Craig J. McCann

Securities Litigation and Consulting Group

3998 Fair Ridge Drive, Suite 250

Fairfax, VA 22033

United States

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 9,032

SSRN RANKINGS

Top 9,032

in Total Papers Downloads

4,224

CITATIONS
Rank 33,217

SSRN RANKINGS

Top 33,217

in Total Papers Citations

6

Scholarly Papers (27)

1.

Are VIX Futures ETPs Effective Hedges?

The Journal of Index Investing, Winter 2012, Vol. 3, No. 3, pp. 35-48
Number of pages: 25 Posted: 27 Jun 2012 Last Revised: 20 Dec 2012
Geng Deng, Craig J. McCann and Olivia Wang
Wells Fargo, Securities Litigation and Consulting Group and Securities Litigation & Consulting Group
Downloads 328 (58,982)

Abstract:

VIX, ETFs, VIX Futures ETPs, Hedge

2.

Modeling Autocallable Structured Products

Journal of Derivatives & Hedge Funds, Vol. 17, pp. 326-340, 2011
Number of pages: 20 Posted: 08 Jan 2012 Last Revised: 01 Aug 2013
Geng Deng, Craig J. McCann and Joshua Mallett
Wells Fargo, Securities Litigation and Consulting Group and Securities and Exchange Commission (SEC)
Downloads 290 (63,251)
Citation 2

Abstract:

Structured products, autocallable

3.

The VXX ETN and Volatility Exposure

PIABA Bar Journal, Volume 18, No. 2 (2011)
Number of pages: 20 Posted: 05 Feb 2012 Last Revised: 18 Jun 2012
Tim Husson and Craig J. McCann
Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 279 (56,251)
Citation 1

Abstract:

VXX, VIX, ETN, futures, roll yield, volatility

4.

Robust Portfolio Optimization with Value-At-Risk Adjusted Sharpe Ratio

Journal of Asset Management, 14(5):293-305, 2013
Number of pages: 22 Posted: 13 Sep 2012 Last Revised: 18 Jan 2014
Geng Deng, Tim Dulaney, Craig J. McCann and Olivia Wang
Wells Fargo, Securities and Exchange Commission, Securities Litigation and Consulting Group and Securities Litigation & Consulting Group
Downloads 262 (79,535)

Abstract:

Sharpe Ratio, Robust Portfolio Optimization, Value-at-Risk

5.

Leveraged, Inverse, and Futures-Based ETFs

PIABA Bar Journal, Vol 19, No 1 (2012)
Number of pages: 26 Posted: 18 Oct 2012
Tim Dulaney, Tim Husson and Craig J. McCann
Securities and Exchange Commission, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 216 (78,421)
Citation 1

Abstract:

Leveraged, Inverse Leveraged, ETF, Futures-Based, Commodities, Roll yield, Contango, Backwardation

6.

A Non-Traded REITs Primer

Number of pages: 19 Posted: 01 May 2012 Last Revised: 03 May 2012
Tim Husson, Craig J. McCann and Carmen Taveras
Securities and Exchange Commission, Securities Litigation and Consulting Group and Securities Litigation and Consulting Group
Downloads 161 (118,371)

Abstract:

real estate, REIT, non-traded

7.

Structured Product Based Variable Annuities

The Journal of Retirement (Winter 2014) Vol. 1, No. 3, pp. 97-111 DOI: 10.3905/jor.2014.1.3.097
Number of pages: 21 Posted: 01 May 2012 Last Revised: 01 Feb 2014
Geng Deng, Tim Dulaney, Tim Husson and Craig J. McCann
Wells Fargo, Securities and Exchange Commission, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 140 (147,957)

Abstract:

annuity, variable annuity, structured product, hybrid annuity, retirement,

8.

Valuation of Structured Products

Journal of Alternative Investments, Vol. 16, No. 4, 2014
Number of pages: 26 Posted: 16 Aug 2013 Last Revised: 06 Nov 2016
Geng Deng, Tim Husson and Craig J. McCann
Wells Fargo, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 136 (92,329)
Citation 1

Abstract:

structured products, valuation, structured notes, simulation, credit risk

9.

Crooked Volatility Smiles: Evidence from Leveraged and Inverse ETF Options

Journal of Derivatives and Hedge Funds, 19, 278-294, 2014
Number of pages: 23 Posted: 18 Dec 2012 Last Revised: 29 Apr 2017
Geng Deng, Tim Dulaney, Craig J. McCann and Mike Yan
Wells Fargo, Securities and Exchange Commission, Securities Litigation and Consulting Group and Securities Litigation and Consulting Group
Downloads 131 (163,892)

Abstract:

Volatility Smile, Volatility Skew, Leveraged ETF, Inverse ETF, Options

10.

Isolating the Effect of Day-Count Conventions on the Market Value of Interest Rate Swaps

Number of pages: 12 Posted: 01 May 2012 Last Revised: 26 Dec 2012
Geng Deng, Tim Dulaney, Tim Husson and Craig J. McCann
Wells Fargo, Securities and Exchange Commission, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 104 (200,718)

Abstract:

Day-Count Convention, Interest Rate Swaps

11.

Optimizing Portfolio Liquidation Under Risk-Based Margin Requirements

Journal of Finance and Investment Analysis, 2013, Vol 2, No 1, 121-153
Number of pages: 27 Posted: 07 Apr 2012 Last Revised: 01 Aug 2013
Geng Deng, Tim Dulaney and Craig J. McCann
Wells Fargo, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 95 (196,935)

Abstract:

Portfolio Margin, Liquidation

12.

Structured Certificates of Deposit: Introduction and Valuation

Financial Services Review, Vol. 23, No. 3, 219-237, 2014
Number of pages: 22 Posted: 01 Aug 2013 Last Revised: 06 Nov 2016
Geng Deng, Tim Dulaney, Tim Husson and Craig J. McCann
Wells Fargo, Securities and Exchange Commission, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 92 (165,872)

Abstract:

Market-linked CDs, Certificate of Deposit, Equity-linked CDs, Derivatives, Structured Products, Valuation, Contingent Interest CDs, FDIC Insurance, Securities

13.

Valuation of Reverse Convertibles in the Variance Gamma Economy

Journal of Derivatives and Hedge Funds, 19, 244-258, 2014
Number of pages: 20 Posted: 01 Mar 2012 Last Revised: 22 Feb 2014
Geng Deng, Tim Dulaney and Craig J. McCann
Wells Fargo, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 82 (244,384)
Citation 1

Abstract:

Stochastic Volatility, Reverse Convertibles, Structured Products, Variance Gamma Model

14.

The Anatomy of Principal Protected Absolute Return Notes

Journal of Derivatives, Vol. 19, No. 2, pp. 61-70, 2011
Number of pages: 16 Posted: 08 Jan 2012 Last Revised: 26 Dec 2012
Geng Deng, Ilan Guedj, Craig J. McCann and Joshua Mallett
Wells Fargo, Bates White, LLC, Securities Litigation and Consulting Group and Securities and Exchange Commission (SEC)
Downloads 79 (224,697)

Abstract:

Structured Products, Barrier Option, Absolute Return Barrier Notes, Principal Protected

Modeling a Risk-Based Criterion for a Portfolio with Options

Journal of Risk, 16(6), 77-100, 2014
Number of pages: 23 Posted: 17 Dec 2013 Last Revised: 06 Nov 2016
Geng Deng, Tim Dulaney and Craig J. McCann
Wells Fargo, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 74 (274,173)

Abstract:

Portfolio Margin, Optioned Portfolio, Portfolio Selection

Modeling a Risk-Based Criterion for a Portfolio with Options

Journal of Risk, Vol. 16, No. 6, 2014
Number of pages: 24 Posted: 09 Jun 2016
Geng Deng, Tim Dulaney and Craig J. McCann
Wells Fargo, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 0
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Abstract:

risk-based criterion, options, expected loss

16.

Private Placement Real Estate Valuation

Journal of Business Valuation and Economic Loss Analysis (Forthcoming)
Number of pages: 17 Posted: 15 Nov 2013
Tim Husson, Craig J. McCann, Eddie O'Neal and Carmen Taveras
Securities and Exchange Commission, Securities Litigation and Consulting Group, Securities Litigation and Consulting Group and Securities Litigation and Consulting Group
Downloads 66 (232,655)

Abstract:

real estate, private placements, valuation, discounted cash flow, tenants-in-common

17.

Ex-Post Structured Product Returns: Index Methodology and Analysis

Journal of Investing, Vol. 24, No. 2, 2015
Number of pages: 23 Posted: 06 Nov 2013 Last Revised: 06 Nov 2016
Geng Deng, Tim Dulaney, Tim Husson, Craig J. McCann and Mike Yan
Wells Fargo, Securities and Exchange Commission, Securities and Exchange Commission, Securities Litigation and Consulting Group and Securities Litigation and Consulting Group
Downloads 62 (180,659)

Abstract:

structured products, index, valuation, finance, mispricing

18.

Valuing Partial Interests in Trusts and Assessing the Prudent Investor Standard

Number of pages: 21 Posted: 01 May 2012
Geng Deng, Tim Husson and Craig J. McCann
Wells Fargo, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 59 (293,877)

Abstract:

trust, partial interest, Monte Carlo simulation, prudent investor

19.

Dual Directional Structured Products

Journal of Derivatives & Hedge Funds, Vol. 20, 99-112, 2014
Number of pages: 17 Posted: 11 May 2012 Last Revised: 06 Nov 2016
Geng Deng, Tim Dulaney, Tim Husson and Craig J. McCann
Wells Fargo, Securities and Exchange Commission, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 55 (293,877)

Abstract:

Structured Products, Straddle, Dual Directional, Valuation

20.

What Does a Mutual Fund’s Average Credit Quality Tell Investors?

Journal of Investing, Vol. 19, No. 4, pp. 58-65, 2010
Number of pages: 13 Posted: 08 Jan 2012
Geng Deng, Craig J. McCann and Eddie O'Neal
Wells Fargo, Securities Litigation and Consulting Group and Securities Litigation and Consulting Group
Downloads 51 (210,055)

Abstract:

mutual funds, credit risk, average credit quality, credit ratings

21.

Efficient Valuation of Equity-Indexed Annuities Under Lévy Processes Using Fourier-Cosine Series

Forthcoming Journal of Computational Finance
Number of pages: 24 Posted: 16 Feb 2014 Last Revised: 06 Nov 2016
Geng Deng, Tim Dulaney, Craig J. McCann and Mike Yan
Wells Fargo, Securities and Exchange Commission, Securities Litigation and Consulting Group and Securities Litigation and Consulting Group
Downloads 50 (253,536)

Abstract:

EIA, Lévy process, Fourier Method

22.

Using EMMA to Access Municipal Bond Markups

PIABA Bar Journal, Vol. 20, No. 1, 99-122, 2013
Number of pages: 19 Posted: 08 Jun 2013 Last Revised: 06 Nov 2016
Geng Deng and Craig J. McCann
Wells Fargo and Securities Litigation and Consulting Group
Downloads 49 (277,856)

Abstract:

Municipal Bond, MSRB, Trading, Markups

23.

Leveraged Municipal Bond Arbitrage: What Went Wrong?

Journal of Alternative Investments, Vol. 14, No. 4, 2012
Number of pages: 30 Posted: 08 Jan 2014
Geng Deng and Craig J. McCann
Wells Fargo and Securities Litigation and Consulting Group
Downloads 45 (257,358)

Abstract:

Leveraged municipal, Hedge fund

24.

What Does a Mutual Fund’s Term Tell Investors?

Journal of Investing, Vol. 20, No. 2, pp. 50-57, 2011
Number of pages: 12 Posted: 08 Jan 2012
Geng Deng, Craig J. McCann and Eddie O'Neal
Wells Fargo, Securities Litigation and Consulting Group and Securities Litigation and Consulting Group
Downloads 42 (337,302)

Abstract:

mutual funds, credit risk

25.

What is a TIC Worth?

PIABA Bar Journal, Vol 19, No 3 (2012)
Number of pages: 18 Posted: 04 Jan 2013 Last Revised: 02 Dec 2013
Tim Husson, Craig J. McCann and Carmen Taveras
Securities and Exchange Commission, Securities Litigation and Consulting Group and Securities Litigation and Consulting Group
Downloads 37 (322,540)

Abstract:

Tenants-in-common, TIC, private placement, real estate, 1031 exchange

26.

Large Sample Valuations of Tenancies-in-Common

Number of pages: 16 Posted: 22 Feb 2014
Tim Husson, Craig J. McCann, Eddie O'Neal and Carmen Taveras
Securities and Exchange Commission, Securities Litigation and Consulting Group, Securities Litigation and Consulting Group and Securities Litigation and Consulting Group
Downloads 19 (409,466)

Abstract:

real estate, valuation, tenants-in-common, discounted cash flow, private placements

27.

How Widespread and Predictable is Stock Broker Misconduct?

Number of pages: 33 Posted: 25 Apr 2016 Last Revised: 09 Jun 2016
Craig J. McCann, Chuan Qin and Mike Yan
Securities Litigation and Consulting Group, Securities Litigation and Consulting Group and Securities Litigation and Consulting Group
Downloads 0 (240,895)

Abstract:

BrokerCheck, Investor harm, Disclosures, CRD, FINRA, Predictive modeling