Robert R. Bliss

Wake Forest University - Schools of Business

Professor

P.O. Box 7659

Winston-Salem, NC 27109-7285

United States

SCHOLARLY PAPERS

20

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CITATIONS
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in Total Papers Citations

277

Scholarly Papers (20)

1.

Derivatives Clearing and Settlement: A Comparison of Central Counterparties and Alternative Structures

Economic Perspectives, Vol. 30, No. 4, Fourth Quarter 2006
Number of pages: 8 Posted: 05 Dec 2006
Robert R. Bliss and Robert S. Steigerwald
Wake Forest University - Schools of Business and Federal Reserve Bank of Chicago
Downloads 2,602 (2,876)
Citation 13

Abstract:

central counterparty, CCP, clearing and settlement, risk management, Central Banks and Their Policies, Information and Market Efficiency, Event Studies, Government Policy and Regulation, Regulated Industries and Administrative Law, Transactional Relation

2.

Derivatives and Systemic Risk: Netting, Collateral, and Closeout

FRB of Chicago Working Paper No. 2005-03
Number of pages: 34 Posted: 28 May 2005
Robert R. Bliss and George G. Kaufman
Wake Forest University - Schools of Business and Loyola University Chicago
Downloads 1,455 (8,276)
Citation 20

Abstract:

systemic risk, derivatives, close-out netting

3.

The Elasticity of Interest Rate Volatility: Chan, Karolyi, Longstaff, and Sanders Revisited

Federal Reserve Bank of Atlanta WP 97-13a
Number of pages: 25 Posted: 02 Sep 1998
Robert R. Bliss and David C. Smith
Wake Forest University - Schools of Business and University of Virginia - McIntire School of Commerce
Downloads 760 (23,173)
Citation 11

Abstract:

4.

Option-Implied Risk Aversion Estimates: Robustness and Patterns

EFA 2002 Berlin Meetings Presented Paper; EFMA 2002 London Meetings, FRB Chicago Working Paper No. 2001-15
Number of pages: 40 Posted: 27 Feb 2002
Robert R. Bliss and Nikolaos Panigirtzoglou
Wake Forest University - Schools of Business and Queen Mary, University of London
Downloads 714 (25,270)
Citation 34

Abstract:

Risk aversion, implied probability density functions

5.

U.S. Corporate and Bank Insolvency Regimes: An Economic Comparison and Evaluation

FRB of Chicago Working Paper No. 2006-01
Number of pages: 42 Posted: 26 Jan 2006
Robert R. Bliss and George G. Kaufman
Wake Forest University - Schools of Business and Loyola University Chicago
Downloads 584 (28,617)
Citation 13

Abstract:

Bankruptcy, bank insolvency, insolvency resolution

6.

Market Discipline in the Governance of U.S. Bank Holding Companies: Monitoring vs. Influencing

EFA 2001 Barcelona Meetings, FRB Chicago Working Paper No. 2000-03
Number of pages: 41 Posted: 06 Jul 2001
Robert R. Bliss and Mark J. Flannery
Wake Forest University - Schools of Business and University of Florida - Department of Finance, Insurance and Real Estate
Downloads 572 (34,679)
Citation 67

Abstract:

7.

Netting, Financial Contracts, and Banks: The Economic Implications

FRB of Chicago Working Paper No. 2004-02
Number of pages: 45 Posted: 24 Feb 2004
Federal Reserve Bank of Chicago - Research Department, Wake Forest University - Schools of Business, Widener University - Commonwealth Law School and Loyola University Chicago
Downloads 526 (38,409)
Citation 7

Abstract:

8.

Bankruptcy Law and Large Complex Financial Organizations: A Primer

Economic Perspectives, First Quarter, 2003
Number of pages: 11 Posted: 12 Mar 2003
Robert R. Bliss
Wake Forest University - Schools of Business
Downloads 502 (40,701)
Citation 13

Abstract:

Testing the Stability of Implied Probability Density Functions

BOE Working Paper No. 114
Number of pages: 52 Posted: 22 Nov 2000
Robert R. Bliss and Nikolaos Panigirtzoglou
Wake Forest University - Schools of Business and Queen Mary, University of London
Downloads 487 (43,668)
Citation 70

Abstract:

Testing the Stability of Implied Probability Density Functions

Federal Reserve Bank of Chicago Working Paper No. 99-21
Posted: 13 Mar 2000
Robert R. Bliss and Nikolaos Panigirtzoglou
Wake Forest University - Schools of Business and Queen Mary, University of London

Abstract:

Bank Procyclicality, Credit Crunches, and Asymmetric Monetary Policy Effects: A Unifying Model

FRB of Chicago Working Paper No. 2002-18
Number of pages: 25 Posted: 30 Mar 2003
Robert R. Bliss and George G. Kaufman
Wake Forest University - Schools of Business and Loyola University Chicago
Downloads 408 (54,548)
Citation 8

Abstract:

Bank Procyclicality, Credit Crunches, and Asymmetric Monetary Policy Effects: A Unifying Model

Journal of Applied Finance, Vol. 13, No. 2, Fall/Winter 2003
Number of pages: 9 Posted: 27 Dec 2003
Robert R. Bliss and George G. Kaufman
Wake Forest University - Schools of Business and Loyola University Chicago
Downloads 18 (451,241)
Citation 8

Abstract:

11.

A Comparison of U.S. Corporate and Bank Insolvency Resolution

Economic Perspectives, 2006, FRB of Chicago Working Paper
Number of pages: 13 Posted: 09 Jun 2006
Robert R. Bliss and George G. Kaufman
Wake Forest University - Schools of Business and Loyola University Chicago
Downloads 425 (47,294)
Citation 5

Abstract:

Banks; Bankruptcy, Liquidation, Regulated Industries and Administrative Law

12.

Recovering Risk Aversion from Options

Federal Reserve Bank of Chicago, Working Paper No. 2001-15
Number of pages: 38 Posted: 27 Dec 2001
Robert R. Bliss and Nikolaos Panigirtzoglou
Wake Forest University - Schools of Business and Queen Mary, University of London
Downloads 392 (55,922)
Citation 5

Abstract:

13.

The Monotonicity of the Option-Value/Risk Relation: A Note

Number of pages: 11 Posted: 02 Apr 2001
Robert R. Bliss
Wake Forest University - Schools of Business
Downloads 168 (140,200)

Abstract:

option pricing, risk, volatility, monotonicity

14.

The Stability of Interest Rate Processes

Working Paper Number 97-13
Number of pages: 23 Posted: 23 Feb 1998
Robert R. Bliss and David C. Smith
Wake Forest University - Schools of Business and University of Virginia - McIntire School of Commerce
Downloads 168 (138,727)
Citation 6

Abstract:

15.

The Pitfalls in Inferring Risk from Financial Market Data

FRB Chicago Working Paper No. 2000-24
Number of pages: 25 Posted: 26 Dec 2000
Robert R. Bliss
Wake Forest University - Schools of Business
Downloads 159 (143,925)
Citation 5

Abstract:

16.

Testing Term Structure Estimation Methods

FRB Atlanta Working Paper 96-12a
Posted: 08 Oct 2014
Robert R. Bliss
Wake Forest University - Schools of Business

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.

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:

19.

The Implied Volatility of U.S. Interest Rates: Evidence from Callable U.S. Treasuries

WP 95-12
Posted: 21 Jun 1998
Robert R. Bliss and Ehud I. Ronn
Wake Forest University - Schools of Business and University of Texas at Austin - Department of Finance

Abstract:

Callable U.S. Treasury Bonds: Optimal Calls, Anomalies, and Implied Volatilities

Working Paper 97-1
Posted: 09 Jul 1997
Robert R. Bliss and Ehud I. Ronn
Wake Forest University - Schools of Business and University of Texas at Austin - Department of Finance

Abstract:

Callable U.S. Treasury Bonds: Optimal Calls, Anomalies, and Implied Volatilities

Journal of Business, Vol. 71, No. 2, April 1998
Posted: 21 May 1998
Ehud I. Ronn and Robert R. Bliss
University of Texas at Austin - Department of Finance and Wake Forest University - Schools of Business

Abstract: