Financial Institutions

The covid-19 crisis has led to a sharp deterioration in firm and bank balance sheets. The government has responded with a massive intervention in corporate credit markets. We study equilibrium dynamics of macroeconomic quantities and prices, and how they are affected by government intervention in the corporate debt markets. We find that the interventions should be highly effective at preventing a much deeper crisis by reducing corporate bankruptcies by about half, and short-circuiting the doom loop between corporate and financial sector fragility.

Are extreme price swings part of a longer-term trend in the transition towards a greener future?

The high-yield bond market has just experienced an extreme cycle of bust and boom in the debt of energy companies.

We propose a new valuation method for private equity investments. First, we construct a cash-flow replicating portfolio for the private investment, using cash-flows on various listed equity and fixed income instruments. The second step values the replicating portfolio using a flexible asset pricing model that accurately prices the systematic risk in listed equity and fixed income instruments of different horizons.

Day trading coverage perpetuates myths about the ‘real job’ of investment management.

Current market pricing of risk is evidence of late-cycle behaviour.