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Agence de notation financière

Publications associées (32)

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Recommendation using textual opinions

Boi Faltings, Claudiu-Cristian Musat

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 ...

2013

On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations

Pierre Collin Dufresne

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 ...

Wiley-Blackwell2012

On Bounding Credit Event Risk Premia

Pierre Collin Dufresne

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

Credit Market Frictions and Capital Structure Dynamics

Semyon Malamud, Erwan Morellec, Julien Hugonnier

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 ...

2012

Corporate governance and capital structure dynamics

Erwan Morellec, Norman Schuerhoff, Boris Nikolov

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 ...

2012

The use of word data to measure perception in hybrid choice models

Michel Bierlaire, Aurélie Glerum

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 ...

2012

The use of word data to measure perception in hybrid choice models

Michel Bierlaire, Aurélie Glerum

2012