Peter Feldhütter

Copenhagen Business School

Solbjerg Plads 3

Frederiksberg C, DK - 2000

Denmark

SCHOLARLY PAPERS

13

DOWNLOADS
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SSRN RANKINGS

Top 9,302

in Total Papers Downloads

7,160

SSRN CITATIONS
Rank 3,170

SSRN RANKINGS

Top 3,170

in Total Papers Citations

351

CROSSREF CITATIONS

68

Scholarly Papers (13)

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 1,326 (20,685)
Citation 122

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 197 (211,970)
Citation 19

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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 1,346 (20,622)
Citation 20

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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, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 74 Posted: 01 Apr 2013 Last Revised: 02 Sep 2020
Copenhagen Business School, Indiana University - Kelley School of Business - Department of Finance and Texas A&M University - Mays Business School - Finance Department
Downloads 755 (46,801)
Citation 7

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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 636 (58,580)
Citation 10

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

5.

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 517 (76,040)
Citation 26

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

6.

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 514 (76,604)
Citation 18

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credit risk, CDO, hedging

7.

Marking to Market Corporate Debt

Swiss Finance Institute Research Paper No. 21-06, USC Marshall School of Business Research Paper Sponsored by iORB, No. Forthcoming
Number of pages: 87 Posted: 25 Sep 2020 Last Revised: 17 Mar 2021
Lorenzo Bretscher, Peter Feldhütter, Andrew Kane and Lukas Schmid
Swiss Finance Institute - HEC Lausanne, Copenhagen Business School, Duke University, Fuqua School of Business, Students and University of Southern California - Marshall School of Business
Downloads 421 (97,041)
Citation 1

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Corporate Debt Valuations, Tobin's Q, Leverage Premium

8.

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 271 (156,468)
Citation 7

Abstract:

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

9.

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 264 (160,695)
Citation 2

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Credit Spreads, LBO risk, Structural Models, Leveraged Buyouts

10.

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 BI Norwegian Business School
Downloads 256 (165,722)
Citation 5

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

11.

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 Copenhagen Business School
Downloads 252 (168,315)
Citation 7

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

12.

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 218 (193,235)
Citation 66

Abstract:

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

13.

Debt Dynamics and Credit Risk

Number of pages: 68 Posted: 27 Jun 2019 Last Revised: 23 Nov 2020
Peter Feldhütter and Stephen M. Schaefer
Copenhagen Business School and London Business School - Institute of Finance and Accounting
Downloads 187 (222,049)

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