Stephen M. Schaefer

London Business School - Institute of Finance and Accounting

Professor

Sussex Place

Regent's Park

London NW1 4SA

United Kingdom

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 7,425

SSRN RANKINGS

Top 7,425

in Total Papers Downloads

4,832

CITATIONS
Rank 3,528

SSRN RANKINGS

Top 3,528

in Total Papers Citations

153

Scholarly Papers (10)

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 1,417 (8,902)
Citation 78

Abstract:

Credit risk, structural models, hedge ratios, credit spreads

2.
Downloads 924 ( 18,788)

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 924 (18,422)
Citation 4

Abstract:

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

Abstract:

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, Stephen M. Schaefer and Yili Zhang
New York University - Leonard N. Stern School of Business, London Business School - Institute of Finance and Accounting and London Business School
Downloads 830 (21,606)
Citation 20

Abstract:

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, Stephen M. Schaefer and Yili Zhang
New York University - Leonard N. Stern School of Business, London Business School - Institute of Finance and Accounting and London Business School
Downloads 2 (550,752)
Citation 20
  • Add to Cart

Abstract:

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 493 (43,967)
Citation 17

Abstract:

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

Number of pages: 30 Posted: 09 Feb 2012
Stanford University - 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 302 (79,503)
Citation 2

Abstract:

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
Stanford University - 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 23 (433,025)
Citation 2

Abstract:

6.
Downloads 292 ( 83,080)
Citation 5

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 252 (97,046)
Citation 5

Abstract:

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
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 40 (357,652)
Citation 5

Abstract:

7.

Corporate Bond Default Risk: A 150-Year Perspective

NBER Working Paper No. w15848
Number of pages: 46 Posted: 29 Mar 2010
Stanford University - 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 163 (120,708)
Citation 24

Abstract:

8.

The Credit Spread Puzzle - Myth or Reality?

Number of pages: 66 Posted: 05 Dec 2013 Last Revised: 01 Oct 2014
Peter Feldh├╝tter and Stephen M. Schaefer
London Business School and London Business School - Institute of Finance and Accounting
Downloads 117 (100,495)
Citation 1

Abstract:

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

9.

A Comparison of Alternative Non-Parametric Estimators of the Short Rate Diffusion Coefficient

Economic Notes, Vol. 35, No. 3, pp. 227-252, November 2006
Number of pages: 26 Posted: 21 Mar 2007
Roberto Ren├▓, Antonio Roma and Stephen M. Schaefer
University of Verona - Department of Economics, Universita di Siena and London Business School - Institute of Finance and Accounting
Downloads 14 (465,889)
  • Add to Cart

Abstract:

10.

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 7 (481,176)
Citation 2
  • Add to Cart

Abstract:

efficient market hypothesis, CAPM, APT, arbitrage