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A Theory of Liquidity Spillover Between Bond and CDS Markets

Batchimeg Sambalaibat   Jul 07,2021

Working Paper No.00072-00

I build a search model of bond and credit default swap (CDS) markets with endogenous investor participation and show that... Read More

A Theory of Liquidity Spillover Between Bond and CDS Markets

Batchimeg Sambalaibat   Jul 07,2021

Working Paper No.00072-00

I build a search model of bond and credit default swap (CDS) markets with endogenous investor participation and show that... Read More

A Theory of Liquidity Spillover Between Bond and CDS Markets

Batchimeg Sambalaibat   Jul 07,2021

Working Paper No.00072-00

I build a search model of bond and credit default swap (CDS) markets with endogenous investor participation and show that... Read More

A Theory of Liquidity Spillover Between Bond and CDS Markets

Batchimeg Sambalaibat   Jul 07,2021

Working Paper No.00072-00

I build a search model of bond and credit default swap (CDS) markets with endogenous investor participation and show that... Read More

Private Renegotiations and Government Interventions in Debt Chains

Christian Opp Vincent Glode   Nov 02,2021

Working Paper No.00062-02

We propose a model of strategic debt renegotiation in which businesses are sequentially interconnected through their liabilities. This financing structure,... Read More

Private Renegotiations and Government Interventions in Debt Chains

Christian Opp Vincent Glode   Nov 02,2021

Working Paper No.00062-02

We propose a model of strategic debt renegotiation in which businesses are sequentially interconnected through their liabilities. This financing structure,... Read More

Private Renegotiations and Government Interventions in Debt Chains

Christian Opp Vincent Glode   Nov 02,2021

Working Paper No.00062-02

We propose a model of strategic debt renegotiation in which businesses are sequentially interconnected through their liabilities. This financing structure,... Read More

Private Renegotiations and Government Interventions in Debt Chains

Christian Opp Vincent Glode   Nov 02,2021

Working Paper No.00062-02

We propose a model of strategic debt renegotiation in which businesses are sequentially interconnected through their liabilities. This financing structure,... Read More

Strategic Fragmented Markets

Ana Babus , Cecilia Parlatore   Apr 30,2021

Working Paper No.00071-00

We study the determinants of asset market fragmentation in a model with strategic investors that disagree about the value of... Read More

Published: Journal of Financial Economics, 2022, 145(), 876-908

Model Secrecy and Stress Tests (JF forthcoming)

Basil Williams Yaron Leitner   Nov 17,2021

Working Paper No.00061-01

Should regulators reveal the models they use to stress test banks? In our setting, revealing leads to gaming, but secrecy... Read More

Published: Journal of Finance, 2023, 78(2), 1055-1095