Showing results 1 - 3 of 3
| Joshua Coval | Erik Stafford
CAPITAL MARKET BLIND SPOTS. Joshua Coval, Erik Stafford, October 2014, Paper. "This paper presents evidence suggesting that financial markets are susceptible to persistent mispricing in new financial insurance products. We argue that relatively sophisticated market participants often fail to notice that portfolios identified to be very safe by recently developed risk models may have state dependent risk exposures arising from sources outside of…
| Erik Stafford | Joshua Coval
Economic Catastrophe Bonds. Joshua D. Coval, Erik Stafford, June 2009, Paper. "The central insight of asset pricing is that a security's value depends on both its distribution of payoffs across economic states and state prices. In fixed income markets, many investors focus exclusively on estimates of expected payoffs, such as credit ratings, without considering the state of the economy in which default is likely to occur. Such investors are…
| Erik Stafford | Joshua Coval
The Economics of Structured Finance. Joshua D. Coval, Erik Stafford, Winter 2009, Paper. "This paper investigates the spectacular rise and fall of structured finance. The essence of structured finance activities is the pooling of economic assets like loans, bonds, and mortgages, and the subsequent issuance of a prioritized capital structure of claims, known as tranches, against these collateral pools. As a result of the prioritization scheme…