Author Page for Sanjiv Ranjan Das

New York University (NYU) - Leonard N. Stern School of Business, Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance

Downloads 1,681 (18,141)

Citation 1

Abstract:

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, Viral V. Acharya, Sanjiv Ranjan Das and Rangarajan K. Sundaram

New York University (NYU) - Leonard N. Stern School of Business, Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance

Downloads 143 (345,847)

Abstract:

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, Viral V. Acharya, Sanjiv Ranjan Das and Rangarajan K. Sundaram

New York University (NYU) - Leonard N. Stern School of Business, Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance

Downloads 83 (510,837)

Abstract:

Pricing Credit Derivatives with Rating Transitions

NYU Working Paper No. FIN-01-035

Number of pages: 33 Posted: 03 Nov 2008

Viral V. Acharya, Viral V. Acharya, Sanjiv Ranjan Das and Rangarajan K. Sundaram

New York University (NYU) - Leonard N. Stern School of Business, Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance

Downloads 68 (574,319)

Abstract:

Pricing Credit Derivatives with Rating Transitions

Number of pages: 34 Posted: 21 May 2002

Viral V. Acharya, Viral V. Acharya, Sanjiv Ranjan Das and Rangarajan K. Sundaram

New York University (NYU) - Leonard N. Stern School of Business, Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance

Downloads 42 (722,593)

Citation 2

Add to Cart

Abstract:

Pricing Credit Derivatives with Rating Transitions

Financial Analysts Journal, 2002

Posted: 09 Mar 2011 Last Revised: 14 Mar 2011

Viral V. Acharya, Viral V. Acharya, Sanjiv Ranjan Das and Rangarajan K. Sundaram

New York University (NYU) - 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, Viral V. Acharya, Sanjiv Ranjan Das and Rangarajan K. Sundaram

New York University (NYU) - Leonard N. Stern School of Business, Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance

Abstract:

4.

Of Smiles and Smirks: A Term-Structure Perspective

Downloads 1,547 (21,115)

Citation 15

3

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 1,444 (23,096)

Citation 20

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 103 (443,340)

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.

A New Approach to Goals-Based Wealth Management

Number of pages: 34 Posted: 12 Feb 2018

Sanjiv Ranjan Das, Daniel N Ostrov, Anand Radhakrishnan and Deep Srivastav

Santa Clara University - Leavey School of Business, Santa Clara University, Franklin Templeton Investments and Franklin Templeton Investments

Downloads 1,458 (22,941)

Citation 20

Abstract:

6.

The Central Tendency: A Second Factor in Bond Yields

Downloads 1,080 (35,540)

Citation 8

6

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 899 (45,315)

Citation 8

Abstract:

The Central Tendency: A Second Factor in Bond Yields

NBER Working Paper No. w6325

Number of pages: 28 Posted: 27 Jun 2000 Last Revised: 15 Oct 2022

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 58 (624,364)

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 51 (664,397)

Abstract:

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 37 (759,408)

Abstract:

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 35 (774,880)

Abstract:

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:

7.

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

Sanjiv Ranjan Das, Rangarajan K. Sundaram and Suresh M. Sundaresan

Santa Clara University - Leavey School of Business, New York University (NYU) - Department of Finance and Columbia University - Columbia Business School, Finance

Downloads 1,009 (39,147)

Citation 7

Abstract:

8.

Systemic Risk and International Portfolio Choice

Downloads 986 (40,454)

Citation 128

2

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 957 (41,564)

Citation 21

Abstract:

Systemic Risk and International Portfolio Choice

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 (824,404)

Citation 18

Add to Cart

Abstract:

9.

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 968 (41,494)

Citation 53

Abstract:

10.

Dynamic Portfolio Allocation in Goals-Based Wealth Management

Number of pages: 28 Posted: 31 Jul 2018

Sanjiv Ranjan Das, Daniel N Ostrov, Anand Radhakrishnan and Deep Srivastav

Santa Clara University - Leavey School of Business, Santa Clara University, Franklin Templeton Investments and Franklin Templeton Investments

Downloads 859 (49,028)

Citation 12

Abstract:

11.

On the Regulation of Fee Structures in Mutual Funds

Downloads 785 (55,340)

Citation 2

2

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 705 (62,937)

Citation 1

Abstract:

On the Regulation of Fee Structures in Mutual Funds

NBER Working Paper No. w6639

Number of pages: 42 Posted: 20 Jul 2000 Last Revised: 24 Aug 2022

Sanjiv Ranjan Das and Rangarajan K. Sundaram

Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance

Downloads 80 (522,564)

Abstract:

12.

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

Sanjiv Ranjan Das, Rangarajan K. Sundaram and Suresh M. Sundaresan

Santa Clara University - Leavey School of Business, New York University (NYU) - Department of Finance and Columbia University - Columbia Business School, Finance

Downloads 772 (56,576)

Citation 6

Abstract:

13.

Correlated Default Processes: A Criterion-Based Copula Approach

Downloads 713 (62,930)

2

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 713 (62,033)

Citation 6

Abstract:

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:

14.

CapitalVX: A Machine Learning Model for Startup Selection and Exit Prediction

Number of pages: 17 Posted: 21 Oct 2020 Last Revised: 08 May 2021

Greg Ross, Sanjiv Ranjan Das, Daniel Sciro and Hussain Raza

Independent Researcher, Santa Clara University - Leavey School of Business, Venhound LLC and Santa Clara University

Downloads 681 (66,772)

Citation 2

Abstract:

15.

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 646 (71,447)

Citation 14

Abstract:

16.

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

Downloads 627 (74,130)

Citation 50

2

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 627 (73,188)

Citation 50

Abstract:

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:

17.

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 558 (85,926)

Abstract:

18.

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

Douglas Burdick, Mauricio Hernandez, Howard Ho, Georgia Koutrika, Rajasekar Krishnamurthy, Lucian Constantin Popa, Ioana Stanoi, Shivakumar Vaithyanathan and Sanjiv Ranjan Das

Independent, Independent, IBM Corporation, IBM Corporation, IBM Corporation, Independent, IBM Corporation, IBM Corporation and Santa Clara University - Leavey School of Business

Downloads 546 (88,031)

Citation 11

Abstract:

19.

Common Failings: How Corporate Defaults are Correlated

Downloads 533 (90,791)

Citation 165

2

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 466 (105,733)

Citation 1

Abstract:

Common Failings: How Corporate Defaults are Correlated

NBER Working Paper No. w11961

Number of pages: 29 Posted: 23 Jan 2006 Last Revised: 08 Sep 2022

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 67 (579,105)

Citation 19

Abstract:

20.

Dynamic Optimization for Multi-Goals-Based Wealth Management

Number of pages: 50 Posted: 14 Oct 2019 Last Revised: 23 Jan 2021

Daniel N Ostrov, Sanjiv Ranjan Das, Deep Srivastav and Anand Radhakrishnan

Santa Clara University, Santa Clara University - Leavey School of Business, Franklin Templeton Investments and Franklin Templeton Investments

Downloads 435 (116,100)

Citation 4

Abstract:

21.

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 422 (120,039)

Citation 10

Abstract:

22.

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 416 (122,024)

Citation 18

Abstract:

23.

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 410 (124,086)

Citation 1

Abstract:

24.

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 401 (127,311)

Citation 7

Abstract:

25.

Fee Speech: Adverse Selection and the Regulation of Mutual Funds

Downloads 379 (135,676)

Citation 3

2

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 338 (152,648)

Citation 3

Abstract:

Fee Speech: Adverse Selection and the Regulation of Mutual Funds

NBER Working Paper No. w6644

Number of pages: 32 Posted: 29 Aug 2000 Last Revised: 17 Apr 2022

Sanjiv Ranjan Das and Rangarajan K. Sundaram

Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance

Downloads 41 (729,834)

Abstract:

26.

Venture Capital Communities

Number of pages: 54 Posted: 19 Mar 2011 Last Revised: 16 Mar 2018

Amit Bubna, Sanjiv Ranjan Das and Nagpurnanand Prabhala

Indian School of Business, Santa Clara University - Leavey School of Business and The Johns Hopkins Carey Business School

Downloads 195 (264,607)

Citation 1

Abstract:

Venture Capital Communities

Number of pages: 73 Posted: 16 Sep 2012 Last Revised: 14 Feb 2019

Amit Bubna, Sanjiv Ranjan Das and Nagpurnanand Prabhala

Indian School of Business, Santa Clara University - Leavey School of Business and The Johns Hopkins Carey Business School

Downloads 169 (300,404)

Citation 1

Abstract:

27.

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 359 (144,052)

Abstract:

28.

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 317 (164,594)

Citation 6

Abstract:

29.

Zero-Revelation RegTech: Detecting Risk through Linguistic Analysis of Corporate Emails and News

Number of pages: 24 Posted: 02 Feb 2017 Last Revised: 30 Apr 2017

Sanjiv Ranjan Das, Seoyoung Kim and Bhushan Kothari

Santa Clara University - Leavey School of Business, Santa Clara University and Google Inc.

Downloads 292 (179,432)

Abstract:

30.

Dynamic Systemic Risk Networks: A Note

Number of pages: 38 Posted: 08 Feb 2017 Last Revised: 28 May 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 239 (219,185)

Citation 7

Abstract:

31.

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

Downloads 239 (219,185)

Citation 10

2

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 239 (218,379)

Citation 10

Abstract:

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:

32.

Zero-Revelation RegTech: Detecting Risk through Linguistic Analysis of Corporate Emails and News

Number of pages: 33 Posted: 02 Feb 2017

Sanjiv Ranjan Das, Seoyoung Kim and Bhushan Kothari

Santa Clara University - Leavey School of Business, Santa Clara University and Google Inc.

Downloads 223 (234,250)

Abstract:

33.

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 200 (259,038)

Citation 2

Abstract:

34.

The Role of Options in Goals-Based Wealth Management

Number of pages: 29 Posted: 21 Oct 2020 Last Revised: 06 Jul 2021

Sanjiv Ranjan Das and Greg Ross

Santa Clara University - Leavey School of Business and Independent Researcher

Downloads 186 (276,414)

Abstract:

35.

Banking Networks, Systemic Risk, and the Credit Cycle in Emerging Markets

Journal of International Financial Markets, Institutions and Money, Forthcoming

Number of pages: 82 Posted: 06 Feb 2020 Last Revised: 05 Aug 2022

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 155 (325,018)

Citation 1

Abstract:

36.

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 139 (352,916)

Citation 1

Abstract:

37.

Efficient Goal Probabilities: A New Frontier

Number of pages: 14 Posted: 17 Aug 2022

Sanjiv Ranjan Das, Daniel N Ostrov, Anand Radhakrishnan and Deep Srivastav

Santa Clara University - Leavey School of Business, Santa Clara University, Franklin Templeton Investments and Franklin Templeton Investments

Downloads 137 (356,844)

Abstract:

38.

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 137 (356,844)

Citation 3

Abstract:

39.

Poisson-Guassian Processes and the Bond Markets

NBER Working Paper No. w6631

Number of pages: 34 Posted: 17 Sep 1998 Last Revised: 15 Aug 2022

Sanjiv Ranjan Das

Santa Clara University - Leavey School of Business

Downloads 119 (396,917)

Citation 1

Abstract:

40.

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 115 (406,867)

Citation 1

Abstract:

41.

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 Last Revised: 31 Oct 2022

Sanjiv Ranjan Das and Rangarajan K. Sundaram

Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance

Downloads 114 (409,462)

Citation 3

Abstract:

42.

Bank Regulation, Network Topology, and Systemic Risk: Evidence from the Great Depression

Downloads 111 (417,494)

Citation 10

3

Bank Regulation, Network Topology, and Systemic Risk: Evidence from the Great Depression

CESifo Working Paper No. 7425

Number of pages: 67 Posted: 21 Feb 2019

Sanjiv Ranjan Das, Kris James Mitchener and Angela Vossmeyer

Santa Clara University - Leavey School of Business, Santa Clara University - Leavey School of Business - Economics Department and Claremont McKenna College - Robert Day School of Economics and Finance

Downloads 82 (514,684)

Citation 4

Abstract:

Bank Regulation, Network Topology, and Systemic Risk: Evidence from the Great Depression

NBER Working Paper No. w25405

Number of pages: 66 Posted: 31 Dec 2018 Last Revised: 02 Jun 2023

Sanjiv Ranjan Das, Kris James Mitchener and Angela Vossmeyer

Santa Clara University - Leavey School of Business, Santa Clara University - Leavey School of Business - Economics Department and Claremont McKenna College - Robert Day School of Economics and Finance

Downloads 29 (824,404)

Abstract:

Bank Regulation, Network Topology, and Systemic Risk: Evidence from the Great Depression

CEPR Discussion Paper No. DP13416

Number of pages: 68 Posted: 07 Jan 2019 Last Revised: 09 Nov 2021

Sanjiv Ranjan Das, Kris James Mitchener and Angela Vossmeyer

Santa Clara University - Leavey School of Business, Santa Clara University - Leavey School of Business - Economics Department and Claremont McKenna College - Robert Day School of Economics and Finance

Downloads 0

Citation 3

Add to Cart

Abstract:

43.

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 108 (425,894)

Abstract:

44.

Combining Investment and Tax Strategies for Optimizing Lifetime Solvency under Uncertain Returns and Mortality

Number of pages: 33 Posted: 18 Feb 2021

Sanjiv Ranjan Das, Daniel N Ostrov, Aviva Casanova, Anand Radhakrishnan and Deep Srivastav

Santa Clara University - Leavey School of Business, Santa Clara University, Franklin Templeton, Franklin Templeton Investments and Franklin Templeton Investments

Downloads 101 (446,596)

Abstract:

45.

Auction Theory: A Summary with Applications to Treasury Markets

NBER Working Paper No. w5873

Number of pages: 32 Posted: 16 Jul 2000 Last Revised: 21 Jul 2022

Sanjiv Ranjan Das and Rangarajan K. Sundaram

Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance

Downloads 99 (452,641)

Abstract:

46.

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

Number of pages: 10 Posted: 16 Nov 2015

Mauricio Hernandez, Sanjiv Ranjan Das, Howard Ho, Georgia Koutrika, Rajasekar Krishnamurthy, Lucian Constantin Popa, Ioana Stanoi and Shivakumar Vaithyanathan

IBM Corporation, Santa Clara University - Leavey School of Business, IBM Corporation, IBM Corporation, IBM Corporation, Independent, IBM Corporation and IBM Corporation

Downloads 98 (455,647)

Citation 5

Abstract:

47.

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 98 (458,690)

Abstract:

48.

A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives

NBER Working Paper No. w6635

Number of pages: 16 Posted: 21 Sep 1998 Last Revised: 20 Aug 2022

Sanjiv Ranjan Das and Rangarajan K. Sundaram

Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance

Downloads 98 (455,647)

Citation 1

Abstract:

49.

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 86 (494,933)

Abstract:

50.

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 85 (498,518)

Citation 44

Abstract:

51.

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 82 (509,349)

Abstract:

52.

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 81 (513,106)

Abstract:

53.

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 75 (536,650)

Abstract:

54.

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 72 (549,052)

Abstract:

55.

Average Interest

NBER Working Paper No. w6045

Number of pages: 39 Posted: 16 Jul 2000 Last Revised: 10 Jul 2022

George Chacko and Sanjiv Ranjan Das

Santa Clara University - Finance Department and Santa Clara University - Leavey School of Business

Downloads 64 (584,275)

Abstract:

56.

Optimal Digital Portfolios

Number of pages: 14 Posted: 19 Apr 2011

Sanjiv Ranjan Das

Santa Clara University - Leavey School of Business

Downloads 59 (608,281)

Citation 1

Abstract:

57.

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 Last Revised: 30 Jan 2023

Sanjiv Ranjan Das

Santa Clara University - Leavey School of Business

Downloads 59 (608,281)

Abstract:

58.

Digitization and Data Frames for Card Index Records

Number of pages: 15 Posted: 07 Apr 2022

Angela Vossmeyer, Someswar Amujala and Sanjiv Ranjan Das

Claremont McKenna College, Claremont McKenna College and Santa Clara University - Leavey School of Business

Downloads 43 (705,392)

Abstract:

59.

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

Sanjiv Ranjan Das, Francisco de Asis Martinez-Jerez and Peter Tufano

Santa Clara University - Leavey School of Business, Cornell University and Harvard Business School

Downloads 31 (784,720)

Citation 1

Abstract:

60.

Augmenting the Funded Ratio: New Metrics for Liability Based Plans

Number of pages: 38 Posted: 29 Nov 2023

Sanjiv Ranjan Das, Daniel N Ostrov, Anand Radhakrishnan, Deep Srivastav and Wylie Tollette

Santa Clara University - Leavey School of Business, Santa Clara University, Franklin Templeton Investments, Franklin Templeton Investments and Franklin Templeton Investments

Downloads 11

Abstract:

61.

Optimal Goals-Based Investment Strategies For Switching Between Bull and Bear Markets

Journal of Wealth Management, Forthcoming

Posted: 18 Feb 2021 Last Revised: 25 Oct 2021

Sanjiv Ranjan Das, Daniel N Ostrov, Aviva Casanova, Anand Radhakrishnan and Deep Srivastav

Santa Clara University - Leavey School of Business, Santa Clara University, Franklin Templeton, Franklin Templeton Investments and Franklin Templeton Investments

Abstract:

62.

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

https://doi.org/10.3905/jpm.2014.41.1.095

Posted: 21 May 2019

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

Abstract:

63.

Managing Rollover Risk with Capital Structure Covenants in Structured Finance Vehicles

https://doi.org/10.3905/jfi.2017.26.4.092

Posted: 28 Dec 2015 Last Revised: 21 May 2019

Sanjiv Ranjan Das and Seoyoung Kim

Santa Clara University - Leavey School of Business and Santa Clara University

Abstract:

64.

Matrix Metrics: Network-Based Systemic Risk Scoring

https://doi.org/10.3905/jai.2016.18.4.033

Posted: 17 Nov 2015 Last Revised: 22 May 2019

Sanjiv Ranjan Das

Santa Clara University - Leavey School of Business

Downloads 0 (1,055,237)

Abstract:

65.

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:

66.

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:

67.

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:

68.

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:

69.

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:

70.

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:

71.

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:

72.

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:

73.

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:

74.

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:

75.

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:

76.

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:

77.

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, SUNY at Binghamton - School of Management and Santa Clara University - Department of Finance

Abstract:

78.

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:

79.

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:

80.

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:

81.

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:

82.

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:

83.

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 Harvard Business School

Sanjiv Ranjan Das

Santa Clara University - Leavey School of Business

Professor of Finance

83

Top 1,898

28,043

Top 1,168

601

677

Scholarly Papers (83)

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Pricing Credit Derivatives with Rating Transitions

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Systemic Risk and International Portfolio Choice

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract: