Sanjiv Ranjan Das

Santa Clara University - Leavey School of Business

Professor of Finance

Department of Finance

316M Lucas Hall

Santa Clara, CA 95053

United States

http://algo.scu.edu/~sanjivdas/

SCHOLARLY PAPERS

70

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19,215

CITATIONS
Rank 731

SSRN RANKINGS

Top 731

in Total Papers Citations

699

Scholarly Papers (70)

1.

The Private Equity Discount: An Empirical Examination of the Exit of Venture Backed Companies

Number of pages: 40 Posted: 29 Jan 2002
Atulya Sarin, Sanjiv Ranjan Das and Murali Jagannathan
Santa Clara University - Department of Finance, Santa Clara University - Leavey School of Business and State University of New York (SUNY) at Binghamton
Downloads 2,131 (4,253)
Citation 26

Abstract:

Private Equity Discount

Pricing Credit Derivatives with Rating Transitions

Number of pages: 30 Posted: 22 Oct 2001
Viral V. Acharya, Sanjiv Ranjan Das and Rangarajan K. Sundaram
New York University - Leonard N. Stern School of Business, Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 1,603 (7,707)
Citation 6

Abstract:

Risky Debt, Rating Transitions, Credit Derivatives, Credit Sensitive Note, HJM Model

Pricing Credit Derivatives with Rating Transitions

NYU Working Paper No. S-DRP-01-17
Number of pages: 33 Posted: 07 Nov 2008
Viral V. Acharya, Sanjiv Ranjan Das and Rangarajan K. Sundaram
New York University - Leonard N. Stern School of Business, Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 117 (194,247)
Citation 6

Abstract:

Risky Debt, Rating Transitions, Credit Derivatives, Cresdit Senstive Note, HJM Model

Pricing Credit Derivatives with Rating Transitions

NYU Working Paper No. S-CDM-01-07
Number of pages: 33 Posted: 05 Nov 2008
Viral V. Acharya, Sanjiv Ranjan Das and Rangarajan K. Sundaram
New York University - Leonard N. Stern School of Business, Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 56 (307,351)
Citation 6

Abstract:

Risky debt, Rating Transitions

Pricing Credit Derivatives with Rating Transitions

NYU Working Paper No. FIN-01-035
Number of pages: 33 Posted: 03 Nov 2008
Viral V. Acharya, Sanjiv Ranjan Das and Rangarajan K. Sundaram
New York University - Leonard N. Stern School of Business, Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 48 (330,766)
Citation 6

Abstract:

Pricing Credit Derivatives with Rating Transitions

CEPR Discussion Paper No. 3329
Number of pages: 34 Posted: 21 May 2002
Viral V. Acharya, Sanjiv Ranjan Das and Rangarajan K. Sundaram
New York University - Leonard N. Stern School of Business, Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 42 (350,004)
Citation 6
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Abstract:

Risky debt, rating transitions, credit derivatives, credit sensitive note, HJM model

Pricing Credit Derivatives with Rating Transitions

Financial Analysts Journal, 2002
Posted: 09 Mar 2011 Last Revised: 14 Mar 2011
Viral V. Acharya, Sanjiv Ranjan Das and Rangarajan K. Sundaram
New York University - Leonard N. Stern School of Business, Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance

Abstract:

Pricing Credit Derivatives with Rating Transitions

Financial Analysts Journal, Vol. 58, No. 3 May/June 2002
Posted: 23 Oct 2001
Viral V. Acharya, Sanjiv Ranjan Das and Rangarajan K. Sundaram
New York University - Leonard N. Stern School of Business, Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance

Abstract:

Risky Debt, Rating Transitions, Credit Derivatives, Credit Sensitive Note, HJM Model

3.

Yahoo! For Amazon: Sentiment Parsing from Small Talk on the Web

EFA 2001 Barcelona Meetings
Number of pages: 45 Posted: 11 Jul 2001 Last Revised: 17 Nov 2015
Sanjiv Ranjan Das and Mike Y. Chen
Santa Clara University - Leavey School of Business and University of California, Berkeley
Downloads 1,494 (6,840)
Citation 40

Abstract:

4.
Downloads 1,297 ( 11,092)
Citation 77

Of Smiles and Smirks: A Term-Structure Perspective

Journal of Financial and Quantitative Analysis (JFQA), Vol. 34, No. 2, 1999
Number of pages: 44 Posted: 02 Jun 1998 Last Revised: 17 Nov 2015
Sanjiv Ranjan Das and Rangarajan K. Sundaram
Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 1,222 (11,958)
Citation 77

Abstract:

Of Smiles and Smirks: A Term-Structure Perspective

NYU Working Paper No. FIN-98-024
Number of pages: 46 Posted: 07 Nov 2008 Last Revised: 17 Nov 2015
Sanjiv Ranjan Das and Rangarajan K. Sundaram
Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 75 (262,164)
Citation 77

Abstract:

Of Smiles and Smirks: A Term-Structure Perspective

Journal of Financial and Quantitative Analysis
Posted: 12 Oct 1999
Sanjiv Ranjan Das and Rangarajan K. Sundaram
Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance

Abstract:

5.
Downloads 934 ( 18,441)
Citation 53

The Central Tendency: A Second Factor in Bond Yields

Number of pages: 26 Posted: 26 Oct 1995
Silverio Foresi, Pierluigi Balduzzi and Sanjiv Ranjan Das
Goldman Sachs Group, Inc. - Quantitative Strategy Group, Boston College - Carroll School of Management and Santa Clara University - Leavey School of Business
Downloads 824 (21,800)
Citation 53

Abstract:

The Central Tendency: A Second Factor in Bond Yields

NBER Working Paper No. w6325
Number of pages: 28 Posted: 27 Jun 2000
Pierluigi Balduzzi, Sanjiv Ranjan Das and Silverio Foresi
Boston College - Carroll School of Management, Santa Clara University - Leavey School of Business and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 36 (371,809)
Citation 53

Abstract:

The Central Tendency: A Second Factor in Bond Yields

NYU Working Paper No. FIN-94-009
Number of pages: 14 Posted: 11 Nov 2008
Pierluigi Balduzzi, Sanjiv Ranjan Das and Silverio Foresi
Boston College - Carroll School of Management, Santa Clara University - Leavey School of Business and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 33 (383,706)
Citation 53

Abstract:

term structure

The Central Tendency: A Second Factor in Bond Yields

NYU Working Paper No. FIN-96-012
Number of pages: 29 Posted: 07 Nov 2008
Pierluigi Balduzzi, Sanjiv Ranjan Das and Silverio Foresi
Boston College - Carroll School of Management, Santa Clara University - Leavey School of Business and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 22 (437,989)
Citation 53

Abstract:

term structure

The Central Tendency: A Second Factor in Bond Yields

NYU Working Paper No. FIN-95-007
Number of pages: 23 Posted: 11 Nov 2008
Pierluigi Balduzzi, Sanjiv Ranjan Das and Silverio Foresi
Boston College - Carroll School of Management, Santa Clara University - Leavey School of Business and Goldman Sachs Group, Inc. - Quantitative Strategy Group
Downloads 19 (455,218)
Citation 53

Abstract:

term structure

The Central Tendency: A Second Factor in Bond Yields

Review of Economics and Statistics, Vol. 80, No. 1, 1998
Posted: 09 Mar 2011 Last Revised: 14 Mar 2011
Pierluigi Balduzzi, Sanjiv Ranjan Das and Silverio Foresi
Boston College - Carroll School of Management, Santa Clara University - Leavey School of Business and Goldman Sachs Group, Inc. - Quantitative Strategy Group

Abstract:

6.

A Simple Model for Pricing Derivative Securities with Equity, Interest-Rate, Default and Liquidity Risk

EFA 2003 Annual Conference Paper No. 852
Number of pages: 22 Posted: 23 Jul 2003
Santa Clara University - Leavey School of Business, New York University (NYU) - Department of Finance and Columbia Business School - Finance and Economics
Downloads 922 (17,902)
Citation 11

Abstract:

risk-neutral, PDs, reduced-form models

7.
Downloads 862 ( 20,767)
Citation 70

Systemic Risk and International Portfolio Choice

AFA 2003 Washington, DC Meetings
Number of pages: 55 Posted: 30 Nov 2002
Sanjiv Ranjan Das and Raman Uppal
Santa Clara University - Leavey School of Business and EDHEC Business School
Downloads 833 (21,439)
Citation 70

Abstract:

asset allocation, contagion, emerging markets, skewness, jump-diffusion processes

Systemic Risk and International Portfolio Choice

CEPR Discussion Paper No. 3305
Number of pages: 59 Posted: 14 May 2002
Sanjiv Ranjan Das and Raman Uppal
Santa Clara University - Leavey School of Business and EDHEC Business School
Downloads 29 (401,297)
Citation 70
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Abstract:

Asset allocation, contagion, emerging markets, skewness, jump-diffusion processes

8.

Correlated Default Risk

EFA 2003 Annual Conference Paper No. 928; AFA 2003 Washington, DC Meetings
Number of pages: 45 Posted: 23 Sep 2002
Sanjiv Ranjan Das, Laurence Freed, Gary Geng and Nikunj Kapadia
Santa Clara University - Leavey School of Business, Moody's Investors Service, Amaranth Advisors llc and University of Massachusetts Amherst - Department of Finance
Downloads 843 (20,135)
Citation 40

Abstract:

9.
Downloads 724 ( 26,678)
Citation 18

On the Regulation of Fee Structures in Mutual Funds

New York University, Center for Law and Business, Working Paper No. 98-002
Number of pages: 46 Posted: 11 Sep 1998
Sanjiv Ranjan Das and Rangarajan K. Sundaram
Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 666 (29,536)
Citation 18

Abstract:

On the Regulation of Fee Structures in Mutual Funds

NBER Working Paper No. w6639
Number of pages: 42 Posted: 20 Jul 2000
Sanjiv Ranjan Das and Rangarajan K. Sundaram
Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 58 (301,959)
Citation 18

Abstract:

10.

A Simple Unified Model for Pricing Derivative Securities with Equity, Interest-Rate, and Default Risk

AFA 2004 San Diego Meetings
Number of pages: 28 Posted: 04 Dec 2003
Santa Clara University - Leavey School of Business, New York University (NYU) - Department of Finance and Columbia Business School - Finance and Economics
Downloads 706 (26,940)
Citation 11

Abstract:

Risk-neutral, PDs, reduced-form models

Correlated Default Processes: A Criterion-Based Copula Approach

Number of pages: 37 Posted: 07 Mar 2004
Sanjiv Ranjan Das and Gary Geng
Santa Clara University - Leavey School of Business and Amaranth Advisors llc
Downloads 638 (31,310)
Citation 3

Abstract:

copula, tail-dependence, default

Correlated Default Processes: A Criterion-Based Copula Approach

Journal of Investment Management, Vol. 2, No. 2, Second Quarter 2004
Posted: 26 Jul 2004
Sanjiv Ranjan Das and Gary Geng
Santa Clara University - Leavey School of Business and Amaranth Advisors llc

Abstract:

Correlated default, copulas, tail dependence

Accounting-Based Versus Market-Based Cross-Sectional Models of CDS Spreads

Number of pages: 40 Posted: 09 Nov 2007
Sanjiv Ranjan Das, Paul Hanouna and Atulya Sarin
Santa Clara University - Leavey School of Business, Villanova University - School of Business and Santa Clara University - Department of Finance
Downloads 509 (42,248)
Citation 22

Abstract:

credit default swap, credit risk, bankruptcy prediction

Accounting-Based Versus Market-Based Cross-Sectional Models of CDS Spreads

Journal of Banking and Finance, Vol. 33, No. 4, 2009
Posted: 30 Aug 2010
Sanjiv Ranjan Das, Paul Hanouna and Atulya Sarin
Santa Clara University - Leavey School of Business, Villanova University - School of Business and Santa Clara University - Department of Finance

Abstract:

Credit default swap, Credit risk, Bankruptcy prediction

13.

Implied Recovery

Journal of Economic Dynamics and Control, Vol. 33, No. 11, 2009
Number of pages: 37 Posted: 11 Nov 2007 Last Revised: 25 Sep 2015
Sanjiv Ranjan Das and Paul Hanouna
Santa Clara University - Leavey School of Business and Villanova University - School of Business
Downloads 485 (40,446)
Citation 20

Abstract:

Implied, Recovery, Loss-Given-Default, Credit Default Swaps

14.
Downloads 463 ( 48,252)
Citation 94

Common Failings: How Corporate Defaults are Correlated

Journal of Finance, Forthcoming
Number of pages: 36 Posted: 02 Jan 2006
Sanjiv Ranjan Das, Darrell Duffie, Nikunj Kapadia and Leandro Saita
Santa Clara University - Leavey School of Business, Stanford University - Graduate School of Business, University of Massachusetts Amherst - Department of Finance and Independent
Downloads 425 (53,035)
Citation 94

Abstract:

Correlated default, doubly stochastic, contagion, frailty

Common Failings: How Corporate Defaults are Correlated

NBER Working Paper No. w11961
Number of pages: 29 Posted: 23 Jan 2006
Sanjiv Ranjan Das, Darrell Duffie, Nikunj Kapadia and Leandro Saita
Santa Clara University - Leavey School of Business, Stanford University - Graduate School of Business, University of Massachusetts Amherst - Department of Finance and Independent
Downloads 38 (364,296)
Citation 94

Abstract:

15.

Financial Communities

Santa Clara University Working Paper No. 02/03-20-WP
Number of pages: 24 Posted: 23 Jun 2003
Sanjiv Ranjan Das and Jacob Sisk
Santa Clara University - Leavey School of Business and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 337 (65,341)
Citation 8

Abstract:

Graph theory, connectedness, centrality

Fee Speech: Adverse Selection and the Regulation of Mutual Funds

New York University, Center for Law and Business, Working Paper No. 98-020
Number of pages: 39 Posted: 11 Sep 1998
Sanjiv Ranjan Das and Rangarajan K. Sundaram
Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 306 (78,192)
Citation 4

Abstract:

Fee Speech: Adverse Selection and the Regulation of Mutual Funds

NBER Working Paper No. w6644
Number of pages: 32 Posted: 29 Aug 2000
Sanjiv Ranjan Das and Rangarajan K. Sundaram
Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 24 (426,766)
Citation 4

Abstract:

17.

Hedging Credit: Equity Liquidity Matters

Journal of Financial Intermediation, Vol. 18, No. 1, 2009
Number of pages: 13 Posted: 11 Nov 2007 Last Revised: 25 Sep 2015
Sanjiv Ranjan Das and Paul Hanouna
Santa Clara University - Leavey School of Business and Villanova University - School of Business
Downloads 325 (69,205)
Citation 11

Abstract:

Credit Default Swaps, Liquidity

18.

A Simple Model for Pricing Securities with Equity, Interest-Rate, and Default Risk

NYU Working Paper No. S-CDM-04-05
Number of pages: 31 Posted: 05 Nov 2008
Sanjiv Ranjan Das and Rangarajan K. Sundaram
Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 283 (80,740)
Citation 12

Abstract:

19.

An Index-Based Measure of Liquidity

SCU Leavey School of Business Research Paper No. 11-10
Number of pages: 47 Posted: 10 Mar 2011 Last Revised: 05 Jan 2016
George Chacko, Sanjiv Ranjan Das and Rong Fan
Santa Clara University, Santa Clara University - Leavey School of Business and Gifford Fong Associates
Downloads 264 (58,055)
Citation 1

Abstract:

ETFs, liquidity, immediacy

20.

Did CDS Trading Improve the Market for Corporate Bonds?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 72 Posted: 10 Mar 2011 Last Revised: 30 Aug 2013
Sanjiv Ranjan Das, Madhu Kalimipalli and Subhankar Nayak
Santa Clara University - Leavey School of Business, Lazaridis School of Business and Economics, Wilfrid Laurier University and Wilfrid Laurier University - Financial Services Research Centre
Downloads 261 (74,109)
Citation 5

Abstract:

CDS, bond market efficiency

21.

News Analytics: Framework, Techniques and Metrics

SCU Leavey School of Business Research Paper No. 11-08
Number of pages: 36 Posted: 19 Apr 2011 Last Revised: 24 Aug 2011
Sanjiv Ranjan Das
Santa Clara University - Leavey School of Business
Downloads 209 (92,322)
Citation 1

Abstract:

The Long and Short of It: Why are Stocks with Shorter Runs Preferred?

Number of pages: 35 Posted: 12 Feb 2004
Priya Raghubir and Sanjiv Ranjan Das
University of California, Berkeley - Marketing Group and Santa Clara University - Leavey School of Business
Downloads 192 (127,242)
Citation 6

Abstract:

Information processing, runlength, salience, bias

The Long and Short of it: Why are Stocks with Shorter Runs Preferred?

Journal of Consumer Research, Vol. 36, 2010
Posted: 09 Mar 2011 Last Revised: 14 Mar 2011
Priya Raghubir and Sanjiv Ranjan Das
University of California, Berkeley - Marketing Group and Santa Clara University - Leavey School of Business

Abstract:

23.

Beyond Mean-Variance: Portfolios with Derivatives and Non-Normal Returns in Mental Accounts

Number of pages: 32 Posted: 10 Mar 2011
Sanjiv Ranjan Das and Meir Statman
Santa Clara University - Leavey School of Business and Santa Clara University - Department of Finance
Downloads 175 (124,483)
Citation 1

Abstract:

24.

Run Lengths and Liquidity

Annals of Operation Research, Vol. 176, No. 1, 2010
Number of pages: 30 Posted: 11 Nov 2007 Last Revised: 25 Sep 2015
Sanjiv Ranjan Das and Paul Hanouna
Santa Clara University - Leavey School of Business and Villanova University - School of Business
Downloads 153 (147,887)
Citation 4

Abstract:

run length, liquidity, liquidity risk, asset pricing

25.
Downloads 145 (163,460)
Citation 4

Venture Capital Communities

Number of pages: 54 Posted: 19 Mar 2011 Last Revised: 25 May 2011
Amit Bubna, Sanjiv Ranjan Das and Nagpurnanand Prabhala
Indian School of Business, Santa Clara University - Leavey School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 95 (225,658)
Citation 4

Abstract:

Venture Capital Communities

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 53 Posted: 16 Sep 2012
Amit Bubna, Sanjiv Ranjan Das and Nagpurnanand Prabhala
Indian School of Business, Santa Clara University - Leavey School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 50 (324,562)
Citation 4

Abstract:

Venture capital, syndication, community detection, social networks, boundaries of the firm

26.

Poisson-Guassian Processes and the Bond Markets

NBER Working Paper No. w6631
Number of pages: 34 Posted: 17 Sep 1998
Sanjiv Ranjan Das
Santa Clara University - Leavey School of Business
Downloads 90 (232,242)
Citation 12

Abstract:

27.

The Principal Principle: Optimal Modification of Distressed Home Loans

Number of pages: 41 Posted: 19 Apr 2011
Sanjiv Ranjan Das
Santa Clara University - Leavey School of Business
Downloads 79 (227,382)
Citation 2

Abstract:

28.

Strategic Loan Modification: An Options- Based Response to Strategic Default

Number of pages: 14 Posted: 19 Apr 2011 Last Revised: 26 Apr 2011
Sanjiv Ranjan Das and Ray Meadows
Santa Clara University - Leavey School of Business and Hult International Business School
Downloads 73 (244,329)
Citation 1

Abstract:

29.

A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives

NBER Working Paper No. w6635
Number of pages: 16 Posted: 21 Sep 1998
Sanjiv Ranjan Das and Rangarajan K. Sundaram
Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 70 (261,778)
Citation 33

Abstract:

30.

Taming the Skew: Higher-Order Moments in Modeling Asset Price Processes in Finance

NBER Working Paper No. w5976
Number of pages: 44 Posted: 01 Jul 2000
Sanjiv Ranjan Das and Rangarajan K. Sundaram
Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 67 (265,870)
Citation 7

Abstract:

31.

Random Lattices for Option Pricing Problems in Finance

Number of pages: 27 Posted: 19 Apr 2011
Sanjiv Ranjan Das
Santa Clara University - Leavey School of Business
Downloads 64 (259,668)
Citation 1

Abstract:

32.

An Approximation Algorithm for Optimal Consumption/Investment Problems

NYU Working Paper No. FIN-01-034
Number of pages: 20 Posted: 03 Nov 2008
Sanjiv Ranjan Das and Rangarajan K. Sundaram
Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 60 (285,810)
Citation 5

Abstract:

33.

Fee Speech: Signaling, Risk-Sharing, and the Impact of Fee Structure on Investor Welfare

NYU Working Paper No. FIN-01-033
Number of pages: 42 Posted: 03 Nov 2008 Last Revised: 17 Nov 2015
Sanjiv Ranjan Das and Rangarajan K. Sundaram
Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 58 (290,520)
Citation 30

Abstract:

34.

A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives1

NYU Working Paper No. FIN-99-013
Number of pages: 27 Posted: 07 Nov 2008
Sanjiv Ranjan Das and Rangarajan K. Sundaram
Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 56 (292,872)
Citation 9

Abstract:

35.

Fee Speech: Signalling and the Regulation of Mutual Fund Fees

NYU Working Paper No. FIN-99-085
Number of pages: 38 Posted: 11 Nov 2008
Sanjiv Ranjan Das and Rangarajan K. Sundaram
Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 55 (288,181)
Citation 8

Abstract:

36.

Auction Theory: A Summary with Applications to Treasury Markets

NBER Working Paper No. w5873
Number of pages: 32 Posted: 16 Jul 2000
Sanjiv Ranjan Das and Rangarajan K. Sundaram
Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 55 (305,611)
Citation 7

Abstract:

37.

The Regulation of Fee Structures in Mutual Funds: A Theoretical Analysis

NYU Working Paper No. FIN-98-085
Number of pages: 51 Posted: 11 Nov 2008
Sanjiv Ranjan Das and Rangarajan K. Sundaram
Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 51 (305,611)
Citation 14

Abstract:

38.

Coming Up Short: Managing Underfunded Portfolios in a LDI-ES Framework

Number of pages: 23 Posted: 20 Feb 2014
Sanjiv Ranjan Das, Seoyoung Kim and Meir Statman
Santa Clara University - Leavey School of Business, Santa Clara University and Santa Clara University - Department of Finance
Downloads 45 (270,083)

Abstract:

Liability directed investing; behavioral portfolio theory; expected shortfall; re-balancing; infusions

39.

Average Interest

NBER Working Paper No. w6045
Number of pages: 39 Posted: 16 Jul 2000
George Chacko and Sanjiv Ranjan Das
Santa Clara University - Finance Department and Santa Clara University - Leavey School of Business
Downloads 45 (334,108)
Citation 6

Abstract:

40.

An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model

NBER Working Paper No. t0212
Number of pages: 43 Posted: 13 Jul 2000
Sanjiv Ranjan Das
Santa Clara University - Leavey School of Business
Downloads 45 (334,108)
Citation 2

Abstract:

41.

The Design and Risk Management of Structured Finance Vehicles

Number of pages: 30 Posted: 01 Nov 2014 Last Revised: 27 Jul 2016
Sanjiv Ranjan Das and Seoyoung Kim
Santa Clara University - Leavey School of Business and Santa Clara University
Downloads 41 (346,739)

Abstract:

SPVs; SIVs; special purpose vehicle; structured investment vehicle; structured finance risk controls; structured finance credit ratings; contingent capital

42.

Persistence Pays: Evidence from Investment Style Dynamics in the Venture Capital Industry

Number of pages: 59 Posted: 29 Jun 2013
Amit Bubna, Sanjiv Ranjan Das and Paul Hanouna
Indian School of Business, Santa Clara University - Leavey School of Business and Villanova University - School of Business
Downloads 34 (328,140)

Abstract:

Venture capital, style persistence, style drift

43.

Optimal Digital Portfolios

Number of pages: 14 Posted: 19 Apr 2011
Sanjiv Ranjan Das
Santa Clara University - Leavey School of Business
Downloads 33 (360,248)

Abstract:

44.

Credit Spreads with Dynamic Debt

Journal of Banking and Finance, Vol. 50, 2015
Number of pages: 53 Posted: 26 Sep 2013 Last Revised: 25 Sep 2015
Sanjiv Ranjan Das and Seoyoung Kim
Santa Clara University - Leavey School of Business and Santa Clara University
Downloads 32 (331,057)

Abstract:

Credit spreads, dynamic debt, ratchet, restructure, guarantee, barrier options

45.

eInformation: A Clinical Study of Investor Discussion and Sentiment

Financial Management, Vol. 34, No. 3, pp. 103-137, Autumn 2005
Number of pages: 35 Posted: 22 Nov 2005
Santa Clara University - Leavey School of Business, University of Notre Dame - Department of Accountancy and University of Oxford - Said Business School
Downloads 18 (439,707)
Citation 11
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Abstract:

46.

Dynamic Systemic Risk Networks: A Note

Number of pages: 30 Posted: 08 Feb 2017
Sanjiv Ranjan Das, Seoyoung Kim and Daniel N Ostrov
Santa Clara University - Leavey School of Business, Santa Clara University and Santa Clara University
Downloads 0 (278,907)

Abstract:

47.

Zero-Revelation RegTech: Detecting Risk Through Corporate Emails and News

Number of pages: 24 Posted: 02 Feb 2017 Last Revised: 19 Feb 2017
Sanjiv Ranjan Das, Seoyoung Kim and Bhushan Kothari
Santa Clara University - Leavey School of Business, Santa Clara University and Google Inc.
Downloads 0 (246,149)

Abstract:

Fintech, RegTech, Corporate governance, Text mining, Email analysis, Email networks, Mood and net sentiment

48.

Managing Rollover Risk with Capital Structure Covenants in Structured Finance Vehicles

Number of pages: 45 Posted: 28 Dec 2015 Last Revised: 09 Mar 2017
Sanjiv Ranjan Das and Seoyoung Kim
Santa Clara University - Leavey School of Business and Santa Clara University
Downloads 0 (356,727)

Abstract:

special purpose vehicle, structured finance, rollover risk, leverage, capital structure, covenants

49.

Matrix Metrics: Network-Based Systemic Risk Scoring

Number of pages: 33 Posted: 17 Nov 2015 Last Revised: 14 Dec 2015
Sanjiv Ranjan Das
Santa Clara University - Leavey School of Business
Downloads 0 (118,800)

Abstract:

50.

Extracting, Linking and Integrating Data from Public Sources: A Financial Case Study

Number of pages: 8 Posted: 17 Nov 2015 Last Revised: 14 Dec 2015
Independent, Independent, IBM, IBM, IBM, Independent, IBM, IBM and Santa Clara University - Leavey School of Business
Downloads 0 (132,639)

Abstract:

51.

Unleashing the Power of Public Data for Financial Risk Measurement, Regulation, and Governance

Number of pages: 10 Posted: 16 Nov 2015
IBM, Santa Clara University - Leavey School of Business, IBM, IBM, IBM, Independent, IBM and IBM
Downloads 0 (356,727)
Citation 1

Abstract:

52.

Going for Broke: Restructuring Distressed Debt

Posted: 17 Jul 2012 Last Revised: 27 Jun 2014
Sanjiv Ranjan Das and Seoyoung Kim
Santa Clara University - Leavey School of Business and Santa Clara University

Abstract:

distressed debt, restructuring, pooling, debt overhang, eminent domain

53.

Bayesian Migration in Credit Ratings Based on Probabilities of Default

Journal of Fixed Income, 2002
Posted: 10 Mar 2011 Last Revised: 25 Sep 2015
Sanjiv Ranjan Das, Rong Fan and Gary Geng
Santa Clara University - Leavey School of Business, Gifford Fong Associates and Amaranth Advisors llc

Abstract:

54.

A Simple Approach for Pricing Equity Options With Markov Switching State Variables

Quantitative Finance, Vol. 6, No. 2, 2006
Posted: 09 Mar 2011 Last Revised: 14 Mar 2011
Donald D. Aingworth, Sanjiv Ranjan Das and Rajeev Motwani
affiliation not provided to SSRN, Santa Clara University - Leavey School of Business and affiliation not provided to SSRN

Abstract:

55.

Correlated Default Modeling with a Forest of Binomial Trees

Journal of Fixed Income, Winter 2007
Posted: 09 Mar 2011 Last Revised: 14 Mar 2011
Santhosh Bandreddi, Sanjiv Ranjan Das and Rong Fan
affiliation not provided to SSRN, Santa Clara University - Leavey School of Business and Gifford Fong Associates

Abstract:

56.

Options on Portfolios with Higher-Order Moments

Finance Research Letters, Vol. 6, 2009
Posted: 09 Mar 2011 Last Revised: 14 Mar 2011
Sanjiv Ranjan Das and Rishabh Bhandari
Santa Clara University - Leavey School of Business and affiliation not provided to SSRN

Abstract:

57.

Pricing Interest Rate Derivatives: A General Approach

The Review of Financial Studies, Vol. 15, No. 1, pp. 195-241, Spring 2002
Posted: 01 Sep 2010 Last Revised: 14 Mar 2011
George Chacko and Sanjiv Ranjan Das
Santa Clara University and Santa Clara University - Leavey School of Business

Abstract:

interest rate derivatives, securities, pricing

58.

An Integrated Model for Hybrid Securities

Management Science, Vol. 53, No. 9, pp. 1439-1451, 2007
Posted: 29 Aug 2010 Last Revised: 14 Mar 2011
Sanjiv Ranjan Das and Rangarajan K. Sundaram
Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance

Abstract:

securities, hybrid models, default, credit risk

59.

Polishing Diamonds in the Rough: The Sources of Syndicated Venture Performance

Journal of Financial Intermediation, Forthcoming
Posted: 02 Jun 2010
Sanjiv Ranjan Das, Hoje Jo and Yongtae Kim
Santa Clara University - Leavey School of Business, Santa Clara University and Santa Clara University - Leavey School of Business

Abstract:

syndication, venture capital, selection, value-add

60.

Financial Applications with Parallel R

Journal Of Investment Management (JOIM), Fourth Quarter 2009
Posted: 19 Jan 2010 Last Revised: 03 Jun 2010
Sanjiv Ranjan Das and Brian Granger
Santa Clara University - Leavey School of Business and California State Polytechnic University, San Luis Obispo

Abstract:

R, parallel computing

61.

Dealing with Dimension: Option Pricing on Factor Trees

Journal of Investment Management, 2009
Posted: 18 Jul 2009
Sanjiv Ranjan Das and Brian Granger
Santa Clara University - Leavey School of Business and California State Polytechnic University, San Luis Obispo

Abstract:

High-dimension; multi-factor trees; multi-threading

62.

Portfolio Optimization with Mental Accounts

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 25 Jul 2008
Sanjiv Ranjan Das, Harry Markowitz, Jonathan Scheid and Meir Statman
Santa Clara University - Leavey School of Business, University of California at San Diego, Bellatore Financial, Inc. and Santa Clara University - Department of Finance

Abstract:

63.

A Markov Chain Monte Carlo Method for Derivative Pricing and Risk Assessment

Journal of Investment Management, Vol. 3, No. 1, First Quarter 2005
Posted: 01 Apr 2005
Sanjiv Ranjan Das and Alistair Sinclair
Santa Clara University - Leavey School of Business and University of Newcastle upon Tyne (UK)

Abstract:

Risk management

64.

Private Equity Returns: An Empirical Examination of The Exit of Venture Backed Companies

Journal Of Investment Management, Vol. 1, No. 1, First Quarter 2003
Posted: 02 Jul 2004
Sanjiv Ranjan Das, Murali Jagannathan and Atulya Sarin
Santa Clara University - Leavey School of Business, State University of New York (SUNY) at Binghamton and Santa Clara University - Department of Finance

Abstract:

Private Equity

65.

Credit Risk Derivatives

THE JOURNAL OF DERIVATIVES Vol 2 No 3 Spring 1995
Posted: 26 Oct 1999
Sanjiv Ranjan Das
Santa Clara University - Leavey School of Business

Abstract:

66.

Discrete-Time Bond and Options Pricing for Jump-Diffusion Processes

HBS Working Paper No. 95-032
Posted: 26 Aug 1999
Sanjiv Ranjan Das
Santa Clara University - Leavey School of Business

Abstract:

67.

Jump-Diffusion Processes and the Bond Markets

HBS Working Paper No. 95-034
Posted: 20 Dec 1998
Sanjiv Ranjan Das
Santa Clara University - Leavey School of Business

Abstract:

68.

On the Regulation of Mutual Fund Fee Structures

Posted: 08 May 1998
Rangarajan K. Sundaram and Sanjiv Ranjan Das
New York University (NYU) - Department of Finance and Santa Clara University - Leavey School of Business

Abstract:

69.

Exact Solutions for Bond and Option Prices with Systematic Jump Risk

REVIEW OF DERIVATIVES RESEARCH, Vol. 1 No. 1
Posted: 14 Apr 1998
Sanjiv Ranjan Das and Silverio Foresi
Santa Clara University - Leavey School of Business and Goldman Sachs Group, Inc. - Quantitative Strategy Group

Abstract:

70.

Pricing Credit-Sensitive Debt When Interest Rates, Credit Ratings and Credit Spreads Are Stochastic

J. OF FINANCIAL ENGINEERING, Vol. 5 No. 2
Posted: 12 Feb 1997
Sanjiv Ranjan Das and Peter Tufano
Santa Clara University - Leavey School of Business and University of Oxford - Said Business School

Abstract:

Other Papers (1)

Total Downloads: 0    Citations: 0
1.

The Surprise Element: Jumps in Interest Rates

Journal of Econometrics, Vol. 106, pp. 27-65, 2002
Posted: 30 Aug 2010 Last Revised: 25 Sep 2015
Sanjiv Ranjan Das
Santa Clara University - Leavey School of Business

Abstract:

Jumps, Diffusions, Characteristic functions