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The economics of structured finance

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J Coval, J Jurek… - The Journal of Economic Perspectives, 2009 - JSTOR
In particular, we show how modest imprecision in the parameter estimates can lead to
variation in the default risk of the structured finance securities that is sufficient, for example,
to cause a security rated AAA to default with reasonable likelihood. A second, equally ...
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[BOOK] Economic catastrophe bonds

[PDF] from nber.org
JD Coval, JW Jurek, E Stafford… - 2007 - nber.org
Page 1. Economic Catastrophe Bonds Joshua D. Coval, Jakub W. Jurek, and Erik Stafford*
June 2007 Abstract The central insight of asset pricing is that a securityQs value depends on
both its distribution of payoffs across economic states and state prices. ...
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[PDF] Crash-neutral currency carry trades

[PDF] from nber.org
JW Jurek - Princeton University. Photocopy, 2008 - nber.org
Page 1. Crash-neutral Currency Carry Trades Jakub W. Jurek∗ Abstract Currency carry
trades implemented within G10 currencies have historically delivered signifi- cant excess
returns with annualized Sharpe ratios in excess of one. ...
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The price of immediacy

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GC Chacko, JW Jurek… - The Journal of Finance, 2008 - Wiley Online Library
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Optimal value and growth tilts in long-horizon portfolios

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JW Jurek… - 2006 - nber.org
Page 1. NBER WORKING PAPER SERIES OPTIMAL VALUE AND GROWTH TILTS
IN LONG-HORIZON PORTFOLIOS Jakub W. Jurek Luis M. Viceira Working Paper 12017
http://www.nber.org/papers/w12017 NATIONAL BUREAU ...
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Dynamic portfolio selection in arbitrage

[PDF] from polytechnique.fr
J Jurek… - 2006 - papers.ssrn.com
Abstract: This paper derives the optimal dynamic strategy for arbitrageurs with a finite
horizon and non-myopic preferences facing a mean-reverting arbitrage opportunity (eg an
equity pairs trade). We find that intertemporal hedging demands play an important role in ...
Cited by 15 - Related articles - All 5 versions

[PDF] The pricing of investment grade credit risk during the financial crisis

[PDF] from investireoggi.it
J Coval, J Jurek… - 2009 - opinionidalmondo.investireoggi.it
Abstract This paper uses a structural model to investigate the pricing of investment grade
credit risk during the financial crisis. Our analysis suggests that the dramatic recent widening
of credit spreads is highly consistent with the decline in the equity market, the increase in ...
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[PDF] “Re-Examining The Role of Rating Agencies: Lessons From Structured Finance

[PDF] from hbs.edu
JD Coval, JW Jurek… - Journal of Economic Perspectives, 2008 - people.hbs.edu
Page 1. 1 Re-Examining the Role of Rating Agencies: Lessons from Structured Finance
Joshua Coval, Jakub Jurek, & Erik Stafford January 2008 Credit markets have
traditionally played the dual-role of serving as a source of funding ...
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Optimal Value and Growth Tilts in Long-Horizon Portfolios*

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JW Jurek… - Review of Finance, 2011 - rof.oxfordjournals.org
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[CITATION] Forthcoming.“Economic Catastrophe Bonds.”

J Coval, J Jurek… - American Economic Review
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Crashes and Collateralized Lending

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JW Jurek… - 2011 - nber.org
Page 1. NBER WORKING PAPER SERIES CRASHES AND COLLATERALIZED
LENDING Jakub W. Jurek Erik Stafford Working Paper 17422 http://www.nber.org/
papers/w17422 NATIONAL BUREAU OF ECONOMIC RESEARCH ...
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[CITATION] Optimal Convergence Trading with Horizon and Divergence Risk

JW Jurek… - manuscript, Harvard University, 2006
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[CITATION] The Pricing of Investment Grade Creidt Risk during the Financial Crisis, Working Paper

JD Coval, JW Jurek… - 2009
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[CITATION] mEconomic Catastrophe Bonds, nAmer! ican Economic Review, forthcoming

J Coval, J Jurek… - 2009
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[BOOK] Pricing Liquidity: The Quantity Structure of Immediacy Prices

[PDF] from hbs.edu
G Chacko, JW Jurek, E Stafford… - 2006 - hbs.edu
Page 1. 07-017 Copyright © 2006 by George C. Chacko, Jakub W. Jurek, and Erik Stafford
Working papers are in draft form. This working paper is distributed for purposes of comment and
discussion only. It may not be reproduced without permission of the copyright holder. ...
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[CITATION] Crash Neutral Carry Trades

JW Jurek - 2009 - Working paper, October
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The Cost of Capital for Alternative Investments

[PDF] from hbs.edu
J Jurek… - 2011 - papers.ssrn.com
Abstract: This paper studies the cost of capital for alternative investments. We document that
the risk profile of the aggregate hedge fund universe can be accurately matched by a simple
index put option writing strategy that offers monthly liquidity and complete transparency ...
Cited by 1 - Related articles - All 11 versions

Overconfidence in Currency Markets

J Jurek - papers.ssrn.com
Abstract: Evidence from psychology shows that people tend to be overconfident in two
dimensions: they underestimate uncertainty and overestimate their own abilities. This paper
provides evidence that foreign exchange dealers are likewise overconfident in both ...

Optimal Value and Growth Tilts in Long-Horizon Portfolios

L Viceira… - 2006 - papers.ssrn.com
Abstract: We develop an analytical solution to the dynamic portfolio choice problem of an
investor with power utility defined over wealth at a finite horizon who faces an investment
opportunity set with time-varying risk premia, real interest rates and inflation. The variation ...
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Entrepreneurial Alertness and Opportunity Discovery: Origins, Attributes, Critique

J Coval… - 2009 - papers.ssrn.com
Abstract: Israel Kirzner's concept of entrepreneurship as alertness to profit opportunities is
one of the most influential modern interpretations of the entrepreneurial function. Shane and
Venkataraman's (2000: 218) influential assessment defines entrepreneurship research as ...
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Asset Prices and Exchange Rates: A Time Dependent Approach

J Jurek - papers.ssrn.com
Abstract: The paper studies the relationship between exchange rates and asset prices. It
takes the approach of order ows to exchange rates. Specifically, it focuses on the effect of
time-dependent risk aversion. The switch in the parameter causes the equilibrium of the ...

[CITATION] Economic Catastrophe Bonds (Digest Summary)

JD Coval, JW Jurek… - CFA Digest, 2010 - CFA Institute

[CITATION] Asset Allocation and Welfare in Illiquid Markets

JW Jurek
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Carry Trades and Currency Crashes

J Jurek - NBER Working Paper, 2008 - papers.ssrn.com
Abstract: This paper documents that carry traders are subject to crash risk: ie exchange rate
movements between high-interest-rate and low-interest-rate currencies are negatively
skewed. We argue that this negative skewness is due to sudden unwinding of carry trades ...

[CITATION] Exploring Deviations Between Prices and Values in Capital Asset Markets

JW Jurek - 2008 - Harvard University
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[DOC] Managing Credit Risk

[DOC] from vedpuriswar.org
J Caval, J Jurek… - vedpuriswar.org
“This ability of structured finance to repackage risks and create “safe” assets from otherwise
risky collateral led to a dramatic expansion in the issuance of structured securities, most of
which were viewed by investors to be virtually risk-free and certified as such by the rating ...
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Financial Markets, International Capital Flows and Exchange Rates

G Corsetti, L Dedola, L Christiano, M Trabandt… - se1.isn.ch
PIERRE WERNER CHAIR PROGRAMME, ROBERT SCHUMAN FOR ADVANCED STUDIES
CO-ORGANIZED WITH THE NORTHWESTERN UNIVERSITY ... Villa La Fonte Via delle
Fontanelle, 10 San Domenico di Fiesole ... ① Are industrial countries consumption risks ...
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[CITATION] Optical Dynamic Trading Strategies with Bayesian Inference about Market Liquidity

JW Jurek - 2002 - Harvard University
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Persuasion in Finance

J Coval… - papers.ssrn.com
Abstract: Persuasion is a fundamental part of social activity, yet it is rarely studied by
economists. We compare the traditional economic model, in which persuasion is
communication of objectively valuable information, with a behavioral model, in which ...

DP5773 Optimal Value and Growth Tilts in Long-Horizon Portfolios

JW Jurek… - 2006 - cepr.org
DP5773 Optimal Value and Growth Tilts in Long-Horizon Portfolios. Author(s ...
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