Oxera works with highly skilled independent experts who have a wealth of knowledge within their fields. These individuals are highly recognised within a variety of sectors and our collaboration with them means that we can offer the best advice, which in turn inspires our clients to make informed decisions.
Stephen is Professor of Finance at London Business School. Formerly on the faculty of the Graduate School of Business at Stanford University, he has also been a visiting professor at the Universities of Stanford, British Columbia, California (Berkeley), Cape Town, Chicago and Venice.
He has published widely on fixed income markets, risk management, credit risk and financial regulation. Much of his current research is devoted to understanding the pricing of credit risky instruments and, in particular, disentangling the impact of the default risk and market frictions. This includes an empirical study of the performance of credit pricing models as predictors of hedge ratios and a clinical study of the events surrounding the downgrade of Ford and GM to junk status in 2005.
Outside academic life, Stephen Schaefer is a member of Moody’s Academic Research and Advisory Committee and a Non-Executive Director of Leo Fund Management. He was formerly an Independent Board Member of the Securities and Futures Authority, a Senior Research Adviser to Moody’s KMV and a Trustee-Director of Smith Breeden Mutual Funds.
Selected project experience
- Expert witness for EDF International SA in an Energy Charter Treaty case involving the termination of power purchase agreements
- Co-author of a major report on active management for the Norwegian Oil Fund
- Wrote a report on BAA’s cost-of-capital in connection with a review by the Competition Commission
- Expert witness for major bank in connection with taxation of hybrid securities
- Expert witness for Freddie Mac in US Tax Court in connection with the valuation of tax benefits of financing
- Advised major investment management company on management of credit risk
- Advised on design and implementation of risk management system for major Japanese investment bank
- Expert witness for Serious Fraud Office in case concerning securities fraud
Stephen Schaefer serves on the editorial board of a number of academic and professional journals, including the Journal of Fixed Income, and is the joint editor for the Princeton University Press series in finance.
- Schaefer, S. and Strebulaev, I. (2008), ‘Structural Models of Credit Risk are Useful: Evidence from Hedge Ratios on Corporate Bonds’, Journal of Financial Economics, 90:1 pp. 1–19, October.
- Pelizzon, L. and Schaefer, S. (2006), ‘Pillar I vs Pillar II Under Risk Management’, pp. 377–409, in M. Carey and R. Stulz (eds), The Risks of Financial Institutions, University of Chicago Press for NBER. (Also published as NBER Working Paper 11666, September 2005.)
- Schaefer, S. (2001), ‘Asset Pricing: Derivative Assets’, in O. Ashenfelter (ed.), International Encyclopaedia of Social and Behavioral Sciences, Economics Section, 2, pp. 833–40, Elsevier Science.
- Britten-Jones, M. and Schaefer, S. (1999), ‘Non-Linear Value-at-Risk’, European Finance Review, 2, pp. 161–87. Reprinted in D. Galai, D. Ruthenberg, M. Sarnat and B. Schreiber (eds), Risk Management and Regulation in Banking, Kluwer Academic Publishers.
- PhD, London University
- MA, Cambridge University