Michael B. Imerman

Claremont Colleges - Peter F. Drucker Graduate School of Management

The Drucker School of Management

1021 North Dartmouth Avenue

Claremont, CA 91711

United States

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 17,147

SSRN RANKINGS

Top 17,147

in Total Papers Downloads

3,708

SSRN CITATIONS

4

CROSSREF CITATIONS

7

Scholarly Papers (9)

1.

Liquidity, Leverage, and Lehman: A Structural Analysis of Financial Institutions in Crisis

Journal of Banking and Finance, August 2014, Volume 45: pp. 117-139, Fordham University Schools of Business Research Paper No. 2279686
Number of pages: 77 Posted: 16 Jun 2013 Last Revised: 07 Mar 2015
Fordham University - Gabelli School of Business, Rutgers University, Newark, School of Business-Newark, Department of Finance & EconomicsFordham University - Gabelli School of Business, Claremont Colleges - Peter F. Drucker Graduate School of Management and Rutgers Business School: Newark and New Brunswick
Downloads 1,373 (17,870)
Citation 4

Abstract:

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Structural credit risk models, Financial crisis, Risk management, Lehman Brothers, Default probability, Liquidity

2.

A Conceptual Framework for Fintech Innovation

Number of pages: 14 Posted: 25 Mar 2020
Michael B. Imerman and Frank J. Fabozzi
Claremont Colleges - Peter F. Drucker Graduate School of Management and EDHEC Business School
Downloads 660 (50,547)
Citation 1

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FinTech, Digital Transformation, FinTech Ecosystem, Financial Innovation, Technological Innovation, FinTech Revolution

3.

What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk?

Journal of Business and Economic Statistics (Forthcoming)
Number of pages: 58 Posted: 17 Mar 2013 Last Revised: 03 Feb 2016
Jianqing Fan, Michael B. Imerman and Wei Dai
Princeton University - Bendheim Center for Finance, Claremont Colleges - Peter F. Drucker Graduate School of Management and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 542 (64,680)
Citation 6

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volatility risk premium, integrated volatility, ultra-high-frequency data, microstructure noise, Fourier transform, tail risk, Big Data risk analytics

4.

Recent Developments in the FinTech Industry

Forthcoming, Journal of Financial Management, Markets and Institutions
Number of pages: 36 Posted: 15 Apr 2020 Last Revised: 29 Apr 2020
Boston College - Carroll School of Management, Claremont Colleges - Peter F. Drucker Graduate School of Management, University of Ottawa - Telfer School of Management and Lehigh University
Downloads 453 (80,656)

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FinTech; Financial Innovation; Banking the Unbanked; Venture Capital Finance

5.

Structural Credit Risk Models: Endogenous versus Exogenous Default

Number of pages: 29 Posted: 16 Sep 2012
Michael B. Imerman
Claremont Colleges - Peter F. Drucker Graduate School of Management
Downloads 441 (83,239)

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Structural credit risk models, Default probability, Bond pricing, Credit spreads

6.

Self-Reporting Under SEC Reg AB and Transparency in Securitization: Evidence from Loan-Level Disclosure of Risk Factors in RMBS Deals

The Journal of Risk Finance, 2014, Volume 15(4): pp. 334-384
Number of pages: 35 Posted: 20 Aug 2014 Last Revised: 03 Feb 2016
Joseph R. Mason, Michael B. Imerman and Hong Lee
Louisiana State University - Ourso School of Business, Claremont Colleges - Peter F. Drucker Graduate School of Management and Wright State University
Downloads 89 (354,827)
Citation 1

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7.

Pandemic Exposure, Credit Market Reactions, and Corporate Default Risk

Number of pages: 60 Posted: 12 Oct 2020 Last Revised: 01 Jun 2021
Michael B. Imerman, Xiaoxia Ye and Ran Zhao
Claremont Colleges - Peter F. Drucker Graduate School of Management, University of Liverpool Management School and Claremont Graduate University, Drucker School of Management
Downloads 61 (437,977)

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Pandemic risk, informational friction, economic shock, credit default swap spread, default risk

8.

When Enough Is Not Enough: Bank Capital and the Too-Big-To-Fail Subsidy

Number of pages: 64 Posted: 15 Jun 2017 Last Revised: 19 Jun 2019
Michael B. Imerman
Claremont Colleges - Peter F. Drucker Graduate School of Management
Downloads 61 (437,977)
Citation 1

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Bank Capital, Too-Big-To-Fail, TARP, Structural Credit Risk Model, Bank Default Probability

9.

Price Discovery in the Residential Mortgage-backed Security, Credit Default Swap, and ABX Markets

Number of pages: 38 Posted: 27 Nov 2017 Last Revised: 21 Jan 2020
Claremont Colleges - Peter F. Drucker Graduate School of Management, Louisiana State University - Ourso School of Business, Louisiana State University and University of North Texas, Ryan College of Business, Department of Finance, Insurance, Real Estate and Law
Downloads 28 (588,785)

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Mortgage-backed Securities; Credit Default Swaps, Index Securities, Price Discovery, Information Efficiency, Credit Crisis

Other Papers (1)

Total Downloads: 19
1.

When Enough is Not Enough: Structural Credit Risk Based Estimation of Bank Capital

Number of pages: 77 Posted: 15 Mar 2012
Michael B. Imerman
Claremont Colleges - Peter F. Drucker Graduate School of Management
Downloads 19 (244,170)

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