Wenbo Cao

Standard & Poor's - Quantitative Analytics

55 Water Street

New York, NY 10041

United States

SCHOLARLY PAPERS

8

DOWNLOADS

621

CITATIONS

8

Scholarly Papers (8)

1.

Estimating Flexible, Fat-Tailed Conditional Asset Return Distributions

Number of pages: 44 Posted: 07 Jan 2011 Last Revised: 10 Oct 2012
TIAA-CREF, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics
Downloads 187 (160,652)
Citation 4

Abstract:

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Minimum Relative U−Entropy, Conditional Probability Distribution, Fat-tailed, Power-Law Distribution, Heteroskedastic, Financial Data, Asset Returns

2.

Toward More Accurate Portfolio Modeling, with Equity and Credit Risk Applications

Number of pages: 22 Posted: 08 Nov 2011 Last Revised: 08 Mar 2012
Wenbo Cao and Craig A. Friedman
Standard & Poor's - Quantitative Analytics and TIAA-CREF
Downloads 109 (248,532)

Abstract:

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Large portfolio models, copula models, factor models, correlation, dependence, equity, credit, fat tails

3.

Imputation Via Copula and Transformation Methods, With Applications to Financial and Economic Data

Number of pages: 23 Posted: 09 Dec 2010
Standard & Poor's - Quantitative Analytics, TIAA-CREF, affiliation not provided to SSRN and Standard & Poor's - Quantitative Analytics
Downloads 101 (261,963)

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Missing Variable Imputation, Generalized T-Distribution, Arellano-Valle and Bolfarine’s Generalized T−Distribution, Copula, Mixture Models, Quadrature

4.

Engineering More Effective Weighted Monte Carlo Option Pricing Models

Number of pages: 37 Posted: 26 Dec 2012 Last Revised: 04 Jan 2013
TIAA-CREF, Standard & Poor's - Quantitative Analytics, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics
Downloads 84 (294,767)
Citation 2

Abstract:

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Minimum Relative U-Entropy, Weighted Monte Carlo, Option Pricing, Swaptions, Equity Index Options, Student-t distributions, Fat-tailed distributions

5.

Some Economically Meaningful Option Model Calibration Performance Measures

Number of pages: 18 Posted: 26 Dec 2012 Last Revised: 15 Jan 2014
TIAA-CREF, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics
Downloads 53 (376,502)
Citation 1

Abstract:

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Option Pricing Model, Performance Measure, Model Calibration, Calibration Error, Economic Consequences, Fat-Tailed, Asset Returns, Utility-based

6.

A Partially Isotropic Reduced Pca Model for Large Equity Portfolios

Number of pages: 14 Posted: 28 Mar 2012
TIAA-CREF, Standard & Poor's - Quantitative Analytics and affiliation not provided to SSRN
Downloads 46 (400,127)
Citation 1

Abstract:

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Multivariate Stock Return Distribution, Multivariate Probability Distribution, Copula, Principal Components, Partially Isotropic, Fat-tailed, Dependence, Ill-Conditioned

7.

Estimating Multivariate Conditional Models via Entropic Methods

Number of pages: 40 Posted: 15 Jan 2014 Last Revised: 10 May 2014
Wenbo Cao and Craig A. Friedman
Standard & Poor's - Quantitative Analytics and TIAA-CREF
Downloads 41 (418,414)

Abstract:

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Fat tails, multivariate conditional distributions, robustness, Tsallis, Renyi and power f-entropy, multivariate Pareto distribution, generalized t-distribution, block-coordinate descent, trust region

8.

Joint and Conditional Transformed T−Mixture Models with Applications to Financial and Economic Data

Journal of Risk, Vol. 11, No. 3, Spring 2009
Posted: 09 Dec 2010 Last Revised: 10 Feb 2011
TIAA-CREF, Standard & Poor's - Quantitative Analytics, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics

Abstract:

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Copula, Conditional Probability Density, Gaussian Mixture Model, t−Mixture Model, Multivariate Probability Distribution, Multivariate t−Distribution, Arellano-Valle and Bolfarine’s Generalized t−distribution, Fat-Tailed, Simulation, Stock Return Distribution, Financial Data, Economic Data