We show that measurable managerial characteristics have significant explanatory power for corporate financing decisions. First, managers who believe that their firm is undervalued view external financing as overpriced, especially equity. Such overconfident managers use less external finance and,...

In this presentation, we discuss alternative parameterisations of SABR model, the meaning of SABR parameters, the computation of smile Value At Risk using SABR model, and at the risk management implications of the inaccuracy of SABR formula

In this paper, we show that the sensitivities to the SABR parameters can be materially wrong then the SABR formula is used, in particular for long expiries and in high volatility environments. For example, we obtain positive sensitivities to the spot-vol correlation parameter for low strike...