This Paper discusses the differing opinions of the U.S. Bankruptcy Court for the Southern District of New York and of the High Court of Justice in London with respect to whether "Flip Clauses" are enforceable in the bankruptcy/insolvency context

This paper discusses the evolution of the ISDA Master Agreement. Furthermore, it discusses the disparate decisions of the U.S Bankruptcy Court of the Southern District of New York in the Lehman vs. Metavante matter and of the High Court of Justice in the Lehman vs. Lomas matter on the same issue...

Even as banks have decreased their exposure to residential mortgage loans since 2008, bank exposure to leveraged lending has risen dramatically. The $1 trillion total asset leveraged loan market poses a significant and growing source of credit risk to U.S. depository institutions and investors....

This paper investigates the determinants of six different lottery-like stock return definitions that have been analyzed separately in prior literature. While we focus on information uncertainty as captured by accounting information, mispricing, institutional ownership and default risk as main...

We consider the infinite time-horizon optimal basket portfolio liquidation problem for a von Neumann-Morgenstern investor in a multi-asset extension of the liquidity model of Almgren (2003) with cross-asset impact. Using a stochastic control approach, we establish a quot;separation theoremquot;:...

We consider the finite-time optimal portfolio liquidation problem for a von Neumann-Morgenstern investor with constant absolute risk aversion (CARA). As underlying market impact model, we use the continuous-time liquidity model of Almgren and Chriss (2000). We show that the expected utility of...

This paper examines the process of distress selling and asset market feedback. It splits this process into several stages, in order to analyse what triggers distress selling, why asset prices fall, and how falling prices generate additional rounds of selling. This framework enables us to...

We propose a measure for extreme downside risk (EDR) to investigate whether bearing such a risk is rewarded by higher expected stock returns. Constructing an EDR proxy with the left tail index in the classical generalized extreme value distribution, we document a significantly positive premium...