Peter H. Ritchken

Case Western Reserve University - Department of Banking & Finance

10900 Euclid Ave.

Cleveland, OH 44106-7235

United States

SCHOLARLY PAPERS

22

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CITATIONS
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108

Scholarly Papers (22)

1.

On Pricing and Hedging in the Swaption Market: How Many Factors, Really?

Number of pages: 41 Posted: 03 Oct 2001
Rong Fan, Anurag Gupta and Peter H. Ritchken
Gifford Fong Associates, Case Western Reserve University - Department of Banking & Finance and Case Western Reserve University - Department of Banking & Finance
Downloads 820 (21,840)
Citation 8

Abstract:

Interest Rate Derivatives, Swaptions, Volatility Structures, Pricing, Hedging

2.

Jump Starting GARCH: Pricing and Hedging Options With Jumps in Returns and Volatilities

FRB of Cleveland Working Paper No. 06-19, AFA 2004 San Diego Meetings
Number of pages: 45 Posted: 14 Dec 2003 Last Revised: 30 Oct 2007
Jin-Chuan Duan, Peter H. Ritchken and Zhiqiang Sun
National University of Singapore (NUS) - Business School and Risk Management Institute, Case Western Reserve University - Department of Banking & Finance and National City Bank
Downloads 643 (29,004)
Citation 13

Abstract:

GARCH option models, stochastic volatility models with jumps, pricing and hedging options

3.

Predicting Credit Spreads

Number of pages: 54 Posted: 26 Jun 2007 Last Revised: 03 Nov 2008
Peter H. Ritchken, C. N. V. Krishnan and James B. Thomson
Case Western Reserve University - Department of Banking & Finance, Case Western Reserve University - Department of Banking & Finance and University of Akron
Downloads 568 (34,653)
Citation 5

Abstract:

Term Structure of Credit Spreads, Level, Slope, and Curvature of Credit Spreads, Forecasting Future Credit Spreads, Out of sample Predictions, Macro Variables, Firm Risk Variables

4.

Monitoring and Controlling Bank Risk: Does Risky Debt Help?

AFA 2004 San Diego Meetings; FRB of Cleveland Working Paper No. 0301
Number of pages: 44 Posted: 08 Mar 2004
C. N. V. Krishnan, Peter H. Ritchken and James B. Thomson
Case Western Reserve University - Department of Banking & Finance, Case Western Reserve University - Department of Banking & Finance and University of Akron
Downloads 523 (40,549)
Citation 21

Abstract:

Bank risk, Estimation of credit spread Curves, Determinants of credit spread changes

5.

Correlation Risk

Number of pages: 31 Posted: 07 Nov 2007 Last Revised: 03 Nov 2008
C. N. V. Krishnan, Ralitsa Petkova and Peter H. Ritchken
Case Western Reserve University - Department of Banking & Finance, Case Western Reserve University - Department of Banking & Finance and Case Western Reserve University - Department of Banking & Finance
Downloads 462 (45,655)
Citation 6

Abstract:

Asset Pricing, Correlation, Time-varying Correlation, Price of Correlation Risk

6.

On Correlation and Default Clustering in Credit Markets

AFA 2010 Atlanta Meetings Paper
Number of pages: 52 Posted: 17 Mar 2009 Last Revised: 27 Oct 2009
Antje Berndt, Peter H. Ritchken and Zhiqiang Sun
Australian National University, Case Western Reserve University - Department of Banking & Finance and National City Bank
Downloads 444 (48,681)
Citation 2

Abstract:

Markovian HJM Models, Credit Derivatives, Default Clustering, Counterparty Credit Risk

Estimating Real and Nominal Term Structures Using Treasury Yields, Inflation, Inflation Forecasts, and Inflation Swap Rates

Number of pages: 52 Posted: 17 Mar 2009
Joseph G. Haubrich, Peter H. Ritchken and George Pennacchi
Federal Reserve Bank of Cleveland, Case Western Reserve University - Department of Banking & Finance and University of Illinois
Downloads 281 (86,927)
Citation 9

Abstract:

Term Structure, Inflation-Indexed Securities

Estimating Real and Nominal Term Structures Using Treasury Yields, Inflation, Inflation Forecasts, and Inflation Swap Rates

FRB of Cleveland Working Paper No. 08-10
Number of pages: 53 Posted: 18 Apr 2012
Joseph G. Haubrich, George Pennacchi and Peter H. Ritchken
Federal Reserve Bank of Cleveland, University of Illinois and Case Western Reserve University - Department of Banking & Finance
Downloads 99 (221,378)
Citation 9

Abstract:

Term structure of interest rates, infl ation expectations, asset pricing

Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets

Weatherhead School of Management Finance Department Working Paper
Number of pages: 34 Posted: 15 Aug 2002
Rong Fan, Anurag Gupta and Peter H. Ritchken
Gifford Fong Associates, Case Western Reserve University - Department of Banking & Finance and Case Western Reserve University - Department of Banking & Finance
Downloads 330 (72,535)
Citation 23

Abstract:

Interest Rate Derivatives, Swaptions, Delta and Gamma Neutral Hedging, Unspanned Stochastic Volatility, Spanning

Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets

Journal of Finance, Vol. 58, pp. 2219-2248, October 2003
Posted: 09 Oct 2003
Rong Fan, Anurag Gupta and Peter H. Ritchken
Gifford Fong Associates, Case Western Reserve University - Department of Banking & Finance and Case Western Reserve University - Department of Banking & Finance

Abstract:

9.

Inflation Expectations, Real Rates, and Risk Premia: Evidence from Inflation Swaps

FRB of Cleveland Working Paper No. 1107
Number of pages: 58 Posted: 14 Mar 2011
Joseph G. Haubrich, George Pennacchi and Peter H. Ritchken
Federal Reserve Bank of Cleveland, University of Illinois and Case Western Reserve University - Department of Banking & Finance
Downloads 197 (108,557)
Citation 7

Abstract:

Term structure of interest rates, infl ation expectations, asset pricing

Getting the Most Out of a Mandatory Subordinated Debt Requirement

FRB of Cleveland Working Paper No. 02-14
Number of pages: 36 Posted: 27 Apr 2002 Last Revised: 18 Nov 2007
Rong Fan, Joseph G. Haubrich, Peter H. Ritchken and James B. Thomson
Gifford Fong Associates, Federal Reserve Bank of Cleveland, Case Western Reserve University - Department of Banking & Finance and University of Akron
Downloads 128 (182,847)
Citation 3

Abstract:

subordinated debt, banks, asset pricing

Getting the Most Out of a Mandatory Subordinated Debt Requirement

Journal of Financial Services Research, Vol. 24, No. 2-3, pp. 149-179
Posted: 17 Feb 2004
Rong Fan, Joseph G. Haubrich, James B. Thomson and Peter H. Ritchken
Gifford Fong Associates, Federal Reserve Bank of Cleveland, University of Akron and Case Western Reserve University - Department of Banking & Finance

Abstract:

Subordinated debt, banks, asset pricing

11.

Contracting with Asymmetric Demand Information in Supply Chains

Number of pages: 21 Posted: 26 Nov 2010 Last Revised: 15 Nov 2012
Volodymyr Babich, Hantao Li, Peter H. Ritchken and Yunzeng Wang
Georgetown University, Case Western Reserve University - Weatherhead School of Management, Case Western Reserve University - Department of Banking & Finance and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 71 (255,972)

Abstract:

contract design, screening, buyback contract

12.

Approximating Garch-Jump Models, Jump-Diffusion Processes, and Option Pricing

Mathematical Finance, Vol. 16, No. 1, pp. 21-52, January 2006
Number of pages: 32 Posted: 21 Jun 2006
Jin-Chuan Duan, Peter H. Ritchken and Zhiqiang Sun
National University of Singapore (NUS) - Business School and Risk Management Institute, Case Western Reserve University - Department of Banking & Finance and National City Bank
Downloads 26 (403,243)
Citation 12

Abstract:

13.

Competition and Diversification Effects in Supply Chains with Supplier Default Risk

Manufacturing & Service Operations Management
Posted: 22 May 2006
Volodymyr Babich, Peter H. Ritchken and Apostolos Burnetas
Georgetown University, Case Western Reserve University - Department of Banking & Finance and University of Athens - Faculty of Mathematics

Abstract:

Resilient supply chains, supply risk, supply disruptions, competition

14.

The Asset Flexibility Option and the Value of Deposit Insurance

Research in Finance, Vol. 13, 1995, Bank Structure and Competition: Rebuilding Banking, Federal Reserve Bank of Chicago, pp. 153-176, 1991
Posted: 16 Jun 2003
Case Western Reserve University - Department of Banking & Finance, University of Tennessee, Knoxville - Department of Finance, University of Akron and Portunes LLC

Abstract:

deposit insurance, regulation, banks, options

On Flexibility, Capital Structure, and Investment Decisions for the Insured Bank

Journal of Banking and Finance, Vol. 27
Posted: 05 May 2003
Case Western Reserve University - Department of Banking & Finance, University of Tennessee, Knoxville - Department of Finance, University of Akron and Portunes LLC

Abstract:

deposit insurance, synamic model, volatility, capital structure

On Flexibility, Capital Structure, and Investment Decisions for the Insured Bank

Posted: 05 May 2003
Case Western Reserve University - Department of Banking & Finance, University of Tennessee, Knoxville - Department of Finance, University of Akron and Portunes LLC

Abstract:

deposit insurance, dynamic model, volatility, capital structure

16.

On Pricing Kernels and Finite State Variable Heath Jarrow Morton Models

REVIEW OF DERIVATIVES RESEARCH, Vol. 1 No. 1
Posted: 12 May 2000
George Pennacchi, Peter H. Ritchken and L. Sankarasubramanian
University of Illinois, Case Western Reserve University - Department of Banking & Finance and affiliation not provided to SSRN

Abstract:

17.

Empirical Tests of Two-State-Variable Heath-Jarrow-Morton Models

J. OF MONEY, CREDIT, AND BANKING, August 1996
Posted: 26 Oct 1999
Robert R. Bliss and Peter H. Ritchken
Wake Forest University - Schools of Business and Case Western Reserve University - Department of Banking & Finance

Abstract:

18.

Option Pricing Under Decreasing Absolute Risk Aversion

Posted: 10 Sep 1999
Kamlesh Mathur and Peter H. Ritchken
affiliation not provided to SSRN and Case Western Reserve University - Department of Banking & Finance

Abstract:

19.

Lattice Models for Pricing American Interest Rate Claims

JOURNAL OF FINANCE, Vol 50 No 2, June 1995
Posted: 20 Dec 1998
Anlong Li, Peter H. Ritchken and L. Sankarasubramanian
Portunes LLC, Case Western Reserve University - Department of Banking & Finance and affiliation not provided to SSRN

Abstract:

20.

The Importance of Forward Rate Volatility Structures in Pricing Interest Rate-Sensitive Claims

JOURNAL OF DERIVATIVES, Fall 1995
Posted: 22 Aug 1998
Peter H. Ritchken and L. Sankarasubramanian
Case Western Reserve University - Department of Banking & Finance and affiliation not provided to SSRN

Abstract:

21.

On Pricing Barrier Options

THE J. OF DERIVATIVES, Vol. 3 No. 2, Winter 1995
Posted: 13 Jul 1998
Peter H. Ritchken
Case Western Reserve University - Department of Banking & Finance

Abstract:

22.

Empirical Tests of Two State-Variable HJM Models

WP 95-13
Posted: 28 Jun 1998
Robert R. Bliss and Peter H. Ritchken
Wake Forest University - Schools of Business and Case Western Reserve University - Department of Banking & Finance

Abstract: