Peter Feldhütter

Copenhagen Business School

Solbjerg Plads 3

Frederiksberg C, DK - 2000

Denmark

SCHOLARLY PAPERS

12

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CITATIONS
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338

Scholarly Papers (12)

Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 61 Posted: 21 Mar 2009 Last Revised: 07 Jul 2011
Jens Dick-Nielsen, Peter Feldhütter and David Lando
Copenhagen Business School - Department of Finance, Copenhagen Business School and Copenhagen Business School
Downloads 1,285 (14,267)
Citation 164

Abstract:

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Corporate bonds, Liquidity, Liquidity risk, Subprime crisis

Corporate Bond Liquidity Before and after the Onset of the Subprime Crisis

EFA 2009 Bergen Meetings Paper
Number of pages: 34 Posted: 10 Feb 2009
Jens Dick-Nielsen, Peter Feldhütter and David Lando
Copenhagen Business School - Department of Finance, Copenhagen Business School and Copenhagen Business School
Downloads 173 (171,105)
Citation 13

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Corporate bonds, Yield spreads, Liquidity, Subprime Crisis, TRACE

2.

Decomposing Swap Spreads

EFA 2006 Zurich Meetings
Number of pages: 58 Posted: 22 Mar 2005
Peter Feldhütter and David Lando
Copenhagen Business School and Copenhagen Business School
Downloads 1,260 (15,022)
Citation 69

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Swap spreads, corporate bond spreads, term structure of interest rates

3.

Risk Premia and Volatilities in a Nonlinear Term Structure Model

Review of Finance, Forthcoming
Number of pages: 74 Posted: 01 Apr 2013 Last Revised: 10 Sep 2016
Copenhagen Business School, Indiana University - Kelley School of Business - Department of Finance and University of Pennsylvania - Finance Department
Downloads 697 (35,435)
Citation 5

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Nonlinear Term Structure Models, Expected Excess Returns, Stochastic Volatility, Unspanned Risk Premia (URP), Unspanned Stochastic Volatility (USV)

4.

The Value of Creditor Control in Corporate Bonds

Journal of Financial Economics (JFE), Volume 121, Issue 1, pp. 1-27, July 2016
Number of pages: 62 Posted: 07 Mar 2014 Last Revised: 01 Jun 2016
Peter Feldhütter, Edith S. Hotchkiss and Oğuzhan Karakaş
Copenhagen Business School, Boston College - Carroll School of Management and Cambridge Judge Business School - Finance Subject Group
Downloads 556 (47,811)
Citation 14

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Creditor control, Credit default swap (CDS), Distress, Default, Bankruptcy, Covenant violation, Liquidity, Corporate bonds

5.

An Empirical Investigation of an Intensity-Based Model for Pricing CDO Tranches

Number of pages: 47 Posted: 08 May 2007 Last Revised: 09 May 2008
Peter Feldhütter
Copenhagen Business School
Downloads 495 (55,340)
Citation 12

Abstract:

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credit risk, CDO, hedging

6.

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 413 (69,142)
Citation 8

Abstract:

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

7.

Can Affine Models Match the Moments in Bond Yields?

Number of pages: 65 Posted: 16 Jul 2006 Last Revised: 09 May 2008
Peter Feldhütter
Copenhagen Business School
Downloads 256 (117,774)
Citation 8

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Affine term structure, Market price of risk, Time-varying risk premium, Time-varying volatility

8.

Keep it Simple: Dynamic Bond Portfolios Under Parameter Uncertainty

Number of pages: 44 Posted: 12 Mar 2012 Last Revised: 16 Nov 2012
Copenhagen Business School, Copenhagen Business School, Copenhagen Business School and HEC Paris - Finance Department
Downloads 226 (133,533)
Citation 3

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Suboptimal investments, parameter uncertainty, utility losses, bond portfolios, MCMC estimation

9.

The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures

Number of pages: 68 Posted: 03 Jun 2009 Last Revised: 16 Mar 2010
Peter Feldhütter
Copenhagen Business School
Downloads 170 (173,678)
Citation 90

Abstract:

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liquidity, corporate bonds, search frictions, selling pressure, over-the-counter

10.

Leveraged Buyouts and Bond Credit Spreads

Columbia Business School Research Paper No. 16-57
Number of pages: 53 Posted: 23 Aug 2016 Last Revised: 18 Nov 2018
Yael Eisenthal-Berkovitz, Peter Feldhütter and Vikrant Vig
Columbia University - Columbia Business School, Copenhagen Business School and London Business School
Downloads 169 (174,602)

Abstract:

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Credit Spreads, LBO risk, Structural Models, Leveraged Buyouts

11.

What Determines Bid-Ask Spreads in Over-the-Counter Markets?

Number of pages: 48 Posted: 11 Dec 2018
Peter Feldhütter and Thomas K. Poulsen
Copenhagen Business School and Copenhagen Business School - Department of Finance
Downloads 68 (330,373)

Abstract:

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Bid-ask spread, Liquidity, Over-the-counter markets, Inventory costs, Corporate bonds

12.

Debt Dynamics and Credit Risk

Number of pages: 68 Posted: 27 Jun 2019
Peter Feldhütter and Stephen M. Schaefer
Copenhagen Business School and London Business School - Institute of Finance and Accounting
Downloads 20 (515,138)

Abstract:

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