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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.
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
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)