Solbjerg Plads 3
Frederiksberg C, DK - 2000
Denmark
Copenhagen Business School
SSRN RANKINGS
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asset pricing, factors, data mining, replication, multiple testing, external validity JEL Codes: G11, G12, G14, G32, G4, C5
Corporate bonds, Liquidity, Liquidity risk, Subprime crisis
Corporate bonds, Yield spreads, Liquidity, Subprime Crisis, TRACE
Externalities, ESG, CSR, capital structure, carbon emission, asset pricing
Swap spreads, corporate bond spreads, term structure of interest rates
Nonlinear Term Structure Models, Expected Excess Returns, Stochastic Volatility, Unspanned Risk Premia (URP), Unspanned Stochastic Volatility (USV)
Corporate Debt Valuations, Tobin's Q, Leverage Premium
Credit spread puzzle, Merton model, Structural models, Corporate bond spreads, Realized default frequencies
Creditor control, Credit default swap (CDS), Distress, Default, Bankruptcy, Covenant violation, Liquidity, Corporate bonds
ESG, Sustainability-linked bond, Corporate bonds, Step-up coupon, Sustainium
Bid-ask spread, Liquidity, Over-the-counter markets, Inventory costs, Corporate bonds
credit risk, CDO, hedging
Structural Models, Debt Levels, Default Rates, Default Boundary, Credit Risk
Credit Spreads, LBO risk, Structural Models, Leveraged Buyouts
Suboptimal investments, parameter uncertainty, utility losses, bond portfolios, MCMC estimation
Affine term structure, Market price of risk, Time-varying risk premium, Time-varying volatility
liquidity, corporate bonds, search frictions, selling pressure, over-the-counter
credit spread puzzle, credit risk, corporate debt, bond pricing, loan pricing
Credit spreads, risk premia, financial institutions, systematic risk, bond beta
