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Trade Credit: Literature Review and Research Directions

Publications associées (32)

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Polynomial models in finance

Damien Edouard Ackerer

This thesis presents new flexible dynamic stochastic models for the evolution of market prices and new methods for the valuation of derivatives. These models and methods build on the recently characterized class of polynomial jump-diffusion processes for w ...

EPFL2017

Essays on the Market Structure and Pricing of Credit Derivatives

Jan Benjamin Junge

This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...

EPFL2016

Essays in Financial Economics

Christopher Trevisan

This thesis is structured in three chapters, each pertaining to a specific problem in financial economics. The first chapter, titled 'High-Frequency Jump Analysis of the Bitcoin Market' and co-authored with Prof. Olivier Scaillet and Adrien Treccani of the ...

EPFL2016

Transformation through Participation? A critical inquiry into participatory research practices in the field of sustainability

Claudia Rebeca Binder Signer, Livia Bianca Fritz

Academic literature on the driving and constraining factors that shape the ways in which researchers, civil society actors, political decision-makers or entrepreneurs – i.e. actors with distinct forms of expertise - jointly define concerns and (co-)produce ...

2016

Modeling Credit Contagion via the Updating of Fragile Beliefs

Pierre Collin Dufresne

We propose an equilibrium model for defaultable bonds that are subject to contagion risk. Contagion arises because agents with "fragile beliefs" are uncertain about the underlying economic state and its probability. Estimation on sovereign European credit ...

Oxford Univ Press Inc2015

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 contemporaneous drop in the market por ...

Oxford University Press2015

On Bounding Credit-Event Risk Premia

Pierre Collin Dufresne

2015

Automatic target validation based on neuroscientific literature mining for tractography

Jean-Cédric Chappelier, Sean Lewis Hill, Jocelyne Bloch, Bogdan Draganski, Renaud Luc Richardet, Xavier Vasques, David Slater

Target identification for tractography studies requires solid anatomical knowledge validated by an extensive literature review across species for each seed structure to be studied. Manual literature review to identify targets for a given seed region is ted ...

Frontiers Research Foundation2015

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 ...

2015

Investment timing, debt structure, and financing constraints

Michi Nishihara

We introduce debt issuance limit constraints along with market debt and bank debt to consider how financial frictions affect investment, financing, and debt structure strategies. Our model provides four important results. First, a firm is more likely to is ...

Elsevier Science Bv2015