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Peter Feldhütter

is an assistant professor at the London Business School since 2010. In 2007-2009 he was a postdoctoral fellow in finance at the Copenhagen Business School. He earned his PhD in Finance in 2007 from the same institution. His research areas include asset pricing, credit risk, fixed income, as well as liquidity risk. He has published in several journals including the Journal of Financial Economics and Review of Financial Studies.

http://www.feldhutter.com/

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Where to measure corporate credit risk - the CDS market or corporate bond market? (with David Lando, Pia Mølgaard, and Mads Stenbo Nielsen)

We use the US government guarantee of bonds issued by financial institutions introduced in October 2008 to establish a risk free benchmark rate. Controlling for liquidity differences, the difference between unsecured corporate bond yields and guaranteed bond yields is a pure measure of credit risk. We find that the spread between the unsecured corporate bond yield and the swap rate captures this credit risk component better than the corresponding CDS spread.

Last modified: 2018.11.30.