Theoretically, corporate debt is economically equivalent to safe debt minus a put option on the firm’s assets. We empirically show that indeed portfolios of long Treasuries and short traded put options (“pseudo bonds”) closely match the properties of traded corporate bonds. Pseudo bonds...

Theoretically, corporate debt is economically equivalent to safe debt minus a put option on the firm’s assets. We empirically show that indeed portfolios of long Treasuries and short traded put options ("pseudo bonds") closely match the properties of traded corporate bonds. Pseudo bonds...

I decompose the cross-sectional variation of the credit spreads for corporate bonds into changing expected returns and changing expectation of credit losses with a model-free method. Using a log-linearized pricing identity and a vector autoregression applied to micro-level data from 1973 to...

In February 1998, after consulting one of the authors of this article, President Suharto and his Economic and Monetary Resilience Council advocated the establishment of a fixed-rate currency board system in which the Indonesian rupiah would be backed by and convertible into U.S. dollars as a...

The explosion of corporate risk management programs in the early 1990s was a hasty and ill-conceived reaction by U.S. corporations to the great "derivatives disasters" of that period. Anxious to avoid the fate of Barings and Procter & Gamble, most top executives were more concerned about crisis...

Value at risk (or "VAR") is a method of measuring the financial risk of an asset, portfolio, or exposure over some specified period of time. By facilitating the consistent measurement of risk across different assets and activities, VAR allows companies to monitor, report, and control their risks...