Professor of Finance
About this session
How much do we actually know about the risk of default in corporate debt? It turns out that in credit portfolios, even those that are well diversified and even over periods as long as 30-40 years, the rate of default that we observe will most often be significantly below the average. In other words, there is a long “tail” and this has many important implications. These include helping us to understand actual credit spreads and to assess the risk of bank equity.
About the speakers
Stephen Schaefer is Professor of Finance at London Business School where he is also the lead Academic Director of the School’s AQR Asset Management Institute. Formerly on the faculty of the Graduate School of Business at Stanford University, he has also been a visiting professor at the Universities of British Columbia, California (Berkeley), Cape Town, Chicago and Venice.
He has published widely on fixed income markets, risk management, credit risk and financial regulation. His recent research includes a study of corporate default in the US over the past 150 years which was awarded first prize in the 2011 Fama/DFA award for the Best Paper Published in the Journal of Financial Economics in the Areas of Capital Markets and Asset Pricing. In 2016 another recent paper on credit risk was award a Jack Treynor prize by the Q-group.
Outside academic life, Stephen Schaefer has consulted widely for financial institutions and is a co-author of two major reports for the Norwegian Ministry of Finance on the management of the Norwegian Government Pension Fund (the “Oil Fund”). At various times he has been an Independent Board Member of the Securities and Futures Authority, a Senior Research Advisor to Moody’s KMV, a Non-Executive Director of Leo Fund Management, a Trustee-Director of Smith Breeden Mutual Funds and a member of Moody’s Academic Research and Advisory Committee.