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SUMMARY:The Art of Timing: Managing Sudden Stop Risk in Corporate Credit M
 arkets
DTSTART:20231128T121500
DTEND:20231128T131500
DTSTAMP:20260916T055302Z
UID:125ef8c8bd1d3c52fefbcbcc216739b0a0fa88b8cb2648cefaee50a6
CATEGORIES:Conferences - Seminars
DESCRIPTION:Fabrice Tourre - Baruch College\nHigh yield firms nowadays alm
 ost exclusively issue bonds that are callable. We construct a new measure 
 of option moneyness and show that firms aggressively exercise the interest
  rate and spread option implicit in these contracts. Controlling for money
 ness\, firms frequently prepay bonds and issue new debt if rollover risk i
 s high. We develop and estimate a structural model to quantify the costs a
 nd benefits of dynamically managing this risk. The ability to use callable
  debt almost entirely dissipates dead-weight losses from rollover risk. Cr
 editor-shareholder conflicts reduce the effectiveness of this dynamic hedg
 ing strategy for highly levered firms.
LOCATION:UniL Campus\, Room Extra 126
STATUS:CONFIRMED
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