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PETER FELDHÜTTER Professor of Finance Email: pf.fi@cbs.dk Phone: +45 38153753 Department of Finance Copenhagen Business School Solberg Plads 3, A4.02 2000 Frederiksberg Denmark
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RESEARCH INTERESTS
Empirical Asset Pricing, Credit Risk, Fixed Income, Liquidity Risk
PUBLISHED AND FORTHCOMING PAPERS
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[1976])
matches the level of investment grade bonds well. Model spreads for speculative
bonds are too low, partly due to bond illiquidity.
Jack Treynor Prize
Winner, 2015
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 predictability 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
Transaction
Costs and Liquidity in Fixed Income Markets (with Monika Gehde-Trapp and Yalin Gündüz), 2017
Keep it Simple: Dynamic Bond Portfolios Under Parameter Uncertainty (with Linda S. Larsen, Claus
Munk, and Anders B. Trolle),
2012