Gunnar Grass

HEC Montréal

3000, Chemin de la Côte-Sainte-Catherine

Montreal, Quebec H3T2A7

Canada

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 26,277

SSRN RANKINGS

Top 26,277

in Total Papers Downloads

1,383

CITATIONS
Rank 22,950

SSRN RANKINGS

Top 22,950

in Total Papers Citations

12

Scholarly Papers (10)

1.
Downloads 460 ( 49,057)
Citation 1

Using Structural Models for Default Prediction

Number of pages: 61 Posted: 26 Nov 2008
Gunnar Grass
HEC Montréal
Downloads 193 (127,770)
Citation 1

Abstract:

Structural Credit Risk Models, Bankruptcy Prediction, Risk-Neutral Pricing

Using Structural Models for Default Prediction

Number of pages: 62 Posted: 22 Mar 2009
Gunnar Grass
HEC Montréal
Downloads 166 (146,810)
Citation 1

Abstract:

Structural Credit Risk Models, Bankruptcy Prediction, Risk-Neutral Pricing

Using Structural Models for Default Prediction

Number of pages: 52 Posted: 14 Feb 2009
Gunnar Grass
HEC Montréal
Downloads 101 (218,189)
Citation 1

Abstract:

Structural Credit Risk Models, Bankruptcy Prediction, Risk-Neutral Pricing

2.

Convertible Debt and Shareholder Incentives

Journal of Corporate Finance, Forthcoming
Number of pages: 43 Posted: 10 Oct 2012 Last Revised: 02 Dec 2013
HEC Montreal, HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 209 (95,890)

Abstract:

Convertible bonds, Risk-shifting, Asset substitution, Agency conflict, Financial distress, Asset volatility, Contingent claims

3.

The Impact of the Corporate Diversification on the Option Value of Equity

Number of pages: 46 Posted: 25 Mar 2008 Last Revised: 15 Feb 2009
Gunnar Grass
HEC Montréal
Downloads 95 (223,010)
Citation 5

Abstract:

Contingent-claims analysis, Corporate Diversification, Risk-Shifting

4.

The Impact of Corporate Diversification on the Option Value of Equity

Number of pages: 53 Posted: 18 Mar 2009
Gunnar Grass
HEC Montréal
Downloads 94 (215,439)
Citation 6

Abstract:

Contingent-claims analysis, Corporate Diversification, Risk-Shifting

5.

Model Implied Credit Spreads

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 50 Posted: 14 Oct 2011
Gunnar Grass
HEC Montréal
Downloads 82 (241,087)

Abstract:

Structural Credit Risk Models, Bankruptcy Prediction, Risk-Neutral Pricing

6.

Extracting Credit Spreads from Structural Models Via the Payout Ratio

Number of pages: 54 Posted: 02 Jul 2013
Gunnar Grass
HEC Montréal
Downloads 68 (257,867)

Abstract:

Credit Risk, Structural Model, Bond Spread, Credit Default Swap

7.

How Do Insiders Trade?

CFS WP No. 541
Number of pages: 66 Posted: 09 Oct 2016
McGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance, HEC Montréal and New York University - Stern School of Business
Downloads 0 (97,074)

Abstract:

Insider Trading, Market Microstructure, Corporate Announcements, Extreme Price Movements, Equity Options

8.

When the Options Market Disagrees

Number of pages: 36 Posted: 04 Jun 2016 Last Revised: 01 May 2017
Mathieu Fournier, Ruslan Goyenko and Gunnar Grass
HEC Montreal, McGill University - Desautels Faculty of Management and HEC Montréal
Downloads 0 (328,101)

Abstract:

Options; Order Flows; Disagreement; News

9.

Does Conglomeration Really Reduce Credit Risk?

Accounting & Finance, Vol. 52, Issue 3, pp. 831-848, 2012
Number of pages: 18 Posted: 09 Sep 2012
Gunnar Grass
HEC Montréal
Downloads 0 (548,141)
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Abstract:

Corporate diversification, Default risk, Agency problems, Risk‐shifting

10.

Business Value and Risk in the Presence of Price Controls: An Option-Based Analysis of Margin Squeeze Rules in the Telecommunications Industry

Annals of Operation Research, Vol. 176, No. 1, pp. 311-332, April 2010
Posted: 07 Apr 2008 Last Revised: 13 Apr 2010
Philipp N. Baecker, Gunnar Grass and Ulrich Hommel
Strategic Finance Institute (SFI), HEC Montréal and EBS Business School

Abstract:

telecommunications, real options, access pricing, margin squeezes, option games

Other Papers (1)

Total Downloads: 0    Citations: 0
1.

Wealth Transfer or Wealth Destruction: Can Contingent-Claims Analysis Explain the Conglomerate Discount?

Posted: 13 Jan 2007
Philipp N. Baecker and Gunnar Grass
Strategic Finance Institute (SFI) and HEC Montréal

Abstract:

contingent-claims analysis, diversification, conglomerate discount, reverse asset substitution