Essays on Corporate Loans and Credit Risk

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Essays on Corporate Loans and Credit Risk

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dc.contributor.author Mølgaard, Pia
dc.date.accessioned 2018-09-20T13:12:46Z
dc.date.available 2018-09-20T13:12:46Z
dc.date.issued 2018-09-20
dc.identifier.isbn 9788793744226
dc.identifier.isbn 9788793744233
dc.identifier.issn 0906-6934
dc.identifier.uri http://hdl.handle.net/10398/9674
dc.description.abstract Classical asset pricing theory assumes \perfect markets" which means that nancial markets are frictionless. However, in the real world nancial frictions exists. Recently the nancial literature has focused more on these frictions and on how they a ect asset prices. This thesis contributes to the literature by providing evidence on how nancial frictions a ect pricing and trading of corporate loans. The rst chapter examines how managers of collateralized loan obligations (CLOs) trade leveraged loans and how their activity a ects the performance of the CLO. The second chapter examines how the performance of leveraged loans depends on the borrowers' relationship with its bank. The third chapter studies methodologies used to quantify how information ows between the corporate bond and the credit default swap market. en_US
dc.format.extent 122 en_US
dc.language eng en_US
dc.relation.ispartofseries PhD Series;38.2018
dc.title Essays on Corporate Loans and Credit Risk en_US
dc.type phd en_US
dc.contributor.corporation Copenhagen Business School. CBS en_US
dc.contributor.department Institut for Finansiering en_US
dc.contributor.departmentshort FI en_US
dc.contributor.departmentuk Department of Finance en_US
dc.contributor.departmentukshort FI en_US
dc.publisher.city Frederiksberg en_US
dc.publisher.year 2018 en_US


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