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This note describes in detail the methodology to calculate returns in the secondary corporate loan market. It is provided as a supplementary note to "The cross-section of expected returns in the secondary corporate loan market."
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Corporate loans increasingly have become an important part of portfolio management with the advent of a liquid and transparent secondary market. This paper examines the pricing of characteristics and betas in the cross-section of expected loan returns. Expected loan returns decrease with default...
Persistent link: https://www.econbiz.de/10012937224