Patrick Christian Kiefer

University of California, Los Angeles (UCLA) - Anderson School of Management

110 Westwood Plaza

Los Angeles, CA 90095-1481

United States

SCHOLARLY PAPERS

4

DOWNLOADS

258

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Dynamic Hedging, Expected Returns and Factor Timing

Number of pages: 74 Posted: 27 Dec 2017 Last Revised: 13 May 2018
Patrick Christian Kiefer
University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 258 (224,920)

Abstract:

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Forecasting, Time-varying Risk, Fama-French Factors, Markov Process, Spectral Gap, Orthogonal Decomposition, Fund Separation, VAR, State-Space Models, Performance Evaluation, Machine Learning

2.

Assessing Mutual Fund Performance in China

Journal of Portfolio Management, Vol. 46, 2020, https://jpm.pm-research.com/content/46/5/118
Posted: 10 Mar 2020
Bradford Cornell, Jason C. Hsu, Jason C. Hsu, Patrick Christian Kiefer and Phillip Wool
Anderson Graduate School of Management, UCLA, Research AffiliatesRayliant Global Advisors, University of California, Los Angeles (UCLA) - Anderson School of Management and Rayliant Global Advisors

Abstract:

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China, Mutual Fund, Performance

3.

Liquidity and Counterparty Risk in OTC Markets

Posted: 20 May 2013 Last Revised: 08 Jan 2014
Patrick Christian Kiefer
University of California, Los Angeles (UCLA) - Anderson School of Management

Abstract:

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Search, OTC Markets, CDS, Credit Derivatives, Asset Pricing, Market Microstructure

4.

A Search-Based Pricing Model of Credit Default Swaps

Posted: 24 Nov 2010 Last Revised: 27 Jun 2013
Patrick Christian Kiefer
University of California, Los Angeles (UCLA) - Anderson School of Management

Abstract:

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Search Theory, Credit Defualt Swaps, Over the Counter Markets, Dynamic Equilibrium, Dynamic Programming, Derivatives, Systemic Risk, Counterparty Risk

Other Papers (2)

Total Downloads: 104
1.

Does Trading Affect Banks’ Role as Liquidity Providers?

Number of pages: 44 Posted: 12 Dec 2012 Last Revised: 08 Jul 2016
Priyank Gandhi and Patrick Christian Kiefer
Rutgers University, New Brunswick and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 85 (291,684)

Abstract:

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Liquidity risk; Credit supply; Costly external finance; Bank regulation

2.

Liquidity Management and Real Credit Supply: Evidence from Bank Participation in Financial Markets

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 36 Posted: 24 Aug 2014
Priyank Gandhi and Patrick Christian Kiefer
Rutgers University, New Brunswick and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 19

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