Concept

Obligation d'entreprise

Publications associées (40)

On Bounding Credit Event Risk Premia

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 ...

Columbia Business School2012

Corporate structure optimisation for multinational companies

In this paper we consider a multinational corporate structuring problem. This problem involves designing a corporate/organisational structure (across different countries) so as to remit profits from a number of subsidiaries to a single parent company, whil ...

2012

Volatilities of Actinide and Lanthanide N,N-Dimethylaminodiboranate Chemical Vapor Deposition Precursors: A DFT Study

N,N-Dimethylaminodiboranate complexes with praseodymium, samarium, erbium, and uranium, which are potential chemical vapor deposition precursors for the deposition of metal boride and oxide thin films, have been investigated by DFT guided by field-ionizati ...

Amer Chemical Soc2012

Modeling Credit Contagion Via the Updating of Fragile Beliefs

Pierre Collin Dufresne

We propose a tractable equilibrium model for pricing defaultable bonds that are subject to contagion risk. Contagion arises because agents with 'fragile beliefs' are uncertain about both the underlying state of the economy and the posterior probabilities a ...

Columbia Business School2011

Corporate investment and financing under asymmetric information

Erwan Morellec, Norman Schuerhoff

We develop a dynamic model of corporate investment and financing decisions in which corporate insiders have superior information about the firm's growth prospects. We show that firms with positive private information can credibly signal their type to outsi ...

2011

Credit Supply and Corporate Policies

Erwan Morellec

This paper develops a model of corporate investment and financing decisions that differs from previous contributions by recognizing that firms may face uncertainty regarding their future access to credit markets. We show that accounting for credit supply u ...

Swiss Finance Institute Research Paper Series2010

Term-Structure Models: A Graduate Course

Damir Filipovic

Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathe ...

Springer Finance2009

An Option to Partner: A Dyadic Analysis of CVC Relationships

Anu Wadhwa

This paper takes a real options view of corporate venture capital (CVC), which are direct minority equity investments made by established companies in privately held entrepreneurial ventures. CVC investments have been characterized as creating growth optio ...

2009

A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives

Anders Trolle

We develop a tractable and flexible stochastic volatility multifactor model of the term structure of interest rates. It features unspanned stochastic volatility factors, correlation between innovations to forward rates and their volatilities, quasi-analyti ...

Oxford University Press2009

Molecular Dynamics Simulations of Interfacial Sliding in Carbon-Nanotube/Diamond Nanocomposites

William Curtin

Molecular dynamics simulations are reported for the pullout force and interfacial friction of single-and multiwall carbon nanotubes (CNT) with interwall sp(3) bonds embedded in a diamond matrix. The van der Waals interaction and sp(3) bonding are shown to ...

2009

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