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Robert C. Merton

Massachusetts Institute of Technology (MIT) - Sloan School of Management

School of Management Distinguished Professor of Finance

77 Massachusetts Avenue

E62-634

Cambridge, MA 02139-4307

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

Harvard Business School - Finance Unit

John and Natty McArthur University Professor emeritus

Boston, MA 02163

United States

  • Massachusetts Institute of Technology (MIT) - Sloan School of Management

    • Email
    • Tel: 617 715 4866

  • Harvard Business School - Finance Unit

    • Email
    • Tel: 617-495-6678
SCHOLARLY PAPERS

32

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1,019

Scholarly Papers (32)

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1.

Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan?

Downloads 2,015 ( 5,558)
Citation 27

Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan?

HBS Finance Working Paper No. 05-011
Number of pages: 43 Posted: 19 Jul 2004
Zvi Bodie, Robert C. Merton and Li Jin
Boston University - Department of Finance & Economics, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Harvard Business School - Finance Unit
Downloads 1,914 (5,929)
Citation 27

Abstract:

Defined Benefit Pension Plan, Market Efficiency, Cost of Capital, Capital Budgeting

Do a Firm's Equity Returns Reflect the Risk of its Pension Plan?

NBER Working Paper No. w10650
Number of pages: 38 Posted: 26 Aug 2004 Last Revised: 09 Aug 2010
Zvi Bodie, Li Jin, Robert C. Merton and Zvi Bobie
Boston University - Department of Finance & Economics, Harvard Business School - Finance Unit, Massachusetts Institute of Technology (MIT) - Sloan School of Management and affiliation not provided to SSRN
Downloads 101 (224,486)
Citation 27

Abstract:

2.

The Design of Financial Systems: Towards a Synthesis of Function and Structure

Downloads 1,898 ( 6,156)
Citation 50

The Design of Financial Systems: Towards a Synthesis of Function and Structure

Harvard Business School Working Paper No. 02-074, HBS Finance Working Paper No. 02-074
Number of pages: 44 Posted: 09 Jun 2002
Zvi Bodie and Robert C. Merton
Boston University - Department of Finance & Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,733 (7,104)
Citation 50

Abstract:

financial system; financial structure

The Design of Financial Systems: Towards a Synthesis of Function and Structure

NBER Working Paper No. w10620
Number of pages: 46 Posted: 28 Jul 2004
Zvi Bodie and Robert C. Merton
Boston University - Department of Finance & Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 165 (151,939)
Citation 50

Abstract:

3.

Transparency, Risk Management and International Financial Fragility

Downloads 1,634 ( 8,048)
Citation 15

Transparency, Risk Management and International Financial Fragility

Harvard Business School Working Paper No. 03-118; Harvard NOM Working Paper No. 03-41, HBS Finance Working Paper No. 03-118
Number of pages: 66 Posted: 24 Jul 2003
Mario Draghi, Francesco Giavazzi and Robert C. Merton
Goldman Sachs International, Bocconi University - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,562 (8,452)
Citation 15

Abstract:

Risk Transparency, Macro-finance, Financial Crisis, Marco-risk Management, Sovereign Risk

Transparency, Risk Management and International Financial Fragility

NBER Working Paper No. w9806
Number of pages: 66 Posted: 30 Jun 2003
Mario Draghi, Francesco Giavazzi and Robert C. Merton
Goldman Sachs International, Bocconi University - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 72 (278,540)
Citation 15

Abstract:

4.

Systemic Risk and the Refinancing Ratchet Effect

Downloads 1,323 ( 11,256)
Citation 19

Systemic Risk and the Refinancing Ratchet Effect

MIT Sloan Research Paper No. 4750-09, Harvard Business School Finance Working Paper No. 1472892
Number of pages: 62 Posted: 15 Sep 2009 Last Revised: 05 Feb 2012
Amir Khandani, Andrew W. Lo and Robert C. Merton
Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,270 (11,771)
Citation 18

Abstract:

Systemic Risk, Financial Crisis, Household Finance, Real Estate, Subprime

Systemic Risk and the Refinancing Ratchet Effect

NBER Working Paper No. w15362
Number of pages: 68 Posted: 21 Sep 2009
Amir Khandani, Andrew W. Lo and Robert C. Merton
Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 53 (327,397)
Citation 19

Abstract:

5.

International Pension Swaps

Downloads 1,074 ( 15,656)
Citation 13

International Pension Swaps

Boston University School of Management Working Paper No. 02-01
Number of pages: 11 Posted: 01 Nov 2001
Zvi Bodie and Robert C. Merton
Boston University - Department of Finance & Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,074 (15,359)
Citation 13

Abstract:

Pensions, diversification, risk-sharing, swaps

International Pension Swaps

Journal of Pension Economics and Finance, Vol. 1, January 2002
Posted: 18 Feb 2002
Zvi Bodie and Robert C. Merton
Boston University - Department of Finance & Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

Swap, pension fund, international diversification

6.

A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy

Downloads 749 ( 26,583)
Citation 19

A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy

HBS Finance Working Paper No. 936661
Number of pages: 45 Posted: 11 Oct 2006
Zvi Bodie, Dale F. Gray and Robert C. Merton
Boston University - Department of Finance & Economics, International Monetary Fund (IMF) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 656 (31,427)
Citation 19

Abstract:

macrofinancial risks, risk propagation, sovereign risk

A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy

NBER Working Paper No. w12637
Number of pages: 45 Posted: 20 Nov 2006
Zvi Bodie, Dale F. Gray and Robert C. Merton
Boston University - Department of Finance & Economics, International Monetary Fund (IMF) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 93 (237,505)
Citation 16

Abstract:

7.

The Value of Implicit Guarantees

Downloads 699 ( 29,360)
Citation 2

The Value of Implicit Guarantees

Number of pages: 46 Posted: 11 Mar 2013
Zoe Tsesmelidakis and Robert C. Merton
University of Oxford - Oxford-Man Institute of Quantitative Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 555 (39,464)
Citation 2

Abstract:

Financial crisis, Systemic risk, Too big to fail, Government guarantees

The Value of Implicit Guarantees

26th Australasian Finance and Banking Conference 2013
Number of pages: 46 Posted: 19 Aug 2013
Zoe Tsesmelidakis and Robert C. Merton
University of Oxford - Oxford-Man Institute of Quantitative Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 102 (222,928)
Citation 2

Abstract:

financial crisis, systemic risk, too big to fail, government guarantees

The Value of Implicit Guarantees

Number of pages: 46 Posted: 28 Feb 2013
Zoe Tsesmelidakis and Robert C. Merton
University of Oxford - Oxford-Man Institute of Quantitative Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 42 (362,839)
Citation 2

Abstract:

Financial crisis, Systemic risk, Too big to fail, Government guarantees

8.

Macroeconomics and Finance: the Role of the Stock Market

NBER Working Paper No. w1291
Number of pages: 70 Posted: 09 Jun 2004
Stanley Fischer and Robert C. Merton
Bank of Israel and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 339 (72,953)
Citation 67

Abstract:

9.

On the Management of Financial Guarantees

Financial Management, Financial Management Association, Vol. 21, No. 4, Winter 1992
Number of pages: 44 Posted: 14 Sep 2009
Robert C. Merton and Zvi Bodie
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Boston University - Department of Finance & Economics
Downloads 323 (60,443)
Citation 38

Abstract:

10.

Customers and Investors: A Framework for Understanding Financial Institutions

Downloads 309 ( 80,953)

Customers and Investors: A Framework for Understanding Financial Institutions

MIT Sloan Research Paper No. 5137-15
Number of pages: 56 Posted: 05 Jun 2015 Last Revised: 02 May 2016
Robert C. Merton and Richard T. Thakor
Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Minnesota - Carlson School of Management
Downloads 292 (85,860)

Abstract:

Customers, investors, credit risk, financial intermediaries, real-world financial contracts, information-insensitivity, financial crises

Customers and Investors: A Framework for Understanding Financial Institutions

NBER Working Paper No. w21258
Number of pages: 57 Posted: 15 Jun 2015
Robert C. Merton and Richard T. Thakor
Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Minnesota - Carlson School of Management
Downloads 17 (482,389)
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Abstract:

11.

On Estimating the Expected Return on the Market: An Exploratory Investigation

NBER Working Paper No. w0444
Number of pages: 71 Posted: 19 Jun 2004 Last Revised: 20 Sep 2010
Robert C. Merton
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 274 (92,685)
Citation 406

Abstract:

12.

Defined Benefit Versus Defined Contribution Pension Plans: What are the Real Tradeoffs?

NBER Working Paper No. w1719
Number of pages: 37 Posted: 27 Apr 2000 Last Revised: 14 Sep 2010
Zvi Bodie, Alan J. Marcus and Robert C. Merton
Boston University - Department of Finance & Economics, Boston College - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 222 (103,818)
Citation 18

Abstract:

13.

Financial Innovation and the Management and Regulation of Financial Institutions

Downloads 222 (115,160)

Financial Innovation and the Management and Regulation of Financial Institutions

NBER Working Paper No. w5096
Number of pages: 46 Posted: 29 Aug 2000
Robert C. Merton
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 222 (114,684)
Citation 45

Abstract:

Financial Innovation and the Management and Regulation of Financial Institutions

Posted: 10 Oct 1998
Robert C. Merton
Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

14.

The Impact of Derivative Markets on Asset Management and the Economy

SUERF Studies No. 2008/5
Number of pages: 175 Posted: 10 Feb 2011
Bernhard Sammer, Peter R. Haiss, Martin Gartner, Otto Loistl, Stephan Zellner, Robert C. Merton, Krzysztof Rybinski and Urszula Sowa
Vienna University of Economics and Business - European Institute, WU Vienna University of Economics and Business, affiliation not provided to SSRN, Vienna University of Economics and Business, Vienna University of Economics and Business, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Warsaw University and National Bank of Poland
Downloads 164 (141,906)
Citation 1

Abstract:

derivatives, financial integration, financial crisis, finance-growth-nexus

15.

Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model

NBER Working Paper No. w3954
Number of pages: 41 Posted: 08 Jun 2004
Zvi Bodie, Robert C. Merton and William F. Samuelson
Boston University - Department of Finance & Economics, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Boston University - Department of Finance & Economics
Downloads 151 (146,386)
Citation 195

Abstract:

16.

Optimal Investment Strategies for University Endowment Funds

NBER Working Paper No. w3820
Number of pages: 46 Posted: 19 Jun 2004
Robert C. Merton
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 148 (152,677)
Citation 14

Abstract:

17.

New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability

NBER Working Paper No. w13607
Number of pages: 32 Posted: 27 Nov 2007 Last Revised: 07 Sep 2010
Dale F. Gray, Zvi Bodie and Robert C. Merton
International Monetary Fund (IMF), Boston University - Department of Finance & Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 147 (151,056)
Citation 19

Abstract:

18.

Pension Plan Integration as Insurance Against Social Security Risk

NBER Working Paper No. w1370
Number of pages: 42 Posted: 23 Jun 2004
Robert C. Merton, Zvi Bodie and Alan J. Marcus
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Boston University - Department of Finance & Economics and Boston College - Department of Finance
Downloads 46 (328,306)
Citation 5

Abstract:

19.

Allocating Shareholder Capital to Pension Plans

Journal of Applied Corporate Finance, Vol. 18, No. 1, pp. 15-24, Winter 2006
Number of pages: 12 Posted: 16 Nov 2006
Robert C. Merton
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 35 (377,017)
Citation 5
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20.

On the Role of Social Security as a Means for Efficient Risk-Bearing in an Economy Where Human Capital is Not Tradeable

NBER Working Paper No. w0743
Number of pages: 61 Posted: 18 Aug 2004
Robert C. Merton
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 35 (380,750)
Citation 37

Abstract:

21.

On Consumption-Indexed Public Pension Plans

NBER Working Paper No. w0910
Number of pages: 34 Posted: 19 Jun 2004
Robert C. Merton
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 28 (392,369)
Citation 9

Abstract:

22.

The Derivatives Sourcebook

Foundations and Trends in Finance, Vol. 1, No. 5-6, 2005
Number of pages: 210 Posted: 15 Jun 2010
Terence Lim, Andrew W. Lo, Robert C. Merton and Myron S. Scholes
Goldman Sachs Group, Inc. - Asset Management Group, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Stanford Graduate School of Business
Downloads 18 (459,956)
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Abstract:

23.

MIT Roundtable on Corporate Risk Management

Journal of Applied Corporate Finance, Vol. 20, No. 4, pp. 20-38, Fall 2008
Number of pages: 21 Posted: 18 Dec 2008
Robert C. Merton
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 4 (529,460)
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Abstract:

24.

Time for Retirement ‘SeLFIES’?

Investments and Pensions Europe, Forthcoming
Number of pages: 2 Posted: 05 Apr 2017 Last Revised: 13 Apr 2017
Robert C. Merton and Arun Muralidhar
Massachusetts Institute of Technology (MIT) - Sloan School of Management and AlphaEngine Global Investment Solutions
Downloads 0 (265,217)

Abstract:

Retirement SeLFIES, Pension REform, Financial Innovation, Forward Starting Bonds, DB Pensions, DC Pensions, Standard of Living Indexation

25.

Fischer Black

Annual Review of Financial Economics, Vol. 5, pp. 9-19, 2013
Posted: 08 Nov 2013
Robert C. Merton and Myron S. Scholes
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Stanford Graduate School of Business

Abstract:

26.

Preface to the Annual Review of Financial Economics

Annual Review of Financial Economics, Vol. 1, pp. 01-17, 2009
Posted: 03 Jun 2010
Andrew W. Lo and Robert C. Merton
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

27.

Contingent Claims Approach to Measuring and Managing Sovereign Risk

Journal of Investment Management, Vol. 5, No. 4, Fourth Quarter 2007
Posted: 17 Jan 2008
Dale F. Gray, Zvi Bodie and Robert C. Merton
International Monetary Fund (IMF), Boston University - Department of Finance & Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

Contingent claims analysis, sovereignrisk, Merton Model, capital structure arbitrage

28.

Design of Financial Systems: Towards a Syntheses of Function and Structure

Journal of Investment Management, Vol. 3, No. 1, First Quarter 2005
Posted: 01 Apr 2005
Zvi Bodie and Robert C. Merton
Boston University - Department of Finance & Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

Financial system, financial structure, risk management

29.

Speeches by Nobel Laureates

Financial Management, Vol. 29, Iss. 3, Autumn 2000
Posted: 31 Oct 2001
Edward J. Kane, Paul A. Samuelson and Robert C. Merton
Boston College - Department of Finance, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

30.

Financial Infrastructure and Public Policy: A Functional Perspective

Posted: 25 Aug 1998
Zvi Bodie and Robert C. Merton
Boston University - Department of Finance & Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

31.

A Conceptual Framework for Analyzing the Financial Environment

WP#95-062
Posted: 25 Aug 1998
Zvi Bodie and Robert C. Merton
Boston University - Department of Finance & Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

32.

The Informational Role of Asset Prices: The Case of Implied Volatility

Working Paper 95-063
Posted: 25 Aug 1998
Zvi Bodie and Robert C. Merton
Boston University - Department of Finance & Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

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