NYU Stern

Research

Credit Analysis & Models 

"Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions," Stephen Figlewski, Halina Frydman and Weijian Liang (2010), International Review of Economics and Finance (forthcoming)

Cash Holdings and Credit Risk” Viral Acharya, Sergei Davydenko and Ilya Strebulaev(2011)
 
“How Sovereign is Sovereign Credit Risk?”Francis A. Longstaff, Jun Pan, Lasse H. Pedersen, and Kenneth J. Singleton, American Economic Journal: Macroeconomics 3:75–103 (2011)
 
Toward a Bottom-Up Approach to Assessing Sovereign Default Risk,” Edward I. Altman and Herbert A. Rijken, Journal of Applied Corporate Finance 23:1 (2011)
 
A Simple Empirical Model of Equity-Implied Probability of Default,” Edward I. Altman, Neil Fargher, and Egon Kalotay,Journal of Fixed Income 20:3 (2011)
 
Liquidity Risk of Corporate Bond Returns,” Viral Acharya, Yakov Amihud and Sreedhar Bharath (2010)
 
Measuring Systemic Risk,” Viral V. Acharya, Lasse Heje Pedersen, Thomas Philippon and Matthew Richardson (2010)
 
 
Special Report On Defaults and Returns in the High-Yield Bond and Distressed Debt Market: The Year 2010 in Review and Outlook,” Edward I. Altman and Brenda J. Kuehne (2010)
 
 
Bank Debt vs. Bond Debt: Evidence from Secondary Market Prices,” Edward I. Altman, Aanthony Saunders and Amar Gande, Journal of Money, Credit & Banking 42:4 (2010) 
 
The Re-emergence of Distressed Exchanges in Corporate Restructuring,” Edward I. Altman and Brenda Karlin, Journal of Credit Risk 5: 2: 43-55 (2009)
 
Post Chapter 11 Performance: How to Avoid Chapter 22,” Edward I. Altman, Tushar Kant and Thongchai Rattanaruengyot Journal of Applied Corporate Finance 11:3:51-62 (2009)
 
 
Term Structure
 
The Cross-Section and Time Series of Stock and Bond Returns,” Ralph Koijen, Hanno Lustig, and Stijn Van Nieuwerburgh (2010)
 
"The economic determinants of interest rate option smiles," Prachi Deuskar, Anurag Gupta and Marti Subrahmanyam, Journal of Banking and Finance 32:5:714-728 (2008)
 
Fixed Income Markets

"Do Non-Financial Stakeholders Affect the Pricing of Risky Debt? Evidence from Unionized Workers," Jason Chen, Marcin Kacperczyk, and Hernan Ortiz-Molina (2011), Review of Finance (forthcoming)
  

Rollover Risk and Market Freezes,” Viral Acharya, Douglas Gale and Tanju Yorulmazer (2010), Journal of Finance(forthcoming)

 
"Limited Arbitrage and Liquidity in the Market for Credit Risk," Amrut Nashikkar, Marti Subrahmanyam, and Sriketan Mahanti (2010), Journal of Financial and Quantitative Analysis (forthcoming)

"Price Dispersion in OTC Markets: A New Measure of Liquidity," Rainer Jankowitsch, Amrut Nashikkar, Marti G. Subrahmanyam , Journal of Banking and Finance 35:2:343-357 (2011)
 
"Implicit Guarantees and Risk Taking," Marcin Kacperczyk and Philipp Schnabl (2011)

"Liquidity Effects in OTC Options Markets: Premium or Discount?" Prachi Deuskar, Anurag Gupta, and Marti Subrahmanyam, Journal of Financial Markets 14:1: 127-160 (2011)
 
Toward a Bottom-Up Approach to Assessing Sovereign Default Risk,” Edward I. Altman and Herbert A. Rijken, Journal of Applied Corporate Finance 23:1 (2011)
 
 
 

 “When Safe Proved Risky: Commercial Paper During the Financial Crisis of 2007-2009,” Marcin T. Kacperczyk and Philipp Schnabl, Journal of Economic Perspectives, 24:1:29-50 (2010)
 
 
Bank Debt vs. Bond Debt: Evidence from Secondary Market Prices,” Edward I. Altman, Anthony Saunders and Amar Gande, Journal of Money, Credit & Banking 42:4 (2010) 
 

"Sovereign Debt Auctions: Uniform or Discriminatory?" Menachem Brenner, Dan Galai and Orly Sade, Journal of Monetary Economics 56:267-274 (2009)

The Re-emergence of Distressed Exchanges in Corporate Restructuring,” Edward I. Altman and Brenda Karlin, Journal of Credit Risk 5: 2: 43-55 (2009)
 
"Latent Liquidity: A New Measure of Liquidity with an Application to Corporate Bonds," Sriketan Mahanti, Amrut J. Nashikkar, Subrahmanyam Marti, George Chacko and Gaurav Mallik, Journal of Financial Economics (2008)
 
“Valuation in Over-the-Counter Markets,” Darrell Duffie, Nicolae Garleanu, and Lasse H. Pedersen,Review of Financial Studies 20:5:1865-1900 (2007)
 
Special Report On Defaults and Returns in the High-Yield Bond and Distressed Debt Market: The Year 2010 in Review and Outlook,” Edward I. Altman and Brenda J. Kuehne
 
Liquidity
 
Endogenous Information Flows and the Clustering of Announcements,” Viral V. Acharya, Peter DeMarzo and Ilan Kremer (2010), American Economic Review (forthcoming)
 
“Two Monetary Tools: Interest Rates and Haircuts,”Adam Ashcraft, Nicolae Garleanu, and Lasse H. Pedersen (2010), NBER Macroeconomics Annual (forthcoming)
 
“Margin-Based Asset Pricing and Deviations from the Law of One Price,”Nicolae Garleanu and Lasse Heje Pedersen (2009), Review of Financial Studies (forthcoming)
 
"Limited Arbitrage and Liquidity in the Market for Credit Risk," Amrut Nashikkar, Marti Subrahmanyam, and Sriketan Mahanti (2010), Journal of Financial and Quantitative Analysis (forthcoming)
 
"Liquidity Effects in OTC Options Markets: Premium or Discount?" Prachi Deuskar, Anurag Gupta, and Marti Subrahmanyam, Journal of Financial Markets 14:1:127-160 (2011)
 
“Leverage Aversion and Risk Parity,” Cliff Asness, Andrea Frazzini, and Lasse Heje Pedersen (2011).

Leverage, Moral Hazard and Liquidity,” Viral V. Acharya and S. Viswanathan, Journal of Finance 66:99-138 (2011)
 
 
"Price Dispersion in OTC Markets: A New Measure of Liquidity," Rainer Jankowitsch, Amrut Nashikkar, Marti G. Subrahmanyam , Journal of Banking and Finance 35:2:343-357 (2011)
 
Cash Holdings and Credit Risk” Viral V. Acharya, Sergei Davydenko, and Ilya Strebulaev (2011)
 
Low-Latency Trading,” Joel Hasbrouck and Gideon Saar (2011)
 

“Betting Against Beta,” Andrea Frazzini and Lasse Heje Pedersen (2010)

 
Liquidity Risk of Corporate Bond Returns,” Viral Acharya, Yakov Amihud and Sreedhar Bharath (2010)
 
Aggregate Risk and the Choice between Cash and Lines of Credit,” Viral V. Acharya, Heitor Almeida and Murillo Campello (2010)
 
Limits to Arbitrage and Hedging: Evidence from Commodity Markets,” Viral V. Acharya, Lars Lochstoer, and Tarun Ramadorai (2010)
 
More Insiders, More Insider Trading: Evidence from Private Equity Buyouts,” Viral V. Acharya, Timothy Johnson, Journal of Financial Economics 98:3:500-523 (2010)
 
 

A Theory of Slow-Moving Capital,” Viral V. Acharya, Hyun-Song Shin and Tanju Yorulmazer (2009)

 
 
“When Everyone Runs for the Exit,” Lasse H. Pedersen International Journal of Central Banking 5:177-199 (2009) 
 
“Market Liquidity and Funding Liquidity,” Markus Brunnermeier and Lasse H. Pedersen Review of Financial Studies 22:2201-2238 (2009)
 
Liquidity, the Value of the Firm, and Corporate Finance,” Yakov Amihud and Haim Mendelson, Journal of Applied Corporate Finance 20:2 (2008)
 
"Latent Liquidity: A New Measure of Liquidity with an Application to Corporate Bonds," Sriketan Mahanti, Amrut J. Nashikkar, Subrahmanyam Marti, George Chacko, and Gaurav Mallik, Journal of Financial Economics (2008)
 
"A Tale of Two Prices: Liquidity and Asset Prices in Multiple Markets," Justin S.P. Chan, Dong Hong and Marti G. Subrahmanyam, Journal of Banking and Finance 32:6:947-960 (2008) 

"The economic determinants of interest rate option smiles," Prachi Deuskar, Anurag Gupta and Marti Subrahmanyam, Journal of Banking and Finance 32:5:714-728 (2008)

Fire-sale FDI,” Viral V. Acharya, Hyun-Song Shin and Tanju Yorulmazer (2007)  
 
 
“Slow Moving Capital,” Mark Mitchell, Lasse Heje Pedersen, and Todd Pulvino American Economic Review P&P 97:215-220 (2007)