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Calculating Returns in the Secondary Corporate Loan Market

5 Pages Posted: 16 Jul 2019

See all articles by Mehdi Beyhaghi

Mehdi Beyhaghi

Federal Reserve Banks - Federal Reserve Bank of Richmond

Sina Ehsani

Northern Illinois University

Date Written: July 15, 2019

Abstract

This note describes in detail the methodology to calculate returns in the secondary corporate loan market. It is provided as a supplementary note to "The cross-section of expected returns in the secondary corporate loan market."

Keywords: loan trading, secondary loan market, loan return

JEL Classification: G10, G12, G12

Suggested Citation

Beyhaghi, Mehdi and Ehsani, Sina, Calculating Returns in the Secondary Corporate Loan Market (July 15, 2019). Available at SSRN: https://ssrn.com/abstract=3420435 or http://dx.doi.org/10.2139/ssrn.3420435

Mehdi Beyhaghi (Contact Author)

Federal Reserve Banks - Federal Reserve Bank of Richmond ( email )

P.O. Box 27622
Richmond, VA 23261
United States

Sina Ehsani

Northern Illinois University ( email )

Chicago, IL 60115
United States

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