User profiles for Lara Cathcart

Lara Cathcart

Associate Professor, Imperial College Business School
Verified email at imperial.ac.uk
Cited by 823

The differential impact of leverage on the default risk of small and large firms

L Cathcart, A Dufour, L Rossi, S Varotto - Journal of Corporate Finance, 2020 - Elsevier
We analyse a sample of 6 million firm-year observations of large corporations and small and
medium sized enterprises (SMEs) spanning 6 European countries from 2005 to 2015, to …

Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach

S Badaoui, L Cathcart, L El-Jahel - Journal of Banking & Finance, 2013 - Elsevier
In this study, we use a factor model in order to decompose sovereign Credit Default Swaps (CDS)
spreads into default, liquidity, systematic liquidity and correlation components. By …

Valuation of defaultable bonds

L Cathcart, L El-Jahel - The Journal of Fixed Income, 1998 - search.proquest.com
A paper provides a framework for the valuation of defaultable bonds in a stochastic interest
rate environment. Default occurs the first time a signaling process reaches a certain lower …

Can regulators allow banks to set their own capital ratios?

L Cathcart, L El-Jahel, R Jabbour - Journal of Banking & Finance, 2015 - Elsevier
Basel regulators have received widespread criticism for failing to prevent two credit crises
that hit the US over the last two decades. Nonetheless, banks were considerably …

Reputational shocks and the information content of credit ratings

M Bedendo, L Cathcart, L El-Jahel - Journal of Financial Stability, 2018 - Elsevier
We investigate how shocks to the reputation of credit rating agencies and the subsequent
introduction of stricter regulation affect investors’ reaction to rating signals. We focus on three …

Distressed debt restructuring in the presence of credit default swaps

M Bedendo, L Cathcart… - Journal of Money, Credit …, 2016 - Wiley Online Library
The availability of credit insurance via credit default swaps has been closely associated with
the emergence of empty creditors. We empirically investigate this issue by looking at the …

The slope of the term structure of credit spreads: An empirical investigation

M Bedendo, L Cathcart… - Journal of Financial …, 2007 - Wiley Online Library
In this article we analyze the slope of the term structure of credit spreads. We investigate the
explanatory role of interest rate, market, and idiosyncratic equity variables that the recent …

Pricing defaultable bonds: a middle-way approach between structural and reduced-form models

L Cathcart, L El-Jahel - Quantitative Finance, 2006 - Taylor & Francis
In this paper we present a valuation model that combines features of both the structural and
reduced-form approaches for modelling default risk. We maintain the cause and effect or ‘…

News sentiment and sovereign credit risk

L Cathcart, NM Gotthelf, M Uhl… - European Financial …, 2020 - Wiley Online Library
We explore the impact of media content on sovereign credit risk. Our measure of media tone
is extracted from the Thomson Reuters News Analytics database. As a proxy for sovereign …

[PDF][PDF] Semi-analytical pricing of defaultable bonds in a signaling jump-default model

L Cathcart, L El-Jahel - Journal of computational finance, 2003 - academia.edu
This paper derives analytical solutions for defaultable bonds when the underlying interest
rates follow a mean reverting square-root process. The default event occurs in an expected or …