CRMR Working Papers

Center for Risk Management Research Working Papers

2023

2023-03: Lack of Compactness of Budget Sets in Infinite Dimensional Commodity Spaces and Its Consequences

Konstantin Magin
2023 Working Papers, 2023

2023-02: General Equilibrium Theory For Climate Change

Robert Anderson; Haosui Duanmu
2023 Working Papers, 2023

2023-01: Skin in the Game: Risk Analysis of Central Counterparties

Rama Cont; Samim Ghamami
2023 Working Papers, 2023

2021

2021-04: Comparative Statics of Equilibria with Respect to Stochastic Tax Rates

Konstantin Magin
2021 Working Papers, 2021

2021-03: Skin in the Game: Risk Analysis of Central Counterparties

Rama Cont; Samim Ghamami
2021 Working Papers, 2021

2021-02: Existence of Equilibria in Infinite Horizon Finance Economies with Stochastic Taxation

Konstantin Magin
2021 Working Papers, 2021

2021-01: Existence of Equilibria in Infinite Horizon Finance Economies with Stochastic Taxation

Konstantin Magin
2021 Working Papers, 2021

2018

2018-02: Infinite Horizon CCAPM with Stochastic Taxation and Monetary Policy

Konstantin Magin
2018 Working Papers, 2018

2018-03: Initial Margin Modeling of Credit Default Swap Portfolios

Samim Ghamami; Baeho Kim; Dong Hwan Oh
2018 Working Papers, 2018

2018-01: Infinite Horizon CCAPM with Stochastic Taxation and Monetary Policy

Konstantin Magin
2018 Working Papers, 2018

2017

2017-04: Comparative Statics of Equilibria with Respect to Stochastic Tax Rates

Konstantin Magin
2017 Working Papers, 2017

Central Clearing and Unintended Consequences of OTC Derivatives Reform

Samim Ghamami
2017 Working Papers, 2017

2017-02: Equilibrium Comparative Statics in Finite Horizon Finance Economies with Stochastic Taxation

Konstantin Magin
2017 Working Papers, 2017

2017-01: Controlling shareholders’ value, long-run firm value and short-term performance

Kyong Shik Eom; Robert Anderson; Hyung Cheol Kang; Sang Koo Kang
2017 Working Papers, 2017

2016

2016-06: PIN, Adjusted PIN, and PSOS: Difference of Opinion in the Korean Stock Market

Kyong Shik Eom; Jangkoo Kang; Kyung Yoon Kwon
2016 Working Papers, 2016

2016-04: The effect of listing switches from a growth market to a main board: An alternative perspective

Jong-Ho Park; Ki Beom Binh; Kyong Shik Eom
2016 Working Papers, 2016

2016-03: Comparative Statics in Finite Horizon Finance Economies with Stochastic Taxation

Konstantin Magin
2016 Working Papers, 2016

2016-02: Examining US REITs Pricing Bubbles: An Application of the CCAPM with Stochastic Taxation and Money Supply

Robert H. Edelstein; Konstantin Magin
2016 Working Papers, 2016

2016-01: Infinite Horizon CCAPM with Stochastic Taxation and Monetary Policy

Konstantin Magin
2016 Working Papers, 2016

2015

2015-10: Generic Existence of Equilibria in Finite Horizon Finance Economies with Stochastic Taxation

Konstantin Magin
2015 Working Papers, 2015

2015-09: Understanding Systematic Risk: A High-Frequency Approach

Markus Pelger
2015 Working Papers, 2015

2015-08: Large-Dimensional Factor Modeling Based on High-Frequency Observations

Markus Pelger
2015 Working Papers, 2015

2015-05: Are Sticky Prices Costly? Evidence from the Stock Market

Yuriy Gorodnichenko; Michael Weber
2015 Working Papers, 2015

2015-04: The Temporal Dimension of Drawdown

Ola Mahmoud
2015 Working Papers, 2015

2015-03: Diversification Preferences in the Theory of Choice

Ola Mahmoud; Enrico G. De Giorgi
2015 Working Papers, 2015

2015-02: Stochastic Taxation and REITS Pricing Bubbles: A Statistical Analysis

Robert H. Edelstein; Konstantin Magin
2015 Working Papers, 2015

2015-01: Hedging Against Tax Rate Uncertainty: Tax Rate Swaps

Konstantin Magin
2015 Working Papers, 2015

2014

2014-06: Identifying REITs Asset-pricing Bubbles: A Modified CCAPM Approach

Robert H. Edelstein; Konstantin Magin
2014 Working Papers, 2014

2014-05: In Search of Statistically Valid Risk Factors

Lisa Goldberg; Robert Anderson; Stephen Bianchi
2014 Working Papers, 2014

2014-04: Continuous-Time Principal-Agent Problem with Drift and Stochastic Volatility Control: With Applications to Delegated Portfolio Management

Raymond C. W. Leung
2014 Working Papers, 2014

2014-03: On a Convex Measure of Drawdown Risk

Lisa Goldberg; Ola Mahmoud
2014 Working Papers, 2014

2014-02: Determinants of Levered Portfolio Return

Lisa Goldberg; Robert Anderson; Stephen Bianchi
2014 Working Papers, 2014

2013

2013-13: How Relative Compensation can lead to Herding Behavior

An Chen; Markus Pelger
2013 Working Papers, 2013

2013-12: Restoring Value to Minimum Variance

Lisa Goldberg; Ran Leshem; Patrick Geddes
2013 Working Papers, 2013

2013-11: Centralized Clearing for Over-the-Counter Derivatives

Gordon Rausser; William Balson; Reid Stevens
2013 Working Papers, 2013

2013-10: Pretrade and Risk-based Clearing: A Case Study of American International Group’s Super Senior CDS Portfolio 2005- 2008

William Balson; Gordon Rausser
2013 Working Papers, 2013

2013-09: The Decision to Lever

Lisa Goldberg; Robert Anderson; Stephen Bianchi
2013 Working Papers, 2013

2013-08: There are no predictable jumps in arbitrage-free markets

Markus Pelger
2013 Working Papers, 2013

2013-07: Contingent Capital, Tail Risk, and Debt-Induced Collapse

Markus Pelger; Nan Chen; Paul Glasserman; Behzad Nouri
2013 Working Papers, 2013

2013-05: The Signal and the Noise by Nate Silver, reviewed by Lisa Goldberg

Lisa Goldberg
2013 Working Papers, 2013

2013-03: On Keeping Your Powder Dry: Fiscal Foundations of Financial and Price Stability

Maurice Obstfeld
2013 Working Papers, 2013

2013-02: Who Is (More) Rational?

Syngjoo Choi; Shachar Kariv; Wieland Muller; Dan Silverman
2013 Working Papers, 2013

2013-01: The Decision to Lever

Lisa Goldberg; Robert Anderson; Stephen Bianchi
2013 Working Papers, 2013

Coleman Fung Risk Management Research Center Working Papers

2013

2013-06: Conditional Risk Premia in Currency Markets and Other Asset Classes

Martin Lettau; Matteo Maggiori; Michael Weber
2013. Working Papers, 2013

2013-05: Finance at Center Stage: Some Lessons of the Euro Crisis

Maurice Obstfeld
2013. Working Papers, 2013

2013-04: Equity Risk Premium and Insecure Property Rights

Konstantin Magin
2013. Working Papers, 2013

2013-03: Risk Without Return

Lisa Goldberg; Ola Mahmoud
2013. Working Papers, 2013

2013-01: In Search of a Statistically Valid Volatility Risk Factor

Lisa Goldberg; Robert Anderson; Stephen Bianchi
2013. Working Papers, 2013

2012

2012-13: Self-Enforcing Clawback Provisions in Executive Compensation

Ying-Ju Chen; Mingcherng Deng
2012 Working Papers, 2012

2012-12: Incentive Thresholds, Risk-Taking, and Performance. Evidence from Hedge Funds

Orie Shelef
2012 Working Papers, 2012

2012-11: Bubbling with Excitement: An Experiment

Eduardo B. Andrade; Terrance Odean; Shengle Lin
2012 Working Papers, 2012

2012-10: A Comment on “The Cross-Section of Volatility and Expected Returns”: The Statistical Significance of FVIX is Driven by a Single Outlier

Lisa Goldberg; Robert Anderson; Stephen Bianchi
2012 Working Papers, 2012

2012-06: Thinking, Fast, and Slow by Daniel Kahneman

Lisa Goldberg
2012 Working Papers, 2012

2012-05: Minimizing Shortfall

Lisa Goldberg; Ola Mahmoud
2012 Working Papers, 2012

2012-04: The Equity Risk Premium Puzzle: A Resolution – The Case for Real Estate

Robert H. Edelstein; Konstantin Magin
2012 Working Papers, 2012

2012-03: When did the dollar overtake sterling as the leading international currency? Evidence from the bond markets

Liva Chitu; Barry Eichengreen; Arnaud Mehl
2012 Working Papers, 2012

2012-02: Contingent Convertible Bonds: Pricing, Dilution Costs and Efficient Regulation

Markus Pelger
2012 Working Papers, 2012

2012-01: Will My Risk Parity Strategy Outperform?

Lisa Goldberg; Robert Anderson; Stephen Bianchi
2012 Working Papers, 2012

2011

2011-04: Will My Risk Parity Strategy Outperform?

Lisa Goldberg; Robert Anderson; Stephen Bianchi
2011 Working Papers, 2011

2011-03: Stories of the Twentieth Century for the Twenty-First

Pierre-Olivier Gourinchas; Maurice Obstfeld
2011 Working Papers, 2011

2011-02: Allocating Assets in Climates of Extreme Risk

Lisa Goldberg; Stacy L. Cuffe
2011 Working Papers, 2011

2011-01: Minimizing Shortfall

Lisa Goldberg; Ola Mahmoud; Michael Y. Hayes
2011 Working Papers, 2011

2010

2010-05: The Pricing of “Troubled” Assets

Konstantin Magin
2010 Working Papers, 2010

2010-04: New Performance – Vested Stock Option Schemes

Markus Pelger; An Chen; Klaus Sandmann
2010 Working Papers, 2010

2010-03: Do Security Analysts Speak in Two Tongues?

Ulrike Malmendier; Devin Shanthikumar
2010 Working Papers, 2010

2010-02: Contractibility and the Design of Research Agreements

Josh Lerner; Ulrike Malmendier
2010 Working Papers, 2010

2010-01: Contingent Convertible Bonds and Capital Structure Decisions

Boris Albul; Dwight M. Jaffee; Alexei Tchistyi
2010 Working Papers, 2010

2009

2009-08: Fragility of CVar in portfolio optimization

A.E.B. Lim; J.G. Shanthikumar; G.Y. Vahn
2009 Working Papers, 2009

2009-07: Depression Babies: Do Macroeconomic Experiences Affect Risk – Taking?

Ulrike Malmendier; Stefan Nagel
2009 Working Papers, 2009

2009-06: Piercing the Veil of Ignorance

Shachar Kariv; William R. Zame
2009 Working Papers, 2009

2009-05: Estimating Ambinguity Aversion in a Portfolio Choice Experiment

David Ahn; Syngjoo Choi; Douglas Gale; Shachar Kariv
2009 Working Papers, 2009

2009-04: Exit Options and Dividend Policy under Liquidity Constraints

Pauli Murto; Marko Tervio
2009 Working Papers, 2009

2009-03: Lenders of Last Resort in a Globalized World

Maurice Obstfeld
2009 Working Papers, 2009

2009-02: Interest Rate Conundrum

Roger Craine; Vance L. Martin
2009 Working Papers, 2009

2009-01: Equity Risk Premium and Insecure Property

Konstantin Magin
2009 Working Papers, 2009

2008

2008-05: A Multi-Period Equilibrium Pricing Model of Weather Derivatives

Yongheon Lee; Shmuel S. Oren
2008 Working Papers, 2008

2008-04: An Equilibrium Pricing Model for Weather Derivatives in a Multi-commodity Setting

Yongheon Lee; Shmuel S. Oren
2008 Working Papers, 2008

2008-03: The Interest Rate Conundrum

Roger Craine; Vance L. Martin
2008 Working Papers, 2008

2008-02: Is The Potential For High Investor Leverage A Threat To Social Security Privatization?

Konstantin Magin
2008 Working Papers, 2008

2008-01: The U.S. Equity Return Premium: Past, Present and Future

Konstantin Magin; J. Bradford DeLong
2008 Working Papers, 2008

2007

2007-08: Principal-agent incentives, excess caution, and market inefficiency: Evidence from utility regulation

Severin Borenstein; Meghan Busse; Ryan Kellogg
2007 Working Papers, 2007

2007-07: International Monetary Policy Surprise Spillovers

Roger Craine; Vance L. Martin
2007 Working Papers, 2007

2007-05: A Class of Singular Control Problems and the Smooth Fit Principle

Xin Guo; Pascal Tomecek
2007 Working Papers, 2007

2007-04: Optimal Spot Market Inventory Strategies in the Presence of Cost and Price Risk

Xin Guo; Philip Kaminsky; Pascal Tomecek; M. Yuen
2007 Working Papers, 2007

2007-03: Stock Return Autocorrelation is Not Spurious

Kyong Shik Eom; Robert Anderson; Sang Buhm Hahn; Jong-Ho Park
2007 Working Papers, 2007

2007-02: Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets

Robert Anderson; Roberto C. Raimondo
2007 Working Papers, 2007

2007-01: Connections between Singular Control and Optimal Switching

Xin Guo; Pascal Tomecek
2007 Working Papers, 2007

2006

2006-01: Time-Varying Risk Premia and Stock Return Autocorrelation

Robert Anderson
2006 Working Papers, 2006
Title Author Year
2022-2: A propagation model to quantify business interruption losses in supply chain networks Hubeyb Gurdogan; Nariman Maddah; Reyhaneh Mohammadi; Elena Pesce; Alicia Montoya; Jeffrey Bohn; Katherine Dalis 2022