Stephen M. Schaefer

London Business School - Institute of Finance and Accounting

Professor

Sussex Place

Regent's Park

London NW1 4SA

United Kingdom

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 11,305

SSRN RANKINGS

Top 11,305

in Total Papers Downloads

8,668

TOTAL CITATIONS
Rank 4,943

SSRN RANKINGS

Top 4,943

in Total Papers Citations

245

Scholarly Papers (12)

1.

Structural Models of Credit Risk are Useful: Evidence from Hedge Ratios on Corporate Bonds

AFA 2005 Philadelphia Meetings, EFA 2004 Maastrict Meetings Paper No. 4764
Number of pages: 50 Posted: 18 Jun 2004 Last Revised: 23 Dec 2007
Ilya A. Strebulaev and Stephen M. Schaefer
Stanford University - Graduate School of Business and London Business School - Institute of Finance and Accounting
Downloads 2,021 (16,667)
Citation 131

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Credit risk, structural models, hedge ratios, credit spreads

2.
Downloads 1,399 (29,321)
Citation 3

Non-Linear Value-at-Risk

Number of pages: 28 Posted: 21 Sep 1999
Mark Britten-Jones and Stephen M. Schaefer
London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting
Downloads 1,399 (28,817)
Citation 3

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Non-Linear Value-at-Risk

European Finance Review, Vol. 2, Iss. 2, May 1999
Posted: 21 Sep 1999
Mark Britten-Jones and Stephen M. Schaefer
London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting

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Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005

Number of pages: 66 Posted: 05 Mar 2008 Last Revised: 29 Sep 2008
Viral V. Acharya, Viral V. Acharya, Stephen M. Schaefer and Yili Zhang
New York University (NYU) - Leonard N. Stern School of Business, London Business School - Institute of Finance and Accounting and London Business School
Downloads 990 (47,580)
Citation 46

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market liquidity, funding liquidity, excess co-movement, inventory risk, financial crises

Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005

CEPR Discussion Paper No. DP6619
Number of pages: 59 Posted: 09 Jun 2008
Viral V. Acharya, Viral V. Acharya, Stephen M. Schaefer and Yili Zhang
New York University (NYU) - Leonard N. Stern School of Business, London Business School - Institute of Finance and Accounting and London Business School
Downloads 3 (1,316,902)
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excess co-movement, financial crises, funding liquidity, inventory risk, market liquidity

4.

Why Long Term Forward Rates (Almost) Always Slope Downwards

IFA Working Paper No. 299
Number of pages: 42 Posted: 27 Mar 2000
Stephen M. Schaefer and Roger H. Brown
London Business School - Institute of Finance and Accounting and Warburg Dillon Read
Downloads 742 (71,621)
Citation 6

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5.

The Myth of the Credit Spread Puzzle

Number of pages: 61 Posted: 05 Dec 2013 Last Revised: 16 Jan 2018
Peter Feldhütter and Stephen M. Schaefer
Copenhagen Business School and London Business School - Institute of Finance and Accounting
Downloads 738 (72,000)
Citation 26

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Credit spread puzzle, Merton model, Structural models, Corporate bond spreads, Realized default frequencies

6.

Corporate Bond Default Risk: A 150-Year Perspective

NBER Working Paper No. w15848
Number of pages: 46 Posted: 29 Mar 2010 Last Revised: 22 Apr 2023
Stanford University - Department of Management Science & Engineering, University of California, Los Angeles (UCLA) - Finance Area, London Business School - Institute of Finance and Accounting and Stanford University - Graduate School of Business
Downloads 683 (79,426)
Citation 14

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Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective

Number of pages: 30 Posted: 09 Feb 2012
Stanford University - Department of Management Science & Engineering, University of California, Los Angeles (UCLA) - Finance Area, London Business School - Institute of Finance and Accounting and Stanford University - Graduate School of Business
Downloads 497 (116,966)
Citation 1

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financial markets, macroeconomy, corporate defaults, bank lending, collateral, business cycles

Macroeconomic Effects of Corporate Default Crises: A Long-Term Perspective

NBER Working Paper No. w17854
Number of pages: 31 Posted: 20 Feb 2012 Last Revised: 15 Apr 2023
Stanford University - Department of Management Science & Engineering, University of California, Los Angeles (UCLA) - Finance Area, London Business School - Institute of Finance and Accounting and Stanford University - Graduate School of Business
Downloads 110 (515,022)
Citation 14

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8.
Downloads 436 (138,560)
Citation 2

Pillar 1 vs Pillar 2 Under Risk Management

Number of pages: 41 Posted: 07 Mar 2005
Stephen M. Schaefer and Loriana Pelizzon
London Business School - Institute of Finance and Accounting and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 363 (169,018)
Citation 1

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Bank portfolio management, Capital requirements

Pillar 1 vs. Pillar 2 Under Risk Management

NBER Working Paper No. w11666
Number of pages: 42 Posted: 07 Dec 2005 Last Revised: 18 Nov 2022
Stephen M. Schaefer and Loriana Pelizzon
London Business School - Institute of Finance and Accounting and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 73 (670,033)
Citation 1

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9.

Do Long-Term Yields Help to Estimate Short-Term Risk Premia?

Number of pages: 66 Posted: 22 Feb 2021 Last Revised: 31 Jan 2025
Andrea Berardi, Roger Brown and Stephen M. Schaefer
Ca Foscari University of Venice - Dipartimento di Economia, affiliation not provided to SSRN and London Business School - Institute of Finance and Accounting
Downloads 423 (143,439)
Citation 1

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Bond Risk Premia, Forward Rates, Yield Volatility, Convexity, Term Structure JEL Classification: E43, G12

10.

Debt Dynamics and Credit Risk

Number of pages: 89 Posted: 27 Jun 2019 Last Revised: 27 Oct 2024
Peter Feldhütter and Stephen M. Schaefer
Copenhagen Business School and London Business School - Institute of Finance and Accounting
Downloads 366 (168,984)

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Structural Models, Debt Levels, Default Rates, Default Boundary, Credit Risk

11.

International Evidence on Risk Premia for Nominal and Inflation-Linked Bonds: The Information in Long-Term Rates

Number of pages: 44 Posted: 08 Nov 2023 Last Revised: 19 Oct 2024
Andrea Berardi and Stephen M. Schaefer
Ca Foscari University of Venice - Dipartimento di Economia and London Business School - Institute of Finance and Accounting
Downloads 241 (261,540)

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Bond Risk Premia, Long-Term Rates, Inflation Expectations, Inflation Risk Premia

12.

The Efficient Market Theory and Evidence: Implications for Active Investment Management

Foundations and Trends in Finance, Vol. 5, No. 3, 2010
Number of pages: 99 Posted: 29 Feb 2012
Andrew Ang, William N. Goetzmann and Stephen M. Schaefer
BlackRock, Inc, Yale School of Management - International Center for Finance and London Business School - Institute of Finance and Accounting
Downloads 19 (1,081,118)
Citation 1
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efficient market hypothesis, CAPM, APT, arbitrage