Andrea Gamba

University of Warwick - Finance Group

Professor

Scarman Road

Coventry, CV4 7AL

Great Britain

SCHOLARLY PAPERS

31

DOWNLOADS
Rank 3,109

SSRN RANKINGS

Top 3,109

in Total Papers Downloads

21,334

SSRN CITATIONS
Rank 4,988

SSRN RANKINGS

Top 4,988

in Total Papers Citations

192

CROSSREF CITATIONS

179

Scholarly Papers (31)

1.

Real Options Valuation: A Monte Carlo Approach

Faculty of Management, University of Calgary WP No. 2002/3; EFA 2002 Berlin Meetings Presented Paper, WBS Finance Group Research Paper No. 14
Number of pages: 71 Posted: 06 Mar 2002
Andrea Gamba
University of Warwick - Finance Group
Downloads 5,916 (2,598)
Citation 21

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2.

The Value of Financial Flexibility

Journal of Finance, Forthcoming, AFA 2006 Boston Meetings Paper, WBS Finance Group Research Paper No. 42
Number of pages: 57 Posted: 06 Mar 2005
University of Warwick - Finance Group and Johns Hopkins University - Carey Business SchoolUniversity of Maryland - Robert H. Smith School of Business
Downloads 2,351 (11,997)
Citation 23

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Financial flexibility, dynamic capital structure, real options, corporate liquidity

3.

Some Important Issues Involving Real Options

Multinational Finance Journal, Forthcoming, WBS Finance Group Research Paper No. 37
Number of pages: 45 Posted: 02 Feb 2005
Gordon Sick and Andrea Gamba
University of Calgary - Haskayne School of Business and University of Warwick - Finance Group
Downloads 1,173 (34,647)

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Real Options, Capital Budgeting, Numerical Methods

4.

Corporate Risk Management: Integrating Liquidity, Hedging, and Operating Policies

Management Science, Forthcoming, Robert H. Smith School Research Paper No. RHS 06-106, WBS Finance Group Research Paper No. 129
Number of pages: 35 Posted: 20 Sep 2009 Last Revised: 23 Dec 2019
University of Warwick - Finance Group and Johns Hopkins University - Carey Business SchoolUniversity of Maryland - Robert H. Smith School of Business
Downloads 1,125 (36,765)
Citation 5

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Risk Management, Hedging, Liquidity, Flexibility

5.

Product Development and Market Expansion: A Real Options Model

Financial Management, Forthcoming, WBS Finance Group Research Paper No. 27
Number of pages: 51 Posted: 26 Mar 2003
University of Warwick - Finance Group and SDA BocconiBocconi University - Department of Finance
Downloads 1,068 (39,688)
Citation 2

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Real options, Option interactions, Sequential development projects, Binomial lattices

6.
Downloads 905 (50,016)
Citation 26

The Real Effects of Credit Default Swaps

Journal of Financial Economics (JFE), Forthcoming, Georgia Tech Scheller College of Business Research Paper No. 2015-09
Number of pages: 72 Posted: 17 Dec 2014 Last Revised: 13 Nov 2017
Andras Danis and Andrea Gamba
Central European University (CEU) and University of Warwick - Finance Group
Downloads 573 (89,694)
Citation 2

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Credit default swaps, CDS, Empty creditor, Restructuring, Bankruptcy

The Real Effects of Credit Default Swaps

Journal of Financial Economics (JFE), 2017, WBS Finance Group Research Paper No. 231
Number of pages: 72 Posted: 20 Feb 2015 Last Revised: 26 Dec 2019
Andras Danis and Andrea Gamba
Central European University (CEU) and University of Warwick - Finance Group
Downloads 332 (170,103)
Citation 9

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Credit default swaps, CDS, Empty creditor, Restructuring, Bankruptcy

7.

How Effectively Can Debt Covenants Alleviate Financial Agency Problems?

WBS Finance Group Research Paper No. 186
Number of pages: 58 Posted: 07 Jul 2012 Last Revised: 26 Dec 2019
University of Warwick - Finance Group and Johns Hopkins University - Carey Business SchoolUniversity of Maryland - Robert H. Smith School of Business
Downloads 750 (64,572)
Citation 8

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Dynamic corporate finance, Debt covenants

8.

An Improved Binomial Lattice Method for Multi-Dimensional Options

Applied Mathematical Finance, Forthcoming, WBS Finance Group Research Paper No. 49
Number of pages: 30 Posted: 12 Sep 2005
Andrea Gamba and Lenos Trigeorgis
University of Warwick - Finance Group and University of Cyprus - Department of Public and Business Administration
Downloads 607 (84,376)
Citation 1

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Option pricing, binomial lattice, multi-dimensional diffusion

Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking

WBS Finance Group Research Paper No. 151
Number of pages: 51 Posted: 18 Feb 2011 Last Revised: 23 Dec 2019
Johns Hopkins University - Carey Business School, University of Warwick - Finance Group and Ca Foscari University of Venice
Downloads 266 (214,577)
Citation 3

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Capital requirements, liquidity requirements, Taxation of liabilities

Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking

European Banking Center Discussion Paper No. 2011-025, CentER Working Paper Series No. 2011-090, WBS Finance Group Research Paper No. 168
Number of pages: 51 Posted: 02 Sep 2011 Last Revised: 26 Dec 2019
Johns Hopkins University - Carey Business School, University of Warwick - Finance Group and Ca Foscari University of Venice
Downloads 118 (439,863)
Citation 2

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Capital requirements, liquidity requirements, taxation of liabilities

Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking

Bundesbank Discussion Paper No. 10/2012
Number of pages: 68 Posted: 21 Jun 2016
Johns Hopkins University - Carey Business School, University of Warwick - Finance Group and Ca Foscari University of Venice
Downloads 99 (500,623)
Citation 3

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Bank Regulation, Taxation, Dynamic Banking Model

Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking

WBS Finance Group Research Paper No. 173
Number of pages: 51 Posted: 11 Mar 2012 Last Revised: 26 Dec 2019
Johns Hopkins University - Carey Business School, University of Warwick - Finance Group and Ca Foscari University of Venice
Downloads 88 (540,995)
Citation 1

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Bank Regulation, Taxation, Dynamic Banking Model

10.

Valuing Corporate Financing Strategies

EFA 2009 Bergen Meetings Paper, WBS Finance Group Research Paper No. 94
Number of pages: 45 Posted: 17 Mar 2008 Last Revised: 23 Dec 2019
University of Warwick - Finance Group and Johns Hopkins University - Carey Business SchoolUniversity of Maryland - Robert H. Smith School of Business
Downloads 528 (100,587)
Citation 4

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11.

Dark Knights: The Rise in Firm Intervention by CDS Investors

WBS Finance Group Research Paper No. 265, Georgia Tech Scheller College of Business Research Paper No. 3479635, Forthcoming Management Science
Number of pages: 97 Posted: 04 Nov 2019 Last Revised: 23 Jan 2023
Andras Danis and Andrea Gamba
Central European University (CEU) and University of Warwick - Finance Group
Downloads 485 (111,520)
Citation 1

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credit default swaps, CDS, empty creditor, bankruptcy, hedge fund activism

12.

Microprudential Regulation in a Dynamic Model of Banking

Review of Financial Studies, Forthcoming, AEA 2014 Philadelphia Meeeting Paper, WBS Finance Group Research Paper No. 204
Number of pages: 57 Posted: 13 May 2013 Last Revised: 26 Dec 2019
Johns Hopkins University - Carey Business School, University of Warwick - Finance Group and Ca Foscari University of Venice
Downloads 484 (111,788)
Citation 38

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Bank Regulation, Dynamic Banking Model

13.

Valuing Modularity as a Real Option

Management Science, Forthcoming, Swiss Finance Institute Research Paper No. 08-20, WBS Finance Group Research Paper No. 86
Number of pages: 51 Posted: 29 Jan 2008 Last Revised: 23 Dec 2019
Andrea Gamba and Nicola Fusari
University of Warwick - Finance Group and Johns Hopkins University - Carey Business School
Downloads 482 (112,335)
Citation 2

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Real options, Modularity, Least Squares Monte Carlo

14.

Structural Estimation of Real Options Models

Journal of Economic Dynamics and Control, Forthcoming, WBS Finance Group Research Paper No. 65
Number of pages: 42 Posted: 08 Jun 2006 Last Revised: 23 Dec 2019
Andrea Gamba and Matteo Tesser
University of Warwick - Finance Group and Polytechnic University of Catalonia (UPC)
Downloads 469 (116,021)

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Real options, Markov Decision Processes, Discrete Decision Processes, Monte Carlo methods

15.

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 440 (125,112)

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dynamic capital structure, investment, credit risk, agency costs

16.

Investment and Credit Risk: A Structural Approach

WBS Finance Group Research Paper No. 71
Number of pages: 44 Posted: 20 Nov 2006
Andrea Gamba, Mamen Aranda and Daniele Poiega
University of Warwick - Finance Group, University of Navarra - Business and PricewaterhouseCoopers LLP
Downloads 440 (125,112)

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dynamic capital structure, investment, credit risk, underinvestment

17.

The Case of Negative Day-Ahead Electricity Prices

Energy Economics, Vol. 35, No. 1, 2013, WBS Finance Group Research Paper No. 158
Number of pages: 46 Posted: 13 May 2011 Last Revised: 26 Dec 2019
Enzo Fanone, Andrea Gamba and Marcel Prokopczuk
Dolomiti Energia Trading S.p.A., University of Warwick - Finance Group and University of Reading - ICMA Centre
Downloads 422 (131,286)
Citation 5

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Electricity, Lèvy processes, Price spikes, Negative prices

18.

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 416 (133,503)
Citation 3

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

19.

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 344 (164,981)
Citation 2

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CDS, leverage, credit risk, default

20.

Inventory and Corporate Risk Management

WBS Finance Group Research Paper No. 233, Review of Corporate Finance Studies, forthcoming
Number of pages: 75 Posted: 18 Sep 2015 Last Revised: 26 Dec 2019
Marco Bianco and Andrea Gamba
Lund University and University of Warwick - Finance Group
Downloads 315 (181,133)
Citation 5

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Corporate Risk Management, Inventory, Hedging, Cash Holdings

21.

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 302 (189,431)

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growth options, capital structure, credit risk

22.

Dynamic Bank Capital Regulation in Equilibrium

WBS Finance Group Research Paper No. 240
Number of pages: 63 Posted: 18 Oct 2017 Last Revised: 26 Dec 2019
New York University (NYU) - Department of Economics, University of Warwick - Finance Group and Ca Foscari University of Venice
Downloads 281 (204,111)

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Bank Regulation, Capital Requirements, General Equilibrium, Aggregate Risk

23.

Some Important Issues Involving Real Options: An Overview

Multinational Finance Journal, Vol. 14, No. 1/2, p. 73-123, 2010
Number of pages: 51 Posted: 26 Jun 2015
Gordon Sick and Andrea Gamba
University of Calgary - Haskayne School of Business and University of Warwick - Finance Group
Downloads 280 (204,851)

Abstract:

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Real Options; Capital Budgeting; Numerical Methods

24.

The Value of Embedded Real Options: Evidence from Consumer Automobile Lease Contracts - A Note

Finance Research Letters, pp. 213-220, December 2008, WBS Finance Group Research Paper No. 85
Number of pages: 17 Posted: 04 Jan 2008 Last Revised: 23 Dec 2019
Andrea Gamba and Riccardo Rigon
University of Warwick - Finance Group and affiliation not provided to SSRN
Downloads 262 (219,010)

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25.

Debt Covenants and the Value of Commitment

WBS Finance Group Research Paper Forthcoming
Number of pages: 60 Posted: 16 Oct 2020
Andrea Gamba and Lei Mao
University of Warwick - Finance Group and The Chinese University of Hong Kong, Shenzhen
Downloads 237 (241,772)
Citation 4

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Dynamic contracting, debt covenants, capital structure

26.

Non-dilutive CoCo Bonds: A Necessary Evil?

Review of Corporate Finance Studies, forthcoming, WBS Finance Group Research Paper
Number of pages: 50 Posted: 15 Mar 2023 Last Revised: 22 Jan 2024
Andrea Gamba, Joe Yanxiong Gong and Kebin Ma
University of Warwick - Finance Group, University of Warwick - Finance Group and University of Warwick - Finance Group
Downloads 224 (255,084)
Citation 1

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Banking, Bank Capital Regulation, Contingent Convertibles

27.

Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking

IMF Working Paper No. 12/72
Number of pages: 55 Posted: 25 Mar 2012
affiliation not provided to SSRN, University of Warwick - Finance Group and Ca Foscari University of Venice
Downloads 172 (323,926)

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Bank Regulation, Taxation, Dynamic Banking Model, Capital, Credit Risk, Economic Models, Liquidity

28.
Downloads 112 (455,339)

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 84 (557,126)

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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 28 (912,313)

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option pricing, leverage, growth options

29.

The Role of Model Uncertainty in Corporate Risk Management

WBS Finance Group Research Paper
Number of pages: 44 Posted: 29 Jun 2020
Andrea Gamba and Zhun Liu
University of Warwick - Finance Group and University of Central Florida
Downloads 100 (493,518)

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Corporate Risk Management, Hedge, Cash Holding, Liquidity Risk, Learning

30.

Debt Maturity and Commitment on Firm Policies

FRB of Dallas Working Paper No. 2303
Number of pages: 63 Posted: 05 May 2023
Andrea Gamba and Alessio Saretto
University of Warwick - Finance Group and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 64 (640,915)

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credit risk, debt-equity agency conflicts, leverage ratchet effect, financial contracting, debt maturity

31.

Manipulable Data, Goodhart's Law, and Credit Risk Prediction

Number of pages: 52 Posted: 05 Jun 2024
Andrea Gamba and Chris Hennessy
University of Warwick - Finance Group and London Business School
Downloads 9 (1,076,229)

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