Publication

Investment timing, debt structure, and financing constraints

Publications associées (28)

Asset life, leverage, and debt maturity matching

Capital ages and must eventually be replaced. We propose a theory of financing in which firms borrow to finance investment and deleverage as capital ages to have enough financial slack to finance replacement investments. To achieve these dynamics, firms is ...

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We investigate equilibrium debt dynamics for a firm that cannot commit to a future debt policy and is subject to a fixed restructuring cost. We formally characterize equilibria when the firm is not required to repurchase outstanding debt prior to issuing a ...

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Monetary Independence And Rollover Crises

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This article shows that the inability to use monetary policy for macroeconomic stabilization leaves a government more vulnerable to a rollover crisis. We study a sovereign default model with self-fulfilling rollover crises, foreign currency debt, and nomin ...

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A contagion process with self-exciting jumps in credit risk applications

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The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and hence play a sig ...

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Predicting the stressed expected loss of large US banks

Eric Jondeau, Amir Hossein Khalilzadeh Naghneh

We develop a methodology to measure the expected loss of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the b ...

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Nowadays, usage-based acquisition models for e-books, as PDA and EBA, are quite spread and allow libraries to offer wider collections, without acquiring them. A PDA with Ebook Central was implemented in 2019 and a first EBA with Wiley in 2021. The EPFL Lib ...

Liège Université Library2023

Essays on the Role of Policy and Venture Financing in Clean Technology Innovation

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This thesis aims to provide novel analyses and data that improve the understanding of the financing of investments in clean technologies. In particular, this thesis explores the role that private and public actors play in supporting young innovative firms. ...

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This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures. The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets ...

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Dominant currency debt

Semyon Malamud

We propose a “debt view” to explain the dominant international role of the dollar. Within a simple capital-structure model with debt-currency choice, we show that the “dominant currency” is the one that (1) depreciates in global downturns over horizons of ...

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Short-term debt and incentives for risk-taking

Erwan Morellec, Francesca Maria Zucchi

We challenge the view that short-term debt curbs moral hazard and demonstrate that, in a world with financing frictions and fair debt pricing, short-term debt generates incentives for risk-taking. To do so, we develop a model in which firms are financed wi ...

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Agency conflicts and short- versus long-termism in corporate policies

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We build a dynamic agency model in which the agent controls both current earnings via short-term investment and firm growth via long-term investment. Under the optimal contract, agency conflicts can induce short- and long-term investment levels beyond firs ...

ELSEVIER SCIENCE SA2020

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The need to evaluate natural resource investments under uncertainty has given rise to the development of real options valuation; however, the analysis of such investments has been restricted by the capabilities of existing valuation approaches. We re-visit ...

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This thesis consists of three parts that study separate subjects in corporate finance and corporate governance. The overarching theme is ownership by CEOs and other insiders. In the first part, which is co-authored work with Rüdiger Fahlenbrach, René M. ...

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Damien Olivier Klossner

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We investigate the cross-sectional variation in the credit default swap (CDS)-bond bases and test explanations for the violation of the arbitrage relation between cash bond and CDS contract, which states that the basis should be zero in normal conditions. ...

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An Optimisation Approach for Long-Term Industrial Investment Planning

François Maréchal, Hür Ebuzer Bütün, Ivan Daniel Kantor

The industrial sector has a large presence in world energy consumption and CO2 emissions, which has made it one of the focal points for energy and resource efficiency studies. However, large investments are required to retrofit existing industrial plants, ...

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Linear credit risk models

Damien Edouard Ackerer, Damir Filipovic

We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors. The price of a CDS ...

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Sylvain Jean Pascal Carré, Daniel Cohen

Governments choose to issue risky or riskless debt depending on the nature of the stochastic process of output. We use Brownian motion and Poisson shocks a modeling method in the literature on corporate default known as Levy processes to approximate a deco ...

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Massive Open Online Labs (MOOLs): An Innovative Solution to Achieving SDGs in the Global South

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Relationships between key functional traits of the waterlily Nuphar lutea and wetland nutrient content

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Little attention has been paid to how aquatic habitat characteristics affect the traits of plant species. Nuphar lutea (L.) Sm. is a keystone species distributed across temperate regions of Europe, northwest Africa and western Asia. Its apparently low phen ...

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