Stephen Schaefer

Giá máy bắn cáProfessor of Finance; Academic Director, AQR Asset Management Institute

MA (Cambridge) PhD (London)

Giá máy bắn cáProfessor Stephen Schaefer has published widely on fixed income markets, risk management, credit risk and financial regulation. His research includes a study on corporate debt 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. He also received the 2015 Jack Treynor Prize from the Q Group, which recognises academic working papers with potential applications in the fields of investment management and financial markets.

Giá máy bắn cáProfessor Schaefer was formerly a faculty member 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, where he was recently awarded an Honorary Fellowship. Today, he is the lead Academic Director for the London Business School’s AQR Asset Management Institute.

Giá máy bắn cáOutside academic life, he has consulted widely for a variety of 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’).

He has also 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.

Jack Treynor Prize, Institute for Quantitative Research in Finance, 2015

2012 First Prize, Fama-DFA award for the Best PaperGiá máy bắn cá published in the Journal of Financial Economics in the Areas of Capital Markets and Asset Pricing, 2011.

Institute for Quantitative Research in Finance (‘Q-Group’) Award, 2005.

Institute for Quantitative Research in Finance (‘Q-Group’) Award, 1982.

Graham and Dodd Award, 1977.

Entrance Exhibition, Queens' College, Cambridge, 1965.

Credit risk
Derivative instruments
Investment management
Asset pricing theory
Portfolio selection
Capital markets
Financial regulation
Term structure of interest rates

2018

The myth of the credit spread puzzle

Feldhutter P; Schaefer S

Giá máy bắn cáReview of Financial Studies 2018 Vol 31:8 p 2897-2942

2015

Liquidity risk and correlation risk: a clinical study of the General Motors and Ford downgrade of May 2005

Giá máy bắn cáAcharya V; Schaefer S; Zhang Y

Giá máy bắn cáQuarterly Journal of Finance 2015 Vol 5:1

2014

Macroeconomic effects of corporate default crisis: A long-term perspective

Giá máy bắn cáSchaefer S M; Giesecke K; Longstaff F A; Strebulaev I

Giá máy bắn cáJournal of Financial Economics 2014 Vol 111 p 297-310

2011

Corporate bond default risk: A 150-Year perspective

Schaefer S M; Giesecke K; Longstaff A F; Strebulaev I

Journal of Financial Economics 2011 Vol 102 p 233-250

The efficient market theory and evidence: Implications for active investment management

Schaefer S M; Ang Al Goetzmann W N

Giá máy bắn cáFoundations and Trends in Finance 2011 Vol 5:3 p 157-242

2008

Structural models of credit risk are useful: evidence from hedge ratios on corporate bonds

Giá máy bắn cáSchaefer S M; Strebulaev I

Journal of Financial Economics 2008 Vol 90 p 1-19

2006

A comparison of alternative non-parametric estimators of the short rate diffusion coefficient

Schaefer S M; Reno R; Roma A

Giá máy bắn cáEconomic Notes 2006 November Vol 35:3 p 227-252

Pillar 1 versus Pillar 2 under risk management

Schaefer S M; Pelizzon L; Venice U

in Carey M and Stulz R M eds., The risks of financial institutions, p 377-409, University of Chicago Press/NBER, 2006

2005

Understanding and managing correlation risk and liquidity risk

Giá máy bắn cáAcharya V; Schaefer S M

International Financial Risk Institute (IFRI) Roundtable, 29-30 September, 2005

2001

Asset pricing: derivative assets

Giá máy bắn cáSchaefer S M

Giá máy bắn cáin Ashenfelter O ed., International encyclopaedia of social and behavioral sciences: economics section, p 833-840, Elsevier Science, 2001

Corporate bonds and other debt instruments

Schaefer S M

Giá máy bắn cáFinancial Times 2001 May 21

Principles of bond portfolio management

Giá máy bắn cáSchaefer S M

Financial Times 2001 May 14

2000

Duration and immunization: a review of theory, performance and applications

Giá máy bắn cáSchaefer S M

in Ross S A ed., The Debt Markets, Edward Elgar, 2000

Tax-induced clientele effects in the market for British government securities: placing bounds on security values in an incomplete market

Schaefer S M

Giá máy bắn cáin Ross S A ed., The Debt Markets, Edward Elgar, 2000

Term structure of real interest rates and the Cox, Ingersoll and Ross Model

Brown R H; Schaefer S M

in Ross S A ed., The Debt Markets, Edward Elgar, 2000

1999

Direct and compliance cost of financial regulation

Giá máy bắn cáFranks J R; Schaefer S M; Staunton M

in Swann E J ed., Issues in derivative instrument law, Kluwer Law International, 1999

Non-linear value-at-risk

Giá máy bắn cáBritten-Jones M; Schaefer S M

Giá máy bắn cáEuropean Finance Review 1999 Vol 2:2 p 161-187

Non-linear value-at-risk

Britten-Jones M; Schaefer S M

in Galai D, Ruthenberg D, Sarnat M and Schreiber B eds., Risk Management and Regulation in Banking, Kluwer Academic Publishers, Boston, 1999

1998

Competition between regulated markets in London

Schaefer S M

Giá máy bắn cáin Ferrarini G ed., European securities markets, p 205-212, Kluwer Law International, 1998

Robert Merton, Myron Scholes and the development of derivative pricing

Giá máy bắn cáSchaefer S M

Scandinavian Journal of Economics 1998 Jun Vol 100:2 p 425-445

1997

Direct and compliance costs of financial regulation

Giá máy bắn cáFranks J R; Schaefer S M; Staunton M

Journal of Banking and Finance 1997 Dec Vol 21:11/12 p 1547-1572

1996

Ten years of the real term structure

Giá máy bắn cáBrown R H; Schaefer S M

Giá máy bắn cáJournal of Fixed Income 1996 Mar Vol 5:4 p 6-22

1995

Equity market transparency on the London Stock Exchange

Franks J R; Schaefer S M

Journal of Applied Corporate Finance 1995 Spring Vol 8:1 p 70-77

1994

Beyond the zero

Brown R H; Schaefer S M

Giá máy bắn cáFutures and Options World 1994 Dec Vol 283 p 51-53

Custodianship and investor protection

Giá máy bắn cáFranks J R; Schaefer S M

Financial Times 1994 Feb 24

Interest rate volatility and the shape of the term structure

Giá máy bắn cáBrown R H; Schaefer S M

Philosophical Transactions of the Royal Society 1994 Vol 347 p 563-576

Term structure of real interest rates and the Cox, Ingersoll and Ross model

Brown R H; Schaefer S M

Journal of Financial Economics 1994 Vol 35 p 3-42

1992

Financial regulation: the contribution of the theory of finance

Schaefer S M

in Fingleton J ed., Internationalisation of capital markets and regulatory response, Graham & Trotman, 1992

1991

Equity market transparency

Franks J R; Schaefer S M

Giá máy bắn cáStock Exchange Quarterly 1991 Apr-Jun p 7-11

Exchange risk and international diversification of borrowing by Italian firms

Giá máy bắn cáSchaefer S M; Kaplanis E C

Journal of Economics and Business 1991 Nov Vol 43:4 p 287-307

1990

Regulation of banks and securities firms

Giá máy bắn cáSchaefer S M

Giá máy bắn cáEuropean Economic Review 1990 May Vol 34:2 p 587-597

1989

Liability matching

Giá máy bắn cáSchaefer S M

in Ingrams L ed., International bond portfolio management, Euromoney Publications, 1989

1987

The design of bank regulation and supervision: some lessons from the theory of finance

Giá máy bắn cáSchaefer S M

Giá máy bắn cáin Threats to International Stability, R Portes and A K Swoboda (Eds) Cambridge University Press pp 91 - 104

Time dependent variance and the pricing of bond options

Giá máy bắn cáSchaefer S M; Schwartz E S

Journal of Finance 1987 Vol 42:5 p 1113-1128

1984

A two-factor model of the term structure and an approximate analytical solution

Schaefer S M; Schwartz E S

Giá máy bắn cáJournal of Financial and Quantitative Analysis 1984 Vol 19:4 p 413-424

Continuous price processes in frictionless markets have infinite variation

Giá máy bắn cáSchaefer S M; Harrison J M; Pittbladdo R

Giá máy bắn cáJournal of Business 1984 Vol 57:3 p 353-365

Duration and immunization: A review of theory, performance and applications

Schaefer S M

Giá máy bắn cáMidland Corporate Finance Journal 1984 Fall Vol 2:2 p 41-59

1983

The dynamics of the term structure and alternative immunization strategies

Schaefer S M; Nelson J

Giá máy bắn cá(in) Innovations in Bond Portfolio Management: Duration Analysis and Immunization. G O Bierwag, G G Kaufman and A Toevs (eds.) JAI Press 1983

1982

Taxes and security market equilibrium

Schaefer S M

Giá máy bắn cáin Financial Economics: Essays in Honor of Paul H Cootner, W F Sharpe and C M Cootner (Eds). Englewood Cliffs: N.J.: Prentice-Hall (1982), 159-178

Tax-induced clientele effects in the market for British government securities: Placing Bounds on Security Values in an Incomplete Market

Giá máy bắn cáSchaefer S M

Journal of Financial Economics 1982 Vol 10:2 p 121-159

1981

Measuring a tax specific term structure of interest rates in the market for British government securities

Giá máy bắn cáSchaefer S M

Economic Journal 1981 Vol 91:362 p 415-438

1977

1975

Alternative models of systematic risk

Schaefer S M; Brealey R A; Hodges S D; Thomas H

in: Elton E J and Gruber M J (Eds) International Capital Markets, North Holland 1975

1974

On the interpretation of the geometric mean

Giá máy bắn cáSchaefer S M; Hodges S D

Journal of Financial and Quantitative Analysis 1974 Vol 9:3 p 497-504

2019

Debt dynamics and credit risk

Feldhutter P; Schaefer S M

Social Sciences Research Network

2014

The credit spread puzzle: myth or reality?

Feldhutter P; Schaefer S

Social Sciences Research Network

2006

Risk in Capital Structure Arbitrage

Schaefer S M

IFA Working Paper

2003

Do Risk Managment and Regulation Reduce Risk in Banking?

Giá máy bắn cáPelizzon L; Schaefer S M

Giá máy bắn cáIFA Working Paper

2001

Why Long Term Forward Interest Rates (almost) Always Slope Downwards

Schaefer S M; Brown R H

IFA Working Paper

2001

Foundations of continuous time finance

Giá máy bắn cáSchaefer S M; Elgar E

Giá máy bắn cáEdward Elgar, 2001

1995

Costs of regulatory compliance for financial firms

Giá máy bắn cáFranks J R; Schaefer S M; Staunton M

Corporation of London, 1995

1994

Custodianship and protection against misuse of client property

Giá máy bắn cáFranks J R; Schaefer S M

Corporation of London, 1994

1993

Costs and effectiveness of the UK financial regulatory system

Giá máy bắn cáFranks J R; Schaefer S M

Giá máy bắn cáCorporation of London, 1993

1986

Recent developments in corporate finance

Franks J R; Schaefer S M et al.

Cambridge University Press, 1986

Teaching portfolio

Giá máy bắn cáOur teaching offering is updated annually. Faculty and programme material are subject to change.

Masters Degrees core courses

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From the viewpoint of a senior executive, we look at issues of capital allocation, external financing, risk in the corporation and in financial markets, leverage, strategic options, company valuation, corporate governance and executive compensation.
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LBS Sloan Masters in Leadership and Strategy

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Adventures in Management Innovation
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Credit Risk

Develop an in-depth understanding of credit risk and credit derivatives, with a focus on modelling and valuation. Understand the balance between developing a conceptual framework and market understanding and insight. Learn about topics including: historical default experience and recovery rates, applications of structural models and default-intensity models of credit risk and credit spread options
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Strategic Investment Management
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