Essays on Corporate Loans and Credit Risk
- Publication date
- Publisher
- 2018
Abstract
Classical asset pricing theory assumes \perfect markets" which means that nancial
markets are frictionless. However, in the real world nancial frictions exists. Recently
the nancial literature has focused more on these frictions and on how they a ect asset
prices. This thesis contributes to the literature by providing evidence on how nancial
frictions a ect pricing and trading of corporate loans.
The rst chapter examines how managers of collateralized loan obligations (CLOs)
trade leveraged loans and how their activity a ects the performance of the CLO.
The second chapter examines how the performance of leveraged loans depends on the
borrowers' relationship with its bank. The third chapter studies methodologies used
to quantify how information
ows between the corporate bond and the credit default
swap market