Mascia Bedendo

Audencia Nantes School of Management

8 route de la Jonelière, BP 31222

Nantes, 44312

France

Bocconi University - CAREFIN - Centre for Applied Research in Finance

Via Sarfatti, 25

Milan, 20136

Italy

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 16,936

SSRN RANKINGS

Top 16,936

in Total Papers Downloads

2,246

CITATIONS
Rank 33,136

SSRN RANKINGS

Top 33,136

in Total Papers Citations

6

Scholarly Papers (9)

Distressed Debt Restructuring in the Presence of Credit Default Swaps

Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 41 Posted: 27 Aug 2010 Last Revised: 15 Jan 2015
Mascia Bedendo, Lara Cathcart and Lina El-Jahel
Audencia Nantes School of Management, Imperial College Business School and University of Auckland - Business School
Downloads 530 (40,517)
Citation 4

Abstract:

Credit default swaps, empty creditors, debt restructuring

In- and Out-of-Court Debt Restructuring in the Presence of Credit Default Swaps

CAREFIN Research Paper No. 24/2010
Number of pages: 36 Posted: 07 Apr 2011
Mascia Bedendo, Lara Cathcart and Lina El-Jahel
Audencia Nantes School of Management, Imperial College Business School and University of Auckland - Business School
Downloads 141 (169,201)
Citation 4

Abstract:

2.

Credit Risk Transfer Strategies of U.S. Commercial Banks: What Has Changed During the 2007-2009 Crisis?

Number of pages: 32 Posted: 17 Feb 2009 Last Revised: 31 Jul 2010
Mascia Bedendo and Brunella Bruno
Audencia Nantes School of Management and Bocconi University - Department of Finance
Downloads 595 (34,284)
Citation 1

Abstract:

credit risk transfer, bank liquidity, originate-to-distribute

3.

Reputational Shocks and the Information Content of Credit Ratings

Number of pages: 42 Posted: 21 Dec 2010 Last Revised: 02 Mar 2017
Mascia Bedendo, Lara Cathcart and Lina El-Jahel
Audencia Nantes School of Management, Imperial College Business School and University of Auckland - Business School
Downloads 418 (44,778)

Abstract:

Credit rating agencies, Rating announcements, Reputational shocks, Regulation

4.

Sovereign and Corporate Credit Risk: Evidence from the Eurozone

Journal of Corporate Finance, Forthcoming
Number of pages: 49 Posted: 06 Feb 2013 Last Revised: 14 May 2015
Mascia Bedendo and Paolo Colla
Audencia Nantes School of Management and Bocconi University - Department of Finance
Downloads 261 (72,035)

Abstract:

sovereign risk, corporate credit risk, credit default swaps, Eurozone

5.

Market and Model Credit Default Swap Spreads: Mind the Gap!

European Financial Management, Vol. 17, Issue 4, pp. 655-678, 2011
Number of pages: 24 Posted: 17 Aug 2011
Mascia Bedendo, Lara Cathcart and Lina El‐Jahel
Audencia Nantes School of Management, Imperial College Business School and affiliation not provided to SSRN
Downloads 3 (521,471)
Citation 1

Abstract:

equity volatility, credit spreads, structural models, G21, C22, G10

6.

Debt Structure and Credit Ratings

BAFFI CAREFIN Centre Research Paper No. 2016-22
Number of pages: 42 Posted: 22 Jun 2016 Last Revised: 14 Dec 2016
Mascia Bedendo and Linus Siming
Audencia Nantes School of Management and Audencia Business School
Downloads 0 (174,744)

Abstract:

Credit rating agencies; Market reaction; Debt structure

7.

Market Vs Model Credit Default Swap Spreads: Mind the Gap!

European Financial Management, Forthcoming
Posted: 06 Mar 2008 Last Revised: 31 Jul 2010
Lara Cathcart, Lina El-Jahel and Mascia Bedendo
Imperial College Business School, University of Auckland - Business School and Audencia Nantes School of Management

Abstract:

Equity volatility, Credit spreads, Structural models , Trading strategies

8.

The Shape of the Term Structure of Credit Spreads: An Empirical Investigation

Journal of Financial Research, Vol. 30, No. 2, 2007
Posted: 17 Mar 2005 Last Revised: 30 Jul 2010
Mascia Bedendo, Lara Cathcart and Lina El-Jahel
Audencia Nantes School of Management, Imperial College Business School and University of Auckland - Business School

Abstract:

Credit spreads, term structure, level, slope, curvature

9.

Multivariate Distributional Tests in Risk Management: An Empirical Characteristic Function Approach

EFMA 2001 Lugano Meetings
Posted: 13 May 2001
Mascia Bedendo and Stewart D. Hodges
Audencia Nantes School of Management and University of Warwick - Financial Options Research Centre (FORC)

Abstract:

Multivariate density forecasting, distributional tests, empirical characteristic function, Value at Risk, mixture of normal.

Other Papers (2)

Total Downloads: 1,136    Citations: 8
1.

The Relation Between Implied and Realised Probability Density Functions

EFA 2002 Berlin Meetings Presented Paper; University of Warwick Financial Options Research Centre Working Paper
Number of pages: 61 Posted: 04 Mar 2002
Financial Options Research Ctr., Univ. of Warwick, Audencia Nantes School of Management, University of Warwick - Financial Options Research Centre (FORC) and Business School of Finance & Management (HfB) - Bankakademie Group
Downloads 892
Citation 8

Abstract:

Implied Risk-Neutral Distribution, RND, Implied Volatility Smiles, Probability Integral Transform, Options, Goodness-of-Fit Tests, NIG

2.

A Parsimonious Continuous Time Model for Equity Returns

EFMA 2003 Helsinki Meetings
Number of pages: 44 Posted: 26 Apr 2003
Mascia Bedendo and Stewart D. Hodges
Audencia Nantes School of Management and University of Warwick - Financial Options Research Centre (FORC)
Downloads 178

Abstract: