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

73

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CITATIONS
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703

Scholarly Papers (73)

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 SUNY at Binghamton - School of Management
Downloads 2,358 (4,948)
Citation 27

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Private Equity Discount

2.
Downloads 1,893 ( 7,187)
Citation 6

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 1,618 (9,158)
Citation 6

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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 119 (219,495)
Citation 6

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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 62 (331,933)
Citation 6

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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 52 (362,293)
Citation 6

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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 (396,998)
Citation 6
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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:

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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:

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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 1,851 (7,453)
Citation 40

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4.
Downloads 1,331 ( 12,826)
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 1,252 (13,793)
Citation 77

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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 79 (289,579)
Citation 77

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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:

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5.

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 961 (21,029)
Citation 11

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risk-neutral, PDs, reduced-form models

6.
Downloads 941 ( 21,702)
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 827 (25,738)
Citation 53

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The Central Tendency: A Second Factor in Bond Yields

NBER Working Paper No. w6325
Number of pages: 28 Posted: 27 Jun 2000 Last Revised: 04 Apr 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 36 (421,249)
Citation 53

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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 35 (425,571)
Citation 53

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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 23 (486,648)
Citation 53

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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 20 (504,982)
Citation 53

Abstract:

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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

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7.

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 899 (23,182)
Citation 40

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8.
Downloads 889 ( 23,560)
Citation 71

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 860 (24,320)
Citation 71

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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 (453,121)
Citation 71
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Asset allocation, contagion, emerging markets, skewness, jump-diffusion processes

9.
Downloads 731 ( 31,026)
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 672 (34,291)
Citation 18

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On the Regulation of Fee Structures in Mutual Funds

NBER Working Paper No. w6639
Number of pages: 42 Posted: 20 Jul 2000 Last Revised: 10 Oct 2010
Sanjiv Ranjan Das and Rangarajan K. Sundaram
Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 59 (340,482)
Citation 18

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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 723 (31,490)
Citation 11

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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 661 (35,083)
Citation 3

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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:

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Correlated default, copulas, tail dependence

12.

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 556 (44,669)
Citation 20

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

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 531 (46,760)
Citation 23

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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

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Credit default swap, Credit risk, Bankruptcy prediction

14.
Downloads 470 ( 55,235)
Citation 95

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 431 (60,823)
Citation 95

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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 Last Revised: 08 Sep 2010
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 39 (408,522)
Citation 95

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15.

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 464 (56,159)
Citation 1

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ETFs, liquidity, immediacy

16.

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 368 (74,099)
Citation 8

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Graph theory, connectedness, centrality

17.

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 354 (77,580)
Citation 6

Abstract:

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CDS, bond market efficiency

18.

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 354 (77,580)
Citation 12

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Credit Default Swaps, Liquidity

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 309 (89,927)
Citation 4

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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: 10 Oct 2010
Sanjiv Ranjan Das and Rangarajan K. Sundaram
Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 24 (480,819)
Citation 4

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20.

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 Corporation, IBM Corporation, IBM Corporation, Independent, IBM Corporation, IBM Corporation and Santa Clara University - Leavey School of Business
Downloads 318 (87,629)

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21.

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 310 (90,124)
Citation 12

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22.

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 303 (92,442)
Citation 1

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23.

A New Approach to Goals-Based Wealth Management

Number of pages: 34 Posted: 12 Feb 2018
Santa Clara University - Leavey School of Business, Santa Clara University, Franklin Templeton Investments and Franklin Templeton Investments
Downloads 272 (103,779)

Abstract:

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goals, wealth management

24.

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 244 (116,244)

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25.

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 227 (125,017)
Citation 1

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26.

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 211 (134,079)

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

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 199 (141,588)
Citation 6

Abstract:

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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

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28.
Downloads 177 (157,796)
Citation 4

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 University of Maryland - Robert H. Smith School of Business
Downloads 104 (242,076)
Citation 3

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

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 73 (303,498)
Citation 4

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

29.

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 167 (166,078)
Citation 4

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run length, liquidity, liquidity risk, asset pricing

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 153 (178,973)

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systemic risk, networks, stochastic dynamics

31.

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 101 (245,611)
Citation 2

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32.

Dynamic Portfolio Allocation in Goals-Based Wealth Management

Number of pages: 28 Posted: 31 Jul 2018
Santa Clara University - Leavey School of Business, Santa Clara University, Franklin Templeton Investments and Franklin Templeton Investments
Downloads 98 (250,683)

Abstract:

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Dynamic asset allocation, goals, FinTech

33.

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 95 (255,862)

Abstract:

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

34.

Poisson-Guassian Processes and the Bond Markets

NBER Working Paper No. w6631
Number of pages: 34 Posted: 17 Sep 1998 Last Revised: 10 Oct 2010
Sanjiv Ranjan Das
Santa Clara University - Leavey School of Business
Downloads 93 (259,356)
Citation 12

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35.

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 88 (268,552)
Citation 1

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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 85 (274,434)
Citation 1

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37.

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 82 (280,464)

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

38.

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: 10 Oct 2010
Sanjiv Ranjan Das and Rangarajan K. Sundaram
Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 77 (291,151)
Citation 33

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39.

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: 03 Apr 2008
Sanjiv Ranjan Das and Rangarajan K. Sundaram
Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 74 (297,868)
Citation 6

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40.

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 72 (302,544)

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

41.

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 64 (322,326)
Citation 5

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42.

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 63 (325,009)
Citation 8

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43.

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 62 (327,619)
Citation 30

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44.

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 61 (330,299)
Citation 9

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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: 04 Oct 2010
Sanjiv Ranjan Das and Rangarajan K. Sundaram
Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance
Downloads 56 (344,240)
Citation 8

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46.

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 55 (347,302)

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Venture capital, style persistence, style drift

47.

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 55 (347,302)
Citation 14

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48.

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 51 (359,643)

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

49.

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

Number of pages: 10 Posted: 16 Nov 2015
IBM Corporation, Santa Clara University - Leavey School of Business, IBM Corporation, IBM Corporation, IBM Corporation, Independent, IBM Corporation and IBM Corporation
Downloads 50 (362,709)
Citation 1

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50.

Average Interest

NBER Working Paper No. w6045
Number of pages: 39 Posted: 16 Jul 2000 Last Revised: 05 Oct 2010
George Chacko and Sanjiv Ranjan Das
Santa Clara University - Finance Department and Santa Clara University - Leavey School of Business
Downloads 46 (375,631)
Citation 6

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51.

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: 02 Aug 2010
Sanjiv Ranjan Das
Santa Clara University - Leavey School of Business
Downloads 46 (375,631)
Citation 2

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52.

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 45 (378,963)

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

53.

Optimal Digital Portfolios

Number of pages: 14 Posted: 19 Apr 2011
Sanjiv Ranjan Das
Santa Clara University - Leavey School of Business
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54.

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 19 (493,837)
Citation 11
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55.

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

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

56.

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

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57.

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

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58.

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

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59.

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

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60.

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

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interest rate derivatives, securities, pricing

61.

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

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securities, hybrid models, default, credit risk

62.

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

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syndication, venture capital, selection, value-add

63.

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

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R, parallel computing

64.

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

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

65.

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

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66.

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)

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Risk management

67.

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

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Private Equity

68.

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

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69.

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

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70.

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

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71.

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

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72.

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

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73.

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

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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

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Jumps, Diffusions, Characteristic functions