John Huss

AQR Capital Management, LLC

Greenwich, CT

United States

SCHOLARLY PAPERS

2

DOWNLOADS
Rank 16,093

SSRN RANKINGS

Top 16,093

in Total Papers Downloads

2,956

CITATIONS
Rank 27,788

SSRN RANKINGS

Top 27,788

in Total Papers Citations

21

Scholarly Papers (2)

1.
Downloads 2,836 ( 3,980)
Citation 22

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 54 Posted: 28 Jan 2016 Last Revised: 22 Mar 2017
Duke University - Finance, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 2,833 (3,898)
Citation 10

Abstract:

Loading...

Market and volatility risk, high-frequency data, realized volatility, risk modeling and forecasting, volatility trading, risk targeting, realized utility

Risk Everywhere: Modeling and Managing Volatility

CEPR Discussion Paper No. DP12687
Number of pages: 57 Posted: 14 Feb 2018
Duke University - Finance, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3 (655,777)
Citation 2
  • Add to Cart

Abstract:

Loading...

high-frequency data, Market and volatility risk, realized utility, realized volatility, risk modeling and forecasting, risk targeting, volatility trading

2.

Risk Parity is Not Short Volatility (Not That There's Anything Wrong with Short Volatility)

Number of pages: 55 Posted: 16 Aug 2019
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 120 (234,833)

Abstract:

Loading...

Risk Parity; Volatility Control; Volatility; Short Volatility; Volatility Risk Premium; Variance Risk Premium; Options; Hedging