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Economics x Investment Banking x Econometrics and Mathematical Economics x clear all

Bayesian Inference for a Structural Credit Risk Model with Stochastic Volatility and Stochastic Interest Rates

Abel Rodríguez, Enrique ter Horst and Samuel Malone.

in Journal of Financial Econometrics

September 2015; p ublished online June 2014 .

Journal Article. Subjects: Investment Banking; Econometrics and Mathematical Economics. 7109 words.

We develop a novel structural credit risk model that extends the original Merton model by allowing for stochastic interest rates and stochastic volatility. The model is estimated using...

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The Economics of Solicited and Unsolicited Credit Ratings

Paolo Fulghieri, Günter Strobl and Han Xia.

in The Review of Financial Studies

February 2014; p ublished online October 2013 .

Journal Article. Subjects: Game Theory and Bargaining Theory; Information, Knowledge, and Uncertainy; Investment Banking. 20006 words.

This paper develops a dynamic rational expectations model of the credit rating process, incorporating three critical elements of this industry: (1) the rating agencies' ability to misreport...

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Risk and Return Characteristics of Venture Capital-Backed Entrepreneurial Companies

Arthur Korteweg and Morten Sorensen.

in The Review of Financial Studies

October 2010; p ublished online September 2010 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Economics; Investment Banking. 14052 words.

Valuations of entrepreneurial companies are only observed occasionally, albeit more frequently for well-performing companies. Consequently, estimators of risk and return must correct for...

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A Theory of IPO Waves

Ping He.

in The Review of Financial Studies

July 2007; p ublished online January 2007 .

Journal Article. Subjects: Investment Banking; Game Theory and Bargaining Theory. 15705 words.

In the IPO market, investors coordinate on acceptable IPO price based on the performance of past IPOs, and this generates an incentive for investment banks to produce information about IPO...

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