Thomas K. Philips

NYU Tandon School of Engineering - Department of Finance and Risk Engineering

Adjunct Professor

Brooklyn, NY 11201

United States

  • NYU Tandon School of Engineering - Department of Finance and Risk Engineering

SCHOLARLY PAPERS

18

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Top 5,986

in Total Papers Downloads

13,141

SSRN CITATIONS

5

CROSSREF CITATIONS

5

Scholarly Papers (18)

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1.

The P/B-Roe Model Revisited

Number of pages: 29 Posted: 23 Apr 2004
Jarrod Wilcox and Thomas K. Philips
Wilcox Investment, Inc. and NYU Tandon School of Engineering - Department of Finance and Risk Engineering
Downloads 3,935 (5,073)
Citation 1

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P/B, ROE, Valuation, market efficiency, TAA, Tactical Asset Allocation, explanation, prediction

2.

Parrondo's Paradox is Not Paradoxical

Number of pages: 3 Posted: 25 Aug 2004 Last Revised: 04 Feb 2008
Thomas K. Philips and Andrew B. Feldman
NYU Tandon School of Engineering - Department of Finance and Risk Engineering and OppenheimerFunds, Inc.
Downloads 1,701 (19,387)
Citation 3

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Parrondo, paradox, resolution, probability

3.

Using Statistical Process Control to Monitor Active Managers

Number of pages: 35 Posted: 19 Mar 2003
Thomas K. Philips, Emmanuel Yashchin and David M. Stein
NYU Tandon School of Engineering - Department of Finance and Risk Engineering, IBM Corporation - Thomas J. Watson Research Center and Parametric Portfolio Associates
Downloads 1,637 (20,597)
Citation 2

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CUSUM, performance measurement, alpha, excess return, active manager

4.

Estimating Expected Returns

Number of pages: 25 Posted: 02 Oct 2002
Thomas K. Philips
NYU Tandon School of Engineering - Department of Finance and Risk Engineering
Downloads 1,363 (27,141)
Citation 3

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estimator, sample mean, expected return, Equity Risk Premium, EBO, ERP

5.

An Approximate Valuation Formula for a Credit Default Swap

Number of pages: 17 Posted: 02 Aug 2006
Thomas K. Philips
NYU Tandon School of Engineering - Department of Finance and Risk Engineering
Downloads 1,133 (35,475)
Citation 1

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Credit Defualt Swap, Valuation, Fixed Income

6.

Ultra-Simple Shiller's CAPE: How One Year's Data Can Predict Equity Market Returns Better Than Ten (Presentation Slides)

Number of pages: 34 Posted: 03 Sep 2019 Last Revised: 02 Mar 2023
Thomas K. Philips and Adam Kobor
NYU Tandon School of Engineering - Department of Finance and Risk Engineering and New York University (NYU)
Downloads 1,021 (41,159)
Citation 1

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CAPE, Campbell, Shiller, Return Forecast, Expected Return, endogeneity, overlapping observations

7.

The Source of Value

Number of pages: 23 Posted: 09 Apr 2002
Thomas K. Philips
NYU Tandon School of Engineering - Department of Finance and Risk Engineering
Downloads 611 (81,646)

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8.

FRE-GY6711: Quantitative Portfolio Management Module 3 - Fixed Income (Presentation Slides)

Number of pages: 119 Posted: 20 Jul 2017
Thomas K. Philips
NYU Tandon School of Engineering - Department of Finance and Risk Engineering
Downloads 387 (141,481)

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Spot Rate, Forward Rate, Par Yield, Yield Curve, Duration, Convexity, Key Rates, Nelson-Siegel, Spread Curve, Credit Limits, Mortages, Credit Default Swaps, Index Tracking, Immunization, Duration Targeting

9.

FRE-GY6711: Quantitative Portfolio Management Module 1 - Portfolio Optimization (Presentation Slides)

Number of pages: 117 Posted: 20 Jul 2017 Last Revised: 11 Nov 2017
Thomas K. Philips
NYU Tandon School of Engineering - Department of Finance and Risk Engineering
Downloads 298 (187,806)

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Probability, Linear Algebra, Optimization, Quadratic Programming, CAPM, APT, Robust Optimization, Markowitz

10.

FRE-GY6711: Quantitative Portfolio Management Module 2 - Risk Budgeting (Presentation Slides)

Number of pages: 84 Posted: 20 Jul 2017
Thomas K. Philips
NYU Tandon School of Engineering - Department of Finance and Risk Engineering
Downloads 251 (223,491)

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Optimization, Risk Budgeting, Robust Risk Budgeting, Black-Litterman, Treynor-Black, Risk Contribution, Euler's Theorem, Risk Parity, Leverage

11.

Saving Social Security: A Better Approach

Downloads 215 (259,273)

Saving Social Security: A Better Approach

Number of pages: 18 Posted: 24 Sep 2002
Thomas K. Philips
NYU Tandon School of Engineering - Department of Finance and Risk Engineering
Downloads 215 (258,393)

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Social Security, President Bush, Commission, mutual funds, individual accounts, retirement benefits, defined benefit, defined contribution, cash balance, swap

Saving Social Security: A Better Approach

Financial Analysts Journal, Vol. 64, No. 6, 2008
Posted: 17 Dec 2008
Thomas K. Philips and Arun Muralidhar
NYU Tandon School of Engineering - Department of Finance and Risk Engineering and AlphaEngine Global Investment Solutions

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Investment Industry: Future Directions and Sources of Change, Advocacy, Regulatory, and Legislative Issues, Other

12.

FRE-GY6711: Quantitative Portfolio Management Module 4 - Estimating Expected Returns (Presentation Slides)

Number of pages: 81 Posted: 20 Jul 2017
Thomas K. Philips
NYU Tandon School of Engineering - Department of Finance and Risk Engineering
Downloads 184 (298,566)

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Expected Return, Dividend Discount Model, Edwards Bell Ohlson Model, Shiller's CAPE, Robust Regression, Factor Returns

13.

FRE GY6711: Quantitative Portfolio Management Module 6 - Monitoring Portfolio Performance (Presentation Slides)

Number of pages: 52 Posted: 25 Jul 2017
Thomas K. Philips
NYU Tandon School of Engineering - Department of Finance and Risk Engineering
Downloads 175 (312,174)

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Compound Returns, Dietz Approximation, Sharpe Ratio, Information Ratio, Treynor Ratio, Jensen's Alpha, Stutzer Index, Attribution, Brinson-Singer Decomposition, CUSUM, Wald SPRT

14.

FRE-GY6711: Quantitative Portfolio Management Module 5 - Measuring and Managing Risk (Presentation Slides)

Number of pages: 69 Posted: 20 Jul 2017
Thomas K. Philips
NYU Tandon School of Engineering - Department of Finance and Risk Engineering
Downloads 166 (326,841)

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Risk Management, Tail Risk, Value at Risk, Expected Shortfall, Coherent Measures of Risk, Credit Risk, Credit Limits, Robust Estimators, Adaptive Estimators, Variance, Correlation, OLS, Regression, Theil-Sen

15.

Wine vs. the Weather: Can Econometrics Pip the Palate?

Number of pages: 13 Posted: 10 Feb 2023 Last Revised: 12 Apr 2023
Thomas K. Philips and David Parker
NYU Tandon School of Engineering - Department of Finance and Risk Engineering and First Growth Technologies
Downloads 64 (627,771)

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Wine, Parker, Ashenfelter, Bordeaux

16.

Ultra-Simple Shiller’s CAPE: How One Year’s Data Can Predict Equity Market Returns Better Than Ten

Journal of Portfolio Management, Vol. 46, No. 4, 2020, https://jpm.pm-research.com/content/46/4/140
Posted: 12 Nov 2019
Thomas K. Philips and Adam Kobor
NYU Tandon School of Engineering - Department of Finance and Risk Engineering and New York University (NYU)

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Shiller's CAPE, Expected Return, Cost of Capital, Equity Premium

17.

The Periodic Treasury Exchange: A Proposal to Increase the Depth and Liquidity of the U.S. Treasury Market

https://doi.org/10.3905/jpm.2018.44.3.126
Posted: 22 May 2019
Thomas K. Philips and Steven Friedman
NYU Tandon School of Engineering - Department of Finance and Risk Engineering and Federal Reserve Banks - Federal Reserve Bank of New York

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Treasury Liquidity, Bond Exchange, Off-The-Run, On-The-Run

18.

Uncloaking Campbell and Shiller's CAPE: A Comprehensive Guide to its Construction and Use

https://doi.org/10.3905/jpm.2016.43.1.109
Posted: 22 Mar 2016 Last Revised: 22 May 2019
Thomas K. Philips and Cenk Ural
NYU Tandon School of Engineering - Department of Finance and Risk Engineering and Barclays - Risk Analytics and Index Solutions

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CAPE, Shiller's CAPE, Campbell and Shiller's CAPE, Shiller P/E, Expected Return, Valuation Ratio, Campbell and Shiller, Hjalmarsson, Scaled t-test, endogeneity, overlapping observations