

10.

Dynamic Capacity Choice, Dynamic Capital Structure, and Credit Risk

EFA 2009 Bergen Meetings Paper, WBS Finance Group Research Paper No. 102
Number of pages: 69 Posted: 08 Jul 2008 Last Revised: 23 Dec 2019
Andrea Gamba, Mamen Aranda and Alessio Saretto
University of Warwick - Finance Group, University of Navarra - Business and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 418 (99,013)

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dynamic capital structure, investment, credit risk, agency costs

11.

The Agency Component of Credit Spread

WBS Finance Group Research Paper No. 213
Number of pages: 63 Posted: 01 Jan 2014 Last Revised: 26 Dec 2019
Andrea Gamba and Alessio Saretto
University of Warwick - Finance Group and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 355 (119,246)
Citation 3

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

12.

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 Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 314 (135,956)
Citation 12

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

13.

Firm Policies and the Cross-Section of CDS Spreads

WBS Finance Group Research Paper No. 191
Number of pages: 62 Posted: 31 Jul 2012 Last Revised: 26 Dec 2019
Andrea Gamba and Alessio Saretto
University of Warwick - Finance Group and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 298 (143,612)

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CDS, leverage, credit risk, default

14.

Growth Options and Credit Risk

Management Science (Forthcoming), WBS Finance Group Research Paper No. 236
Number of pages: 54 Posted: 11 Jul 2016 Last Revised: 26 Dec 2019
Andrea Gamba and Alessio Saretto
University of Warwick - Finance Group and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 256 (167,575)

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growth options, capital structure, credit risk

15.

Can a Platform-Pays Mechanism Reduce Credit Ratings Bias?

Number of pages: 37 Posted: 01 Sep 2014 Last Revised: 16 Mar 2019
Indraneel Chakraborty, Alessio Saretto and Malcolm Wardlaw
University of Miami, Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Georgia
Downloads 152 (267,295)
Citation 2

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

16.

What Fuels the Volatility of Electricity Prices?

Number of pages: 41 Posted: 10 Feb 2019 Last Revised: 05 Nov 2019
Alessio Saretto, Anastasia Shcherbakova and Jeremy Lin
Federal Reserve Banks - Federal Reserve Bank of Dallas, Texas A&M University - Department of Agricultural Economics and Transmission Analytics
Downloads 103 (355,632)

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Price Volatility, Natural Gas, Coal, Emergency Outages

17.

Endogenous Option Pricing

Downloads 38 (583,232)

Endogenous Option Pricing

FRB of Dallas Working Paper No. 2202
Number of pages: 48 Posted: 30 Mar 2022
Andrea Gamba and Alessio Saretto
University of Warwick - Finance Group and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 32 (633,117)

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option pricing, risk-neutral skewness, growth options, leverage, investments

Endogenous Option Pricing

Number of pages: 47 Posted: 16 Mar 2021 Last Revised: 22 Mar 2022
Andrea Gamba and Alessio Saretto
University of Warwick - Finance Group and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 6 (863,621)

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option pricing, leverage, growth options

Other Papers (1)

Total Downloads: 0
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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 Federal Reserve Banks - Federal Reserve Bank of Dallas

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Capital structure, Unions, Strikes