Michael B. Imerman

Lehigh University

Assistant Professor

Bethlehem, PA 18015

United States

Princeton University

Postdoctoral Research Associate

Sherrerd Hall

Princeton, NJ 08544

United States

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 18,365

SSRN RANKINGS

Top 18,365

in Total Papers Downloads

2,059

CITATIONS

0

Scholarly Papers (5)

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
Gabelli School of Business, Fordham University, Gabelli School of Business, Fordham University, Lehigh University and Rutgers Business School: Newark and New Brunswick
Downloads 814 (13,683)

Abstract:

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

2.

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, Lehigh University and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 274 (52,835)

Abstract:

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

3.

Structural Credit Risk Models: Endogenous versus Exogenous Default

Number of pages: 29 Posted: 16 Sep 2012
Michael B. Imerman
Lehigh University
Downloads 269 (70,997)

Abstract:

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

4.

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

Number of pages: 65 Posted: 01 Apr 2012
Michael B. Imerman
Lehigh University
Downloads 85 (242,879)

Abstract:

5.

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, Lehigh University and Wright State University
Downloads 45 (297,860)

Abstract:

Other Papers (1)

Total Downloads: 15    Citations: 0
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
Lehigh University
Downloads 0 (242,879)

Abstract: