Robert Brooks

Financial Risk Management LLC

President

13157 Martin Road Spur

Northport, AL AL 35473

United States

http://www.robertebrooks.org

SCHOLARLY PAPERS

28

DOWNLOADS
Rank 12,356

SSRN RANKINGS

Top 12,356

in Total Papers Downloads

6,674

SSRN CITATIONS
Rank 49,821

SSRN RANKINGS

Top 49,821

in Total Papers Citations

8

CROSSREF CITATIONS

6

Scholarly Papers (28)

1.

A Life Cycle View of Enterprise Risk Management: The Case of Southwest Airlines Jet Fuel Hedging

Journal of Financial Education, Vol. 38, No. 3/4, 2012.
Number of pages: 17 Posted: 20 Feb 2010 Last Revised: 03 Nov 2012
Robert Brooks
Financial Risk Management LLC
Downloads 931 (42,360)
Citation 2

Abstract:

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Hedging, Jet Fuel, Risk Management

2.

A General Option Valuation Approach to Discount for Lack of Marketability

Number of pages: 32 Posted: 15 Jan 2014 Last Revised: 08 Nov 2014
Robert Brooks
Financial Risk Management LLC
Downloads 824 (50,138)

Abstract:

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Discount for lack of marketability, derivatives, put options, lookback options

3.

Basis Options Delta Hedging

Number of pages: 21 Posted: 06 Oct 2005
Robert Brooks and Brandon N. Cline
Financial Risk Management LLC and Mississippi State University
Downloads 630 (71,392)

Abstract:

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Options, Options on Futures Spreads, Lognormal, Normal

4.

Structured Risk Assessment and Value-at-Risk

UA EFLS Working Paper No. 02-06-01
Number of pages: 23 Posted: 23 Jan 2003
Financial Risk Management LLC, Mississippi State University - Department of Marketing, Quantitative Analysis and Business Law and Rutgers, The State University of New Jersey - Management Science & Information Systems
Downloads 629 (71,510)

Abstract:

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Risk management, value-at-risk, real-time assessment

5.

Private Information and the Exercise of Executive Stock Options

Number of pages: 45 Posted: 28 Sep 2005 Last Revised: 30 Oct 2007
Robert Brooks, Don M. Chance and Brandon N. Cline
Financial Risk Management LLC, Louisiana State University, Baton Rouge - Department of Finance and Mississippi State University
Downloads 576 (79,773)
Citation 7

Abstract:

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Executive stock options, stock options, option exercises, private information, executive compensation, insider trading, insider information

6.

Option Valuation Based on Arithmetic Brownian Motion: Justification and Implementation Issues

Number of pages: 26 Posted: 05 Mar 2013 Last Revised: 03 Nov 2016
Robert Brooks and Joshua Andrew Brooks
Financial Risk Management LLC and Lander University
Downloads 421 (117,242)
Citation 2

Abstract:

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Arithmetic Brownian Motion, Geometric Brownian Motion, Option Valuation, Black-Scholes-Merton option pricing model

7.

Information in the Term Structure of Libor Interest Rates

Number of pages: 28 Posted: 29 Sep 2005
Robert Brooks and Brandon N. Cline
Financial Risk Management LLC and Mississippi State University
Downloads 351 (143,148)

Abstract:

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Term structure, expectations hypothesis, Eurodollar futures, LIBOR

History of the Forecasters: An Assessment of the Semi-Annual U.S. Treasury Bond Yield Forecast Survey as Reported in the Wall Street Journal

UA Finance Working Paper No. 03-06-01
Number of pages: 12 Posted: 01 Dec 2003
Robert Brooks and J. Brian Gray
Financial Risk Management LLC and University of Alabama
Downloads 324 (154,963)
Citation 1

Abstract:

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Economic forecasts, Interest Rates, Treasury bonds

Abstract:

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Economic forecasts, Interest Rates, Treasury bonds

9.

The Cross-Section of Individual Equity Option Returns

Number of pages: 114 Posted: 12 Oct 2021 Last Revised: 11 Apr 2022
Mobina Shafaati, Don M. Chance and Robert Brooks
Old Dominion University, Louisiana State University, Baton Rouge - Department of Finance and Financial Risk Management LLC
Downloads 307 (165,084)

Abstract:

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Individual equity options, cross-section of delta-hedged option returns, big data, shrinkage, model uncertainty, model averaging *

10.

A Distributional Approach for Single Factor Option Valuation Models

Number of pages: 43 Posted: 14 Oct 2002
Robert Brooks
Financial Risk Management LLC
Downloads 250 (203,590)

Abstract:

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Options, option valuation models, derivatives securities

11.

The Securities Litigation Reform and its Impact on Analyst Research

Number of pages: 51 Posted: 20 Oct 2004
Robert Brooks and Huabing Barbara Wang
Financial Risk Management LLC and University of Alabama - Department of Economics, Finance and Legal Studies
Downloads 203 (247,981)
Citation 2

Abstract:

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Securities Litigation, Safe Harbor Provisions, Analysts Recommendations

12.

Covered Calls on the S&P 500: Resolution of an Anomaly

Number of pages: 45 Posted: 20 Mar 2018
Robert Brooks, Don M. Chance and Michael Lee Hemler
Financial Risk Management LLC, Louisiana State University, Baton Rouge - Department of Finance and University of Notre Dame - Department of Finance (deceased)
Downloads 201 (250,309)

Abstract:

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options, call options, covered call writing, performance evaluation, alpha

13.

Ethics in Academic Finance: A Normative Apology

Number of pages: 25 Posted: 12 Jul 2013 Last Revised: 08 Nov 2014
Robert Brooks
Financial Risk Management LLC
Downloads 176 (281,687)

Abstract:

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Ethics, Finance, Philosophy, Worldviews

14.

Evidence of Arbitrage Trading Activity: The Case of Chinese Copper Futures Contracts

Number of pages: 38 Posted: 04 Dec 2020
Robert Brooks and Yang Li
Financial Risk Management LLC and China Women's University-Department of Accounting,Corporate Finance and Securities Investment
Downloads 168 (293,172)

Abstract:

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Futures Contracts, Arbitrage, Copper, China, Derivatives

15.

A Comparison of the Information in the LIBOR and CMT Term Structures of Interest Rates

Number of pages: 41 Posted: 12 Feb 2014
Robert Brooks, Brandon N. Cline and Walter Enders
Financial Risk Management LLC, Mississippi State University and University of Alabama - Department of Economics, Finance and Legal Studies
Downloads 147 (327,704)

Abstract:

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Term Structure, Expectations Hypothesis, LIBOR, Forward Rates

16.

Some Subtle Relationships and Results in Option Pricing

Journal of Applied Finance (Formerly Financial Practice and Education), Vol. 24, No. 1, 2014
Number of pages: 17 Posted: 31 Oct 2015
Robert Brooks and Don M. Chance
Financial Risk Management LLC and Louisiana State University, Baton Rouge - Department of Finance
Downloads 117 (389,891)

Abstract:

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17.

Smooth Volatility Shifts and Spillovers in U.S. Crude Oil and Corn Futures Markets

Journal of Empirical Finance, Vol. 38, Part A, September 2016, Pages 22-36, ISSN 0927-5398, DOI 10.1016/j.jempfin.2016.05.005.
Number of pages: 33 Posted: 12 Dec 2016
Pavel Teterin, Robert Brooks and Walter Enders
University of Toledo - College of Business and Innovation, Financial Risk Management LLC and University of Alabama - Department of Economics, Finance and Legal Studies
Downloads 116 (392,248)
Citation 1

Abstract:

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corn futures, crude oil futures, multivariate GARCH, volatility breaks, Fourier flexible form, variance impulse response function

18.

Samuelson Hypothesis of the Maturity Effect and Carry Arbitrage: U. S. and China

Number of pages: 51 Posted: 13 Dec 2018
Robert Brooks
Financial Risk Management LLC
Downloads 102 (430,140)

Abstract:

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Samuelson Hypothesis, Carry Arbitrage, Maturity Effect, Volatility

An Enterprise Perspective of Performance Attribution: Introducing the Keel Model

Number of pages: 44 Posted: 23 May 2015
Robert Brooks
Financial Risk Management LLC
Downloads 91 (467,608)

Abstract:

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Enterprise risk management, Performance attribution, Return decomposition, Term structure of interest rates, Duration, Convexity

An Enterprise Perspective of Performance Attribution: Introducing the Keel Model

Journal of Risk, Vol. 20, No. 2, 2017
Number of pages: 32 Posted: 07 Dec 2017
Robert Brooks
Financial Risk Management LLC
Downloads 1 (1,062,877)
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Abstract:

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enterprise risk management, performance attribution, return decomposition, term structure of interest rates, duration, convexity

20.

Compound Option Valuation with Maturity Varying Volatility, Maturity Varying Yields, and Maturity Varying Interest Rates

Number of pages: 99 Posted: 03 Oct 2019
Robert Brooks
Financial Risk Management LLC
Downloads 84 (487,152)

Abstract:

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compound options, options, geometric Brownian motion, maturity varying parameters

21.

The Cross-Section of Option Returns: Deriving Inferences in Sparse Models

Number of pages: 67 Posted: 29 Jun 2023
Mobina Shafaati, Don M. Chance and Robert Brooks
Old Dominion University, Louisiana State University, Baton Rouge - Department of Finance and Financial Risk Management LLC
Downloads 25 (806,735)

Abstract:

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Cross-section of delta-hedged option returns, sparse models, model selection uncertainty, Bootstrap, post-selection estimation

22.

Bond Holding Period Return Decomposition

Posted: 21 May 2019
Robert Brooks
Financial Risk Management LLC

Abstract:

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Bonds, Return decomposition, Term structure of interest rates, Duration, Convexity

23.

Pricing of the Option to Delay the Purchase of Extended Service Contracts

Journal of Retailing and Consumer Services, Vol. 3, No. 4, October 1996
Posted: 12 Mar 2012
Robert Brooks and Darin W. White
Financial Risk Management LLC and Samford University - Brock School of Business

Abstract:

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Extended Service Contracts, Warranties, Automotive Retailing

24.

Samuelson Hypothesis and Carry Arbitrage

Journal of Derivatives, Vol. 20, No. 2, 2012
Posted: 15 Mar 2010 Last Revised: 03 Nov 2012
Robert Brooks
Financial Risk Management LLC

Abstract:

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Samuelson hypothesis, carry arbitrage, futures markets

25.

The Pricing of Index Options When the Underlying Assets All Follow a Lognormal Diffusion

Posted: 18 Jul 2001
Robert Brooks, Jon Corson and J. Donal Wales
Financial Risk Management LLC, University of Alabama - Department of Mathematics and affiliation not provided to SSRN

Abstract:

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26.

Components of the Bid-Ask Spread of Default-Risky Interest Rate Swaps

Posted: 12 May 2000
Robert Brooks and Davinder K. Malhotra
Financial Risk Management LLC and Thomas Jefferson University

Abstract:

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27.

A Lattice Approach to Interest Rate Spread Options

JOURNAL OF FINANCIAL ENGINEERING, Vol 4 No 3, September 1995
Posted: 28 Apr 1998
Robert Brooks
Financial Risk Management LLC

Abstract:

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28.

Computing Yields on Enhanced CDS

J. OF FINANCIAL SERVICES REVIEW, Vol. 5 No. 1, 1996
Posted: 10 Oct 1996
Robert Brooks
Financial Risk Management LLC

Abstract:

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