Lara Cathcart

Imperial College Business School

Associate Professor in Finance

South Kensington Campus

Exhibition Road

London SW7 2AZ, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

12

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CITATIONS
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Top 11,328

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47

Scholarly Papers (12)

Distressed Debt Restructuring in the Presence of Credit Default Swaps

Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 41 Posted: 27 Aug 2010 Last Revised: 15 Jan 2015
Mascia Bedendo, Lara Cathcart and Lina El-Jahel
Audencia Nantes School of Management, Imperial College Business School and University of Auckland
Downloads 558 (46,936)
Citation 8

Abstract:

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Credit default swaps, empty creditors, debt restructuring

In- and Out-of-Court Debt Restructuring in the Presence of Credit Default Swaps

CAREFIN Research Paper No. 24/2010
Number of pages: 36 Posted: 07 Apr 2011
Mascia Bedendo, Lara Cathcart and Lina El-Jahel
Audencia Nantes School of Management, Imperial College Business School and University of Auckland
Downloads 159 (184,018)

Abstract:

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2.

Defaultable Bonds and Default Correlation

AFA 2003 Washington, DC Meetings
Number of pages: 41 Posted: 25 Nov 2002
Lara Cathcart and Lina El-Jahel
Imperial College Business School and University of Auckland
Downloads 627 (40,766)
Citation 32

Abstract:

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3.

Reputational Shocks and the Information Content of Credit Ratings

Journal of Financial Stability, Forthcoming
Number of pages: 45 Posted: 21 Dec 2010 Last Revised: 11 Dec 2017
Mascia Bedendo, Lara Cathcart and Lina El-Jahel
Audencia Nantes School of Management, Imperial College Business School and University of Auckland
Downloads 534 (50,208)
Citation 5

Abstract:

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Credit rating agencies, Rating announcements, Reputational shocks, Regulation

4.

Do Sovereign Credit Default Swaps Represent a Clean Measure of Sovereign Default Risk? A Factor Model Approach

Number of pages: 48 Posted: 15 Mar 2012 Last Revised: 29 Jan 2013
Saad Badaoui, Lara Cathcart and Lina El-Jahel
EDHEC Business School/EDHEC Risk Institute, Imperial College Business School and University of Auckland
Downloads 220 (136,926)
Citation 16

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Sovereign CDS spreads, Default and Liquidity Intensities, Grid Search Method and Exponential Affine Models

5.

Implied Liquidity Risk Premium in the Term Structure of Sovereign Credit Default Swap and Bond Spreads

Number of pages: 43 Posted: 29 Aug 2013 Last Revised: 09 Jan 2014
Saad Badaoui, Lara Cathcart and Lina El-Jahel
EDHEC Business School/EDHEC Risk Institute, Imperial College Business School and University of Auckland
Downloads 197 (151,916)

Abstract:

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term structure of sovereign credit default swaps, maximum likelihood, Kalman filter, liquidity risk

6.

News Sentiment and Sovereign Credit Risk

Number of pages: 41 Posted: 09 Jun 2016 Last Revised: 26 Apr 2019
Lara Cathcart, Nina Gotthelf, Matthias Uhl and Yining Shi
Imperial College Business School, University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and Yining Shi
Downloads 162 (180,809)

Abstract:

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CDS, Sovereign Risk, Credit Risk Premium, Media Tone

7.

The Risk-Based Capital Credit Crunch Hypothesis, a Dual Perspective

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 43 Posted: 12 Jun 2012 Last Revised: 27 Apr 2013
Lara Cathcart, Lina El-Jahel and Ravel Jabbour
Imperial College Business School, University of Auckland and Imperial College Business School
Downloads 136 (208,812)

Abstract:

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Banking, Capital Structure, Financial Crisis

8.

Media and Business-Cycle Predictability

Number of pages: 62 Posted: 13 May 2019
Salim Baz, Lara Cathcart and Alexander Michaelides
Imperial College Business School, Imperial College Business School and Imperial College Business School
Downloads 35 (438,916)

Abstract:

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media, business cycles, coincident and leading indicators, term premium, default spread, out-of-sample predictability

9.

The Differential Impact of Leverage on the Default Risk of Small and Large Firms

Number of pages: 64 Posted: 17 Aug 2018
Imperial College Business School, ICMA Centre, Henley Business School, University of Reading, University of Reading - ICMA Centre and ICMA Centre - Henley Business School, University of Reading
Downloads 28 (470,695)

Abstract:

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10.

Market and Model Credit Default Swap Spreads: Mind the Gap!

European Financial Management, Vol. 17, Issue 4, pp. 655-678, 2011
Number of pages: 24 Posted: 17 Aug 2011
Mascia Bedendo, Lara Cathcart and Lina Elā€Jahel
Audencia Nantes School of Management, Imperial College Business School and affiliation not provided to SSRN
Downloads 3 (620,064)
Citation 7
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equity volatility, credit spreads, structural models, G21, C22, G10

11.

Market Vs Model Credit Default Swap Spreads: Mind the Gap!

European Financial Management, Forthcoming
Posted: 06 Mar 2008 Last Revised: 31 Jul 2010
Lara Cathcart, Lina El-Jahel and Mascia Bedendo
Imperial College Business School, University of Auckland and Audencia Nantes School of Management

Abstract:

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Equity volatility, Credit spreads, Structural models , Trading strategies

12.

The Shape of the Term Structure of Credit Spreads: An Empirical Investigation

Journal of Financial Research, Vol. 30, No. 2, 2007
Posted: 17 Mar 2005 Last Revised: 30 Jul 2010
Mascia Bedendo, Lara Cathcart and Lina El-Jahel
Audencia Nantes School of Management, Imperial College Business School and University of Auckland

Abstract:

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Credit spreads, term structure, level, slope, curvature

Other Papers (2)

Total Downloads: 13
1.

The Differential Impact of Leverage on the Default Risk of Small and Large Firms

Number of pages: 46 Posted: 29 May 2018
Lara Cathcart, Alfonso Dufour and Ludovico Rossi
Imperial College Business School, ICMA Centre, Henley Business School, University of Reading and University of Reading - ICMA Centre
Downloads 13

Abstract:

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Bankruptcy, Small and Medium Enterprises, Leverage

2.

The Correlation Structure of the CDS Market: An Empirical Investigation

AFA 2011 Denver Meetings Paper
Posted: 23 Mar 2010 Last Revised: 02 Jul 2014
Leo Evans, Lina El-Jahel and Lara Cathcart
Imperial College Business School, University of Auckland and Imperial College Business School

Abstract:

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Credit Correlation, Clustering, Principle Components Analysis, Ratingsma separated]