Nick Costanzino

Barclays Capital

745 7th Ave

Floor 2

New York, NY

United States

New York University - Department of Finance and Risk Enginieering

Brooklyn, NY 11201

United States

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 18,506

SSRN RANKINGS

Top 18,506

in Total Papers Downloads

2,884

SSRN CITATIONS
Rank 35,668

SSRN RANKINGS

Top 35,668

in Total Papers Citations

4

CROSSREF CITATIONS

16

Scholarly Papers (8)

1.

Backtesting General Spectral Risk Measures with Application to Expected Shortfall

Number of pages: 11 Posted: 24 Oct 2014 Last Revised: 22 Feb 2015
Nick Costanzino and Mike Curran
Barclays Capital and Independent
Downloads 1,252 (17,401)
Citation 9

Abstract:

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Expected Shortfall, Coverage Test, Back Testing

2.

Empirical Performance of Backtesting Methods for Expected Shortfall

Number of pages: 18 Posted: 15 Jun 2015 Last Revised: 05 Apr 2016
Simon Clift, Nick Costanzino and Mike Curran
Independent, Barclays Capital and Independent
Downloads 517 (59,302)
Citation 2

Abstract:

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3.

Closed-Form Asymptotics for Local Volatility Models

Number of pages: 30 Posted: 12 Oct 2009 Last Revised: 23 Apr 2010
Pennsylvania State University - Department of Mathematics, Barclays Capital, Pennsylvania State University, Pennsylvania State University, University Park and Department of Mathematics
Downloads 309 (108,482)

Abstract:

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derivative pricing, local volatility models, closed form solutions, asymptotics

4.

Bond and CDS Pricing with Recovery Risk I: The Stochastic Recovery Merton Model

Number of pages: 32 Posted: 03 Jan 2015 Last Revised: 01 Mar 2015
Albert Cohen and Nick Costanzino
Michigan State University - Department of Mathematics and Barclays Capital
Downloads 292 (115,330)
Citation 4

Abstract:

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Recovery Risk, Structural Models, Merton Model

5.

Bond and CDS Pricing with Recovery Risk II: The Stochastic Recovery Black-Cox Model

Number of pages: 36 Posted: 18 Mar 2015 Last Revised: 25 Jan 2017
Albert Cohen and Nick Costanzino
Michigan State University - Department of Mathematics and Barclays Capital
Downloads 180 (184,552)
Citation 2

Abstract:

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Stochastic Recovery, Recovery Risk, Structural Models, Black-Cox Model

6.

A Simple Traffic Light Approach to Backtesting Expected Shortfall

Number of pages: 7 Posted: 09 May 2015 Last Revised: 28 Dec 2017
Nick Costanzino and Mike Curran
Barclays Capital and Independent
Downloads 164 (199,945)
Citation 5

Abstract:

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7.

How to Price Recovery Risk

CreditFlux, April 2015
Number of pages: 2 Posted: 27 May 2015 Last Revised: 13 Jun 2015
Albert Cohen and Nick Costanzino
Michigan State University - Department of Mathematics and Barclays Capital
Downloads 139 (229,228)

Abstract:

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8.

A General Framework for Incorporating Stochastic Recovery in Structural Models of Credit Risk

Risks, 2017, 5, 65
Number of pages: 19 Posted: 16 Aug 2018
Albert Cohen and Nick Costanzino
Michigan State University - Department of Mathematics and Barclays Capital
Downloads 31 (507,576)

Abstract:

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