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 …

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 …

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 …

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 …

We examine return premia associated with the level, slope, and curvature of the yield curve
over time and across countries from a novel perspective by borrowing pricing factors from …

We present a simple, linear asset pricing model of the cross section of Mortgage‐Backed
Security (MBS) returns. MBS earn risk premia as compensation for their exposure to …

We present a simple, linear asset pricing model of the cross section of Mortgage-Backed
Security (MBS) returns in which MBS earn risk premia as compensation for their exposure to …

… We thank Attakrit Asvanunt, Matthew Klein, and Harsha Tummala for help with analysis.
We also thank Clif ford Asness, Antti Ilmanen, and David Kabiller for helpful comments and …