Jean Helwege
Associate Professor of Finance
Pennsylvania State University -- Smeal College of Business
318 Business Building
University Park, PA 16802-3606
USA
- University of California, Los Angeles, Ph. D. -- Economics, 1989.
- Formerly of the New York Federal Reserve Bank
- Professor Helwege joined the Smeal College of Business in 2006, after having served on the faculties of the University of Arizona and Ohio State University. Previously, she was a senior economist for the Federal Reserve Bank of New York where she served for 10 years.
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Publications: that are posted on DefaultRisk.com
Credit Pricing
Fallen Angels and Price Pressure
by Brent W. Ambrose of Pennsylvania State University,
Kelly N. Cai of the University of Michigan – Dearborn, and
Jean Helwege of Pennsylvania State University
(127K PDF) -- 31 pages -- June 2, 2009
Structural Models of Corporate Bond Pricing: An empirical analysis
by Young Ho Eom of Yonsei University,
Jean Helwege of Ohio State University, and
Jing-zhi Huang of Pennsylvania State University
(319K PDF) -- 46 pages -- Summer 2004
Helwege, Jean and Christopher M. Turner, "The Slope of the Credit Yield Curve for Speculative-Grade Issuers", Journal of Finance, Vol. 54, No. 5, (October 1999), pp. 1869-1884.
Recovery Rates
Credit Default Auctions and Price Discovery
by Jean Helwege of Pennsylvania State University,
Sam Maurer of the Federal Reserve Bank of New York,
Asani Sarkar of the Federal Reserve Bank of New York, and
Yuan Wang of Pennsylvania State University
(55K PDF) -- 17 pages -- May 2009
Helwege, Jean, "How Long Do Junk Bonds Spend in Default?", Journal of Finance, Vol. 54, No. 1, (February 1999), pp. 341-357.
Credit Correlation
Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs
by Pierre Collin-Dufresne of Carnegie-Mellon University,
Robert S. Goldstein of Washington University, and
Jean Helwege of Ohio State University
(857K PDF) -- 70 pages -- December 10, 2003
Other Credit
Forced Selling of Fallen Angels
by Brent W. Ambrose of Pennsylvania State University,
Nianyun (Kelly) Cai of the University of Michigan, Dearborn, and
Jean Helwege of Pennsylvania State University
(109K PDF) -- 35 pages -- March 14, 2008
Helwege, Jean, and Frank Packer, "Determinants of the Choice of Bankruptcy Procedure in Japan", Journal of Financial Intermediation, Vol. 12, No. 1, (January 2003), pp. 96-120.
Understanding Aggregate Default Rates of High Yield Bonds
by Jean Helwege of the Federal Reserve Bank of New York, and
Paul Kleiman of the Federal Reserve Bank of New York
(73K PDF) -- 6 pages -- May 1996
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