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Working Paper
Estimating Loss Given Default from CDS under Weak Identification
This paper combines a term structure model of credit default swaps (CDS) with weak-identification robust methods to jointly estimate the probability of default and the loss given default of the underlying firm. The model is not globally identified because it forgoes parametric time series restrictions that have aided identification in previous studies, but that are also difficult to verify in the data. The empirical results show that informative (small) confidence sets for loss given default are estimated for half of the firm-months in the sample, and most of these are much lower than and do ...
Discussion Paper
Subprime Auto Lending: Trends in Buy Here Pay Here Auto Lending
Buy Here Pay Here (BHPH) auto dealers occupy a unique position in the auto market by serving as both the seller and financier of vehicles to their customers. This contrasts with traditional auto dealers, who connect buyers to financing options from third-party banks, credit unions, or auto finance companies, including the captive financing arms of auto manufacturers.