.
Goldberg, Lisa R.'s
Scholarly Papers
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column.
Aggregate Statistics
Total 10,913
Total Citations 115
1.
Goldberg, Lisa R. University of California at Berkeley
Hayes, Michael Y. MSCI Inc.
Menchero, Jose MSCI Barra
Mitra , Indrajit Massachusetts Institute of Technology (MIT)
Posted:
12 Feb 09
Last Revised:
19 Feb 09
1,056(8,500)
2
risk management, quantitative extreme
2.
Giesecke, Kay Stanford University - Management Science & Engineering
Goldberg, Lisa R. University of California at Berkeley
Posted:
08 Oct 03
Last Revised:
21 Apr 09
960(9,881)
2
risk premium, default event risk, jump risk, incomplete information, asymmetric information, measure change
3.
Errais, Eymen Stanford University
Giesecke, Kay Stanford University - Management Science & Engineering
Goldberg, Lisa R. University of California at Berkeley
Posted:
14 Jun 06
Last Revised:
15 Jun 10
795(13,282)
23
Self-exciting point process, affine jump diffusion, Hawkes process, transform, portfolio credit derivative, correlated default, index and tranche swap
4.
Breger, Ludovic L. Morgan Stanley - Fixed Income Research
Goldberg, Lisa R. University of California at Berkeley
Cheyette, Oren Loomis Sayles
789(13,421)
5
Credit rating, risk, market implied ratings
5.
Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons
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Goldberg, Lisa R. University of California at Berkeley
Miller, Guy Merrill Lynch & Co.
Weinstein, Jared University of California, Los Angeles (UCLA)
Posted:
22 Oct 07
Last Revised:
11 Nov 08
758(14,264)
9
Goldberg, Lisa R. University of California at Berkeley
Miller, Guy Merrill Lynch & Co.
Weinstein, Jared University of California, Los Angeles (UCLA)
0
Extreme risk, loss surface, expected shortfall, peaks over thresholds, temporal risk aggregation
Goldberg, Lisa R. University of California at Berkeley
Miller, Guy BARRA, Inc. - Equity Research
Weinstein, Jared University of California, Los Angeles (UCLA)
758
9
value at risk, expected shortfall, loss surface, downside risk, tail risk, peaks over thresholds, semi-parametric distribution, Fourier transform, temporal dependence
6.
Goldberg, Lisa R. University of California at Berkeley
Giesecke, Kay Stanford University - Management Science & Engineering
703(15,883)
Extreme events, normal distribution, extreme value distribution, power law, Pareto distribution, peaks over thresholds, tail index, shortfall risk, Hurst exponent, clustering, contagion, point process
7.
Giesecke, Kay Stanford University - Management Science & Engineering
Goldberg, Lisa R. University of California at Berkeley
Ding, Xiaowei Stanford University
Posted:
15 Mar 05
Last Revised:
04 Mar 10
580(20,902)
33
correlated defaults, point process, random thinning, single-name hedging, top-down model
8.
Goldberg, Lisa R. University of California at Berkeley
Giesecke, Kay Stanford University - Management Science & Engineering
541(22,935)
21
credit risk, incomplete information, pricing trend, short spreads, default barrier
9.
Barbieri, Angelo MSCI Inc.
Chang, Kelly H. MSCI Barra, Inc.
Dubikovsky, Vladislav MSCI Barra
Fox, John MSCI Inc.
Gladkevich, Alexei MSCI Inc.
Gold, Carl MSCI Barra
Goldberg, Lisa R. University of California at Berkeley
495(25,818)
modeling value, risk factors, investment, management, forecasts, portfolio, construction, shorter, longer, horizons, value-at-risk, VaR
10.
On the Aggregation of Local Risk Models for Global Risk Management
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Goldberg, Lisa R. University of California at Berkeley
Anderson, C. Greg MSCI Barra
Kercheval, Alec N. Florida State University - Department of Mathematics
Miller, Guy BARRA, Inc. - Equity Research
Sorge, Kathy Morgan Stanley - Fixed Income Research
Posted:
06 Jun 05
Last Revised:
11 Nov 08
466(27,955)
Goldberg, Lisa R. University of California at Berkeley
Anderson, C. Greg MSCI Barra
Kercheval, Alec N. Florida State University - Department of Mathematics
Miller, Guy BARRA, Inc. - Equity Research
Sorge, Kathy Morgan Stanley - Fixed Income Research
0
single-market covariance matrix forecasts, global forecast, global covariance matrix forecast, cross-market correlations, positive semi-definite, numerical optimization problem
Goldberg, Lisa R. University of California at Berkeley
Kercheval, Alec N. Florida State University - Department of Mathematics
Anderson, C. Greg MSCI Barra
Miller, Guy BARRA, Inc. - Equity Research
Sorge, Kathy Morgan Stanley - Fixed Income Research
466
portfolio risk, total risk, optimization, positive definite
11.
Anderson, Robert M. University of California, Berkeley - Department of Economics
Bianchi, Stephen W. University of California, Berkeley
Goldberg, Lisa R. University of California at Berkeley
Posted:
08 Jul 12
Last Revised:
17 Aug 12
458(28,709)
Risk parity, value weighting, fixed mix, leverage, turnover, trading costs, borrowing costs, market frictions, statistical significance, outperformance, Sharpe ratio
12.
Goldberg, Lisa R. University of California at Berkeley
Hayes, Michael Y. MSCI Inc.
Menchero, Jose MSCI Barra
Mitra , Indrajit Massachusetts Institute of Technology (MIT)
Posted:
14 May 09
Last Revised:
08 Jul 09
429(31,144)
3
extreme, risk, analysis, volatility, shortfall, different, risk, measures, standard, analytics
13.
Goldberg, Lisa R. University of California at Berkeley
424(31,634)
2
Credit risk, incomplete information, default, recovery, risk premium, power curve
14.
Goldberg, Lisa R. University of California at Berkeley
Giesecke, Kay Stanford University - Management Science & Engineering
321
8
correlated defaults; incomplete information, pricing trend, intensity, simulation, first-to-default
15.
The Long View of Financial Risk
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Goldberg, Lisa R. University of California at Berkeley
Hayes, Michael Y. MSCI Inc.
Posted:
16 Aug 09
Last Revised:
03 Jun 10
308(46,745)
1
Goldberg, Lisa R. University of California at Berkeley
Hayes, Michael Y. MSCI Inc.
Posted:
13 Mar 10
Last Revised:
03 Jun 10
0
Shortfall, volatility, return horizon, convex risk measure, diversification, portfolio optimization, reverse optimization, marginal contribution to risk, risk-implied correlation, beta
Goldberg, Lisa R. University of California at Berkeley
Hayes, Michael Y. MSCI Inc.
308
1
financial risk, extended history, market returns, variance, forecasts, shortfall, risk, perspective
16.
Kercheval, Alec N. Florida State University - Department of Mathematics
Goldberg, Lisa R. University of California at Berkeley
Lee, Kiseop University of Louisville - Department of Mathematics
283(51,607)
Weighted t-statistic, mean, risk model
17.
Goldberg, Lisa R. University of California at Berkeley
Zapp, Andreas BaFin
230(64,818)
default, downgrade, credit event, incomplete information credit model, power curve
18.
Goldberg, Lisa R. University of California at Berkeley
Hayes, Michael Y. MSCI Inc.
216(69,194)
1
long view financial risk, market returns, risk measure variance, alternative, shortfall, extreme moves, convex
19.
Goldberg, Lisa R. University of California at Berkeley
Kamat , Rajnish affiliation not provided to SSRN
Kremer, Jason MSCI Barra
197(75,942)
CDS, implied spread, structural model, relative value, credit risk, default swap, iSpread, rich-cheap strategy, carry-neutral strategy, beta-neutral strategy, transaction costs, information ratio, structural credit model
20.
Barbieri, Angelo MSCI Inc.
Dubikovsky, Vladislav MSCI Barra
Gladkevich, Alexei MSCI Inc.
Goldberg, Lisa R. University of California at Berkeley
Hayes, Michael Y. MSCI Inc.
Posted:
29 Mar 08
Last Revised:
11 Nov 08
195(76,692)
3
hyptothesis test, value at risk, expected shortfall
21.
Barbieri, Angelo MSCI Inc.
Dubikovsky, Vladislav MSCI Barra
Gladkevich, Alexei MSCI Inc.
Goldberg, Lisa R. University of California at Berkeley
Hayes, Michael Y. MSCI Inc.
174(85,563)
2
Systematic model global recession quantitative finance random variables central limit theorem normal distribution financial risk
22.
Cuffe, Stacy MSCI Inc.
Goldberg, Lisa R. University of California at Berkeley
160(92,411)
Allocating Assets Climates of Extreme Risk portfolio stress testing extreme scenario sset Allocation Stress Testing Risk Management Portfolio Construction investment processes
23.
Chan, Peter MSCI Inc.
Goldberg, Lisa R. University of California at Berkeley
Hayes, Michael Y. MSCI Inc.
Tsang, Eric MSCI Inc.
142(102,751)
Barra, Extreme Risk, BxR Model, Corporate Bond Portfolio, Forecast, xShortfall, xVaR
24.
Goldberg, Lisa R. University of California at Berkeley
Hayes, Michael Y. MSCI Inc.
Mahmoud, Ola MSCI Inc.
Posted:
03 Feb 11
Last Revised:
17 Aug 12
117(120,441)
empirical study, shortfall, optimization, Barra, Extreme Risk minimum, shortfall minimum, variance portfolios, US, UK, Japanese equity markets, Barra, Style Factors, Value Growth Momentum measures overall asymmetry
25.
Anderson, Robert M. University of California, Berkeley - Department of Economics
Bianchi, Stephen W. University of California, Berkeley
Goldberg, Lisa R. University of California at Berkeley
Posted:
16 Dec 12
Last Revised:
10 Feb 13
72(166,615)
Factor volatility, variance, statistical significance, leverage point, beta, OLS regression, median regression, t-statistic, incremental explanatory power, outlier, VIX, FVIX
26.
d'Orey, Patrick B MSCI Inc.
Goldberg, Lisa R. University of California at Berkeley
44(211,811)
Market Turmoil, Value Index, UK, Telecoms Industry, financial crisis, turnaround, MSCI, UK, Value Investable Market Index, MSCI, UK, Value, IMI, Barra, Extreme Risk, BxR model
27.
Cuffe, Stacy MSCI Inc.
Goldberg, Lisa R. University of California at Berkeley
Portfolio Management, Asset Allocation, Impact on Portfolio Returns, Economic Analysis and Capital Market Expectations, Macroeconomic Forecasts in Determining Asset Class/Security Return Expectations, Risk Management, Risk Management, Portfolio Risk Management
28.
Goldberg, Lisa R. University of California at Berkeley
Kamat, Rajnish affiliation not provided to SSRN
Poduri, Vijay Charles Schwab Investment Management
Credit spread, structural model, risk factor, calibration parameter, firm value, firm leverage, distance to effective default, bounded influence estimation, inversion-minimization algorithm
29.
Goldberg, Lisa R. University of California at Berkeley
Giesecke, Kay Stanford University - Management Science & Engineering
Credit risk, leverage ratio, incomplete information model, Modigliani-Miller theorem, Merton model
30.
Goldberg, Lisa R. University of California at Berkeley
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