Michael B. Imerman

University of California, Irvine - Paul Merage School of Business

Irvine, CA 92697-3125

United States

  • University of California, Irvine - Paul Merage School of Business

SCHOLARLY PAPERS

9

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in Total Papers Downloads

4,772

SSRN CITATIONS

4

CROSSREF CITATIONS

1

Scholarly Papers (9)

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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
Ren-Raw Chen, N.K. Chidambaran, N.K. Chidambaran, Michael B. Imerman and Ben J. Sopranzetti
Fordham University - Gabelli School of Business, Rutgers University, Newark, School of Business-Newark, Department of Finance & EconomicsFordham University - Gabelli School of Business, University of California, Irvine - Paul Merage School of Business and Rutgers Business School: Newark and New Brunswick
Downloads 1,462 (20,393)
Citation 4

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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
University of California, Irvine - Paul Merage School of Business and EDHEC Business School
Downloads 1,345 (23,124)
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, University of California, Irvine - Paul Merage School of Business and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 570 (75,171)
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
Thomas J. Chemmanur, Michael B. Imerman, Harshit Rajaiya and Qianqian Yu
Boston College - Carroll School of Management, University of California, Irvine - Paul Merage School of Business, University of Ottawa - Telfer School of Management and Lehigh University
Downloads 539 (80,601)

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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
University of California, Irvine - Paul Merage School of Business
Downloads 525 (83,279)

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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, University of California, Irvine - Paul Merage School of Business and Wright State University
Downloads 111 (375,458)

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7.

Voluntary Disclosures and Climate Change Uncertainty: Evidence from CDS Premiums

Number of pages: 52 Posted: 25 Jul 2022 Last Revised: 06 Mar 2023
Michael B. Imerman, Xiaoxia Ye and Ran Zhao
University of California, Irvine - Paul Merage School of Business, University of Exeter Business School - Department of Finance and Claremont Graduate University, Drucker School of Management
Downloads 95 (417,283)

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Climate change, voluntary disclosure, climate risk, CDS premium, informational uncertainty

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
University of California, Irvine - Paul Merage School of Business
Downloads 70 (503,215)
Citation 2

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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
Michael B. Imerman, Joseph R. Mason, Rajesh Narayanan and Meredith E. Rhodes
University of California, Irvine - Paul Merage School of Business, 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 55 (562,669)

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

Other Papers (1)

Total Downloads: 26
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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
University of California, Irvine - Paul Merage School of Business
Downloads 26 (244,170)

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