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Peter Feldhütter

Email: pf.fi@cbs.dk. Empirical Asset Pricing, Credit Risk, Fixed Income, Liquidity Risk. The Myth of The Credit Spread Puzzle. With Stephen Schaefer), 2017,. Review of Financial Studies, forthcoming. We propose a statistically more precise approach for calibrating structural models of credit risk to historical default rates. Using this new approach we find that a standard structural model (Black- Cox[. Prize Winner, 2015. And Volatilities in a Non-Linear Term Structure Model. For a wide range of risk pre...

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Peter Feldhütter | feldhutter.com Reviews
<META>
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Email: pf.fi@cbs.dk. Empirical Asset Pricing, Credit Risk, Fixed Income, Liquidity Risk. The Myth of The Credit Spread Puzzle. With Stephen Schaefer), 2017,. Review of Financial Studies, forthcoming. We propose a statistically more precise approach for calibrating structural models of credit risk to historical default rates. Using this new approach we find that a standard structural model (Black- Cox[. Prize Winner, 2015. And Volatilities in a Non-Linear Term Structure Model. For a wide range of risk pre...
<META>
KEYWORDS
1 eter
2 eldhütter
3 professor of finance
4 department of finance
5 copenhagen business school
6 solberg plads
7 denmark
8 curriculum vitae
9 google scholar
10 esearch
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Peter Feldhütter | feldhutter.com Reviews

https://feldhutter.com

Email: pf.fi@cbs.dk. Empirical Asset Pricing, Credit Risk, Fixed Income, Liquidity Risk. The Myth of The Credit Spread Puzzle. With Stephen Schaefer), 2017,. Review of Financial Studies, forthcoming. We propose a statistically more precise approach for calibrating structural models of credit risk to historical default rates. Using this new approach we find that a standard structural model (Black- Cox[. Prize Winner, 2015. And Volatilities in a Non-Linear Term Structure Model. For a wide range of risk pre...

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Email: pf.fi@cbs.dk. Empirical Asset Pricing, Credit Risk, Fixed Income, Liquidity Risk. The Myth of The Credit Spread Puzzle. With Stephen Schaefer), 2017,. Review of Financial Studies, forthcoming. We propose a statistically more precise approach for calibrating structural models of credit risk to historical default rates. Using this new approach we find that a standard structural model (Black- Cox[. Prize Winner, 2015. And Volatilities in a Non-Linear Term Structure Model. For a wide range of risk pre...

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