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PETER FELDHÜTTER Assistant Professor of Finance (since 2010) Email: pfeldhutter@london.edu Phone: +44 (0) 20 7000 8277 London Business School Regent's Park London NW1 4SA United Kingdom
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RESEARCH INTERESTS
Empirical Asset Pricing, Credit Risk, Fixed Income, Liquidity Risk, Market Microstructure
PUBLISHED PAPERS
Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis (with Jens Dick-Nielsen and David Lando), 2012, Journal of Financial Economics, 103, 471-492.
Illiquidity
premia in US corporate bonds were large during the
subprime crisis. Bonds become less liquid when financial distress hits a lead
underwriter.
Monthly time series 2002:07-2009:12 of illiquidity of all US corporate bonds, industrial bonds, and financial bonds: Download
Our results are used in an Oliver Wyman study on the impact of the Volcker Rule on corporate bond liquidity. The study and our results are discussed in New York Times and Financial Times.
The Same Bond
at Different Prices: Identifying Search Frictions and Selling Pressures, 2012,
Review of Financial Studies, 25, 1155-1206.
A new way
to measure selling pressures in over-the-counter markets. The evidence shows strong selling pressure
in GM bonds in May 2005 and market-wide selling pressures in US corporate bonds
during the subprime crisis.
Systematic and Idiosyncratic
Default Risk in Synthetic Credit Markets (with Mads Stenbo Nielsen), 2012, Journal of Financial Econometrics,
10, 292-324.
How to estimate an
intensity-based model for correlated defaults without the usual assumptions.
The model matches the time-series variation of CDO tranche spreads well.
Previously entitled ‘‘An Empirical Investigation of an Intensity-Based Model for
Pricing CDO Tranches”
Decomposing Swap Spreads (with David Lando), 2008, Journal of Financial Economics, 88, 375-405.
Use swap rates not Treasury yields as
riskless rates. Hedging activity in the MBS market occasionally pushes swap
rates down.
Society of Quantitative Analysts award for best paper
on quantitative investment,
Western Finance Association, 2006
WORKING PAPERS
Short-Term
Corporate Bond Yield Spreads, April 2012
Keep
it Simple: Dynamic Bond Portfolios Under Parameter
Uncertainty (with Linda S. Larsen, Claus Munk, and Anders B. Trolle), March
2012
Can Affine Models Match the Moments in Bond Yields?, April 2008