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

 

Curriculum Vitae

 

Google Scholar

 


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), 2016

 

The Myth of The Credit Spread Puzzle (with Stephen Schaefer), 2016

Jack Treynor Prize Winner, 2015

 

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)