Despite theoretical and intuitive reasons for a credit risk premium, past research has found
little supporting empirical evidence. This is primarily due to biases in computing credit excess …

Defaults arising from illiquidity can lead to private workouts, formal bankruptcy proceedings
or even liquidation. All these outcomes can result in deadweight losses. Corporate illiquidity …

In this paper, we develop a structural model that captures the interaction between the cash
balance and investment opportunities for a rm that already has some debt outstanding. We …

Equities are the biggest source of portfolio tail risk for most investors. Our study compares
two approaches for hedging the equity tails of a traditional stock/bond portfolio: (1) the direct …

This thesis consists of four essays that utilize various methods of dynamic optimization to
solve problems in strategic pricing and corporate finance. In the first part of the thesis, we …

… With regards to the underlying data, relative to Asvanunt and Richardson [2017], our differences
in findings appear to be driven by the abnormally high IGC premium associated with the …

… The direct and indirect hedges discussed in Asvanunt 2015 are a good place to start. … The
simulation in Asvanunt 2015 selects stocks based on the trailing 12-month beta, chooses the …