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2012-02: Contingent Convertible Bonds: Pricing, Dilution Costs and Efficient Regulation |
Markus Pelger |
2012 |
2012 Working Papers |
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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 |
2012 Working Papers |
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2012-04: The Equity Risk Premium Puzzle: A Resolution – The Case for Real Estate |
Robert H. Edelstein; Konstantin Magin |
2012 |
2012 Working Papers |
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2013-11: Centralized Clearing for Over-the-Counter Derivatives |
Gordon Rausser; William Balson; Reid Stevens |
2013 |
2013 Working Papers |
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2013-12: Restoring Value to Minimum Variance |
Lisa Goldberg; Ran Leshem; Patrick Geddes |
2013 |
2013 Working Papers |
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2013-13: How Relative Compensation can lead to Herding Behavior |
An Chen; Markus Pelger |
2013 |
2013 Working Papers |
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2013-01: The Decision to Lever |
Lisa Goldberg; Robert Anderson; Stephen Bianchi |
2013 |
2013 Working Papers |
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2013-02: Who Is (More) Rational? |
Syngjoo Choi; Shachar Kariv; Wieland Muller; Dan Silverman |
2013 |
2013 Working Papers |
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2013-03: On Keeping Your Powder Dry: Fiscal Foundations of Financial and Price Stability |
Maurice Obstfeld |
2013 |
2013 Working Papers |
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2013-05: The Signal and the Noise by Nate Silver, reviewed by Lisa Goldberg |
Lisa Goldberg |
2013 |
2013 Working Papers |
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2013-07: Contingent Capital, Tail Risk, and Debt-Induced Collapse |
Markus Pelger; Nan Chen; Paul Glasserman; Behzad Nouri |
2013 |
2013 Working Papers |
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2013-08: There are no predictable jumps in arbitrage-free markets |
Markus Pelger |
2013 |
2013 Working Papers |
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2013-09: The Decision to Lever |
Lisa Goldberg; Robert Anderson; Stephen Bianchi |
2013 |
2013 Working Papers |
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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 |
2013 Working Papers |
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2014-04: Continuous-Time Principal-Agent Problem with Drift and Stochastic Volatility Control: With Applications to Delegated Portfolio Management |
Raymond C. W. Leung |
2014 |
2014 Working Papers |
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2014-05: In Search of Statistically Valid Risk Factors |
Lisa Goldberg; Robert Anderson; Stephen Bianchi |
2014 |
2014 Working Papers |
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2014-06: Identifying REITs Asset-pricing Bubbles: A Modified CCAPM Approach |
Robert H. Edelstein; Konstantin Magin |
2014 |
2014 Working Papers |
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2014-02: Determinants of Levered Portfolio Return |
Lisa Goldberg; Robert Anderson; Stephen Bianchi |
2014 |
2014 Working Papers |
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2014-03: On a Convex Measure of Drawdown Risk |
Lisa Goldberg; Ola Mahmoud |
2014 |
2014 Working Papers |
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2015-01: Hedging Against Tax Rate Uncertainty: Tax Rate Swaps |
Konstantin Magin |
2015 |
2015 Working Papers |
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2015-02: Stochastic Taxation and REITS Pricing Bubbles: A Statistical Analysis |
Robert H. Edelstein; Konstantin Magin |
2015 |
2015 Working Papers |
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2015-03: Diversification Preferences in the Theory of Choice |
Ola Mahmoud; Enrico G. De Giorgi |
2015 |
2015 Working Papers |
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2015-04: The Temporal Dimension of Drawdown |
Ola Mahmoud |
2015 |
2015 Working Papers |
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2015-05: Are Sticky Prices Costly? Evidence from the Stock Market |
Yuriy Gorodnichenko; Michael Weber |
2015 |
2015 Working Papers |
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2015-08: Large-Dimensional Factor Modeling Based on High-Frequency Observations |
Markus Pelger |
2015 |
2015 Working Papers |
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2015-09: Understanding Systematic Risk: A High-Frequency Approach |
Markus Pelger |
2015 |
2015 Working Papers |
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2015-10: Generic Existence of Equilibria in Finite Horizon Finance Economies with Stochastic Taxation |
Konstantin Magin |
2015 |
2015 Working Papers |
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2016-06: PIN, Adjusted PIN, and PSOS: Difference of Opinion in the Korean Stock Market |
Kyong Shik Eom; Jangkoo Kang; Kyung Yoon Kwon |
2016 |
2016 Working Papers |
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2016-01: Infinite Horizon CCAPM with Stochastic Taxation and Monetary Policy |
Konstantin Magin |
2016 |
2016 Working Papers |
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2016-02: Examining US REITs Pricing Bubbles: An Application of the CCAPM with Stochastic Taxation and Money Supply |
Robert H. Edelstein; Konstantin Magin |
2016 |
2016 Working Papers |
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2016-03: Comparative Statics in Finite Horizon Finance Economies with Stochastic Taxation |
Konstantin Magin |
2016 |
2016 Working Papers |
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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 |
2016 Working Papers |
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Central Clearing and Unintended Consequences of OTC Derivatives Reform |
Samim Ghamami |
2017 |
2017 Working Papers |
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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 |
2017 Working Papers |
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2017-02: Equilibrium Comparative Statics in Finite Horizon Finance Economies with Stochastic Taxation |
Konstantin Magin |
2017 |
2017 Working Papers |
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2017-04: Comparative Statics of Equilibria with Respect to Stochastic Tax Rates |
Konstantin Magin |
2017 |
2017 Working Papers |
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2018-01: Infinite Horizon CCAPM with Stochastic Taxation and Monetary Policy |
Konstantin Magin |
2018 |
2018 Working Papers |
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2018-03: Initial Margin Modeling of Credit Default Swap Portfolios |
Samim Ghamami; Baeho Kim; Dong Hwan Oh |
2018 |
2018 Working Papers |
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2018-02: Infinite Horizon CCAPM with Stochastic Taxation and Monetary Policy |
Konstantin Magin |
2018 |
2018 Working Papers |
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2020-02: Skin in the Game: Risk Analysis of Central Counterparties |
Rama Cont; Samim Ghamami |
2020 |
2020 Working Papers |
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2020-01: Collateralized Networks |
Samim Ghamami; Paul Glasserman; Peyton Young |
2020 |
2020 Working Papers |
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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 |
Working Papers |
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Do the Golden State Warriors Have Hot Hands? |
Lisa Goldberg |
2017 |
Other Research Areas |
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Portfolio optimization via strategy-specific eigenvector shrinkage |
Lisa Goldberg; Hubeyb Gurdogan; Alec Kercheval |
2024 |
Other Research Areas |
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Do Steph Curry and Klay Thompson Have Hot Hands? |
Alon Daks; Nishant Desai; Lisa Goldberg |
2017 |
Other Research Areas |
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Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement |
Samim Ghamami; Bo Zhang |
2014 |
Journal Article |
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A Resampling Approach for Causal Inference on Novel Two-Point Time-Series with Application to Identify Risk Factors for Type-2 Diabetes and Cardiovascular Disease |
Xiaowu Dai; Saad Mouti; Marjorie Lima Do Vale; Sumantra Ray; Jeffrey Bohn; Lisa Goldberg |
2023 |
Journal Article |
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The Impact of Estimation Error on Latent Factor Model Forecasts of Portfolio Risk |
Stephen Bianchi; Lisa Goldberg; Allan Rosenberg |
2017 |
Journal Article |
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Deep Learning for Mortgage Risk |
Justin Sirignano; Apaar Sadhwani; Kay Giesecke |
2018 |
Journal Article |
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Optimizing Value |
Ran Leshem; Lisa Goldberg; Alan Cummings |
2016 |
Journal Article |
