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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
PUBLISHED AND FORTHCOMING PAPERS
Risk Premia and Volatilities in a Non-Linear Term
Structure Model (with Christian Heyerdahl-Larsen and Philipp Illeditsch),
2016, Review of Finance,
forthcoming
A
nonlinear term structure model with closed-form solutions. The model with only
three latent factors captures variation in expected excess returns and yield
volatilities and exhibits features consistent with unspanned stochastic
volatility and unspanned risk premia.
Outstanding Paper Award, Wharton’s Jacobs Levy Equity Management Center
for Quantitative Research, 2014
The Value of Creditor Control in Corporate
Bonds (with Edith Hotchkiss and Oğuzhan Karakaş), 2016, Journal of Financial
Economics, 121,
1-27.
A new way to measure the premium in corporate bond prices that is
related to creditor control. The premium increases as firm credit quality
decreases and around defaults, bankruptcies, and covenant violations.
Can Affine Models Match the Moments
in Bond Yields?, 2016, Quarterly Journal of Finance, 2,
1650009
For a wide range of risk premium specifications, there is no
three-factor affine model that can simultaneously capture the predictibiliy in
bond excess returns and time variation in yield volatility.
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
in the paper: Download.
Updated data through 2013:06: 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
Leveraged Buyouts and Credit Spreads (with Yael Eisenthal
and Vikrant Vig), 2017
Revise-and-resubmit at Journal of Financial
Economics
The Myth of The Credit Spread Puzzle (with Stephen
Schaefer), 2017
Jack Treynor Prize Winner, 2015
Revise-and-resubmit at Review of Financial Studies
Keep it Simple: Dynamic Bond Portfolios Under
Parameter Uncertainty (with Linda S. Larsen, Claus Munk, and Anders B.
Trolle), 2012
WORK IN PROGRESS
Where to
Look for Credit Risk – the Corporate bond or CDS Market? (with David Lando and
Pia Mølgaard)
The Cost of
Immediacy in the CDS Market (with Monika Gehde-Trapp and Yalin Gündüz)
Which Price
is Right? (with Jens Dick-Nielsen)
Bond
Liquidity and Dealer Distress (with Edith Hotchkiss)
Expanded
Term Structure Models (with Christian Heyerdahl-Larsen and Philipp Illeditsch)