This paper provides an innovative theoretical model and empirical evidence for how firm-level pandemic exposure, as an informational shock, increases a firm's credit spread and default risk. We find a positive relationship between pandemic exposure and single-nameCDS spreads, and this empirical relation remains under robustness checks and after controlling for endogeneity. The effect of pandemic risk is more pronounced for firms with more leverage. COVID-19 exposure has a much more significant economic impact on credit spreads than the past pandemics. We also find firm-level pandemic risk reduces CDS spread slope and increases credit spread volatility.

(Joint work with Ran Zhao)

Biography

Dr. Michael Imerman is an Assistant Professor of Finance at the Drucker School of Management in Claremont Graduate University where he also serves as Co-Director of the Financial Engineering Program. Professor Imerman's primary research areas include credit risk modeling, banking, FinTech, and financial regulation. He is particularly interested in the interplay among risk management, innovation, and regulation in the financial system. These interests have led him to examine diverse areas in finance from credit derivatives to bank capital and from securitization to disruptive financial technologies.

Prior to coming to Claremont, Professor Imerman was was a faculty member at Lehigh University, where he was Assistant Professor of finance and held the Theodore A. Lauer Distinguished Chair of Investments. His undergraduate and doctoral degrees are from Rutgers University and in 2011-2012 he was an NSF-funded Postdoctoral Research Associate at Princeton University in the Department of Operations Research and Financial Engineering. At Princeton, Dr. Imerman worked in high-dimensional statistical analysis, high-frequency econometrics, and financial data science.

Before pursuing a career in academia Imerman has worked on Wall Street, with a stint at Lehman Brothers from 2004 to 2005. He currently maintains a consulting practice where he advises companies ranging from large established financial firms to FinTech startups. Additionally, Dr. Imerman is on the Editorial Boards of the Journal of Financial Data Science and the annual journal Advances in Quantitative Analysis of Finance & Accounting.

Join the IAQF for virtual presentations and conversations with the winners of the IAQF Academic Case Competition

Zoom Event

Registration is Complimentary for All

Moderator:

Richard Lindsey, IAQF Board Chair

Schedule of Events:

Introductions & Presentation of Problem

Questions to Each of the Team 

Following an overview of the problem that students were asked to work on, the moderator turn it over to each of the Teams who have 10 minutes to discuss how they came to their conclusion.

This will be followed by questions to the students 

Participating Teams Are:

Team WOLT - Baruch MFE Program, Ryan Guzalowski as Team Leader, Team members include Jiaying (Laura) He, Xinyi (Jeremy) Hu, Zhoufan Li, Ziyue (Vincent) Wang, and Jiahao Zhang. The team worked under the direction of Andrew Lesniewski.

Team Quant Avengers - Boston University, Tianqi Liao as Team Leader, Team members include Ziqi Chen, Zehao Dong, Yining Fu, Jingyue Xie, and Yukang Zhou. The team worked under the direction of Christopher Kelliher.

Team Quants by the Ganges - Cornell University, Nikunj Agarwal as Team Leader, Team members include Subham Behera, Harsh Parsuram Puria, and Vineel Yellapantula. The team worked under the direction of Sasha Stoikov.

Team QuAntiochus - NYU Tandon, Yingchao Sun as Team Leader, Team members include Litai Ren, Sumit Mahaveer Sethi, Sai Theja Vadlamani, Dehao Wang, and Ziqi Yuan. The team worked under the direction of Ron Slivka.

Team Bobcat - NYU Tandon, Vinay Arun Bharath as Team Leader, Team members include Lei Guo, Eric Sun, Yiran Wang, Yulin Wu, and Minghua Xie. The team worked under the direction of Ron Slivka.

Financial Engineers Give a Personal View of Their Careers in Quantitative Finance

A Series of Panel Discussions for Students Interested in a Career in Quantitative Finance

Virtual Event

In Partnership with

The George Washington University

School of Business

Panelists

Ali Arar, Fimineco

Lipika Hayet, Capital One

Moderator

Stephen Young, Wells Fargo

Registration is Free!

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