Department of Finance
316M Lucas Hall
Santa Clara, CA 95053
Santa Clara University - Leavey School of Business
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Private Equity Discount
Risky Debt, Rating Transitions, Credit Derivatives, Credit Sensitive Note, HJM Model
Risky Debt, Rating Transitions, Credit Derivatives, Cresdit Senstive Note, HJM Model
Risky debt, Rating Transitions
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP3329.
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Risky debt, rating transitions, credit derivatives, credit sensitive note, HJM model
risk-neutral, PDs, reduced-form models
asset allocation, contagion, emerging markets, skewness, jump-diffusion processes
File name: DP3305.
Asset allocation, contagion, emerging markets, skewness, jump-diffusion processes
Risk-neutral, PDs, reduced-form models
copula, tail-dependence, default
Correlated default, copulas, tail dependence
credit default swap, credit risk, bankruptcy prediction
Credit default swap, Credit risk, Bankruptcy prediction
Implied, Recovery, Loss-Given-Default, Credit Default Swaps
Correlated default, doubly stochastic, contagion, frailty
Graph theory, connectedness, centrality
Credit Default Swaps, Liquidity
ETFs, liquidity, immediacy
CDS, bond market efficiency
Information processing, runlength, salience, bias
Venture capital, syndication, community detection, social networks, boundaries of the firm
run length, liquidity, liquidity risk, asset pricing
SPVs; SIVs; special purpose vehicle; structured investment vehicle; structured finance risk controls; structured finance credit ratings; contingent capital
Liability directed investing; behavioral portfolio theory; expected shortfall; re-balancing; infusions
Venture capital, style persistence, style drift
Credit spreads, dynamic debt, ratchet, restructure, guarantee, barrier options
This is a Financial Management Association paper. Financial Management Association charges $15.00 .
File name: SSRN-id853444.
systemic risk, networks, stochastic dynamics
Fintech, RegTech, Corporate governance, Text mining, Email analysis, Email networks, Mood and net sentiment
special purpose vehicle, structured finance, rollover risk, leverage, capital structure, covenants
distressed debt, restructuring, pooling, debt overhang, eminent domain
interest rate derivatives, securities, pricing
securities, hybrid models, default, credit risk
syndication, venture capital, selection, value-add
R, parallel computing
High-dimension; multi-factor trees; multi-threading
Jumps, Diffusions, Characteristic functions
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