In dieser Dissertation werden drei Fragestellungen der Corporate Finance empirisch beantwortet. Kapitel 1 untersucht die negativen Auswirkungen auf Investitionen und Unternehmensfinanzierungsaktivitäten im Realsektor, die im Rahmen der Finanzkrise 2007-09 durch den Kollaps von drei führenden...

This paper studies variance risk premiums in the credit market. Using a novel data set of swaptions quotes on the CDX North America Investment Grade index, we find that returns of credit variance swaps are negative and economically large. Shorting credit variance swaps yields an annualized...

This book presents new approaches to valuing derivative securities with credit risk, focussing on options and forward contracts subject to counterparty default risk, but also treating options on credit-risky bonds and credit derivatives. The text provides detailed descriptions of the...