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Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit event risk typically preclude the most plausible economic justification for such risk to be priced--namely, a “contagious” response of the market po ...
We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 index options and CDO tranches of corporate debt. We identify market dynamics from index option prices and idiosyncratic dynamics from the term ...
We study the implications of credit market frictions for the dynamics of corporate capital structure and the risk of default of corporations. To do so, we develop a dynamic capital structure model in which firms face uncertainty regarding their ability to ...
We develop a dynamic tradeoff model to examine the importance of managershareholder conflicts in capital structure choice. In the model, firms face taxation, refinancing costs, and liquidation costs. Managers own a fraction of the firms equity, capture par ...
This research aims at developing a hybrid choice model (HCM) where a perceptional variable is measured by means of adjectives reported by individuals. Due to the qualitative nature of adjectives, the main challenges of the study involve their quantificatio ...
Many web sites collect reviews of products and services and use them provide rankings of their quality. However, such rankings are not personalized. We investigate how the information in the reviews written by a particular user can be used to personalize t ...
This research aims at developing a hybrid choice model (HCM) where a perceptional variable is measured by means of adjectives reported by individuals. Due to the qualitative nature of adjectives, the main challenges of the study involve their quantificatio ...
