Alexandre M. Baptista

George Washington University - School of Business

School of Business, Funger Hall, Suite 501

2201 G Street, NW

Washington, DC 20052

United States

http://home.gwu.edu/~alexbapt/

SCHOLARLY PAPERS

26

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SSRN CITATIONS

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CROSSREF CITATIONS

7

Scholarly Papers (26)

1.

Cvar as a Measure of Risk: Implications for Portfolio Selection

Number of pages: 34 Posted: 21 Jul 2003
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business
Downloads 1,354 (15,843)
Citation 5

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VaR, CVaR, Risk Management, Portfolio Choice

2.

A Var-Constrained Mean-Variance Model: Implications for Portfolio Selection and the Basle Capital Accord.

Number of pages: 45 Posted: 04 Jul 2001
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business
Downloads 894 (29,334)
Citation 2

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3.

Conditional Expected Loss as a Measure of Risk: Implications for Portfolio Selection

Number of pages: 41 Posted: 11 Mar 2002
Alexandre M. Baptista and Gordon J. Alexander
George Washington University - School of Business and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 701 (40,904)
Citation 1

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Conditional Expected Loss, VaR, Risk Management, Portfolio Choice

4.

Bank Regulation and Stability: An Examination of the Basel Market Risk Framework

Bundesbank Discussion Paper No. 09/2012
Number of pages: 56 Posted: 21 Jun 2016
Gordon J. Alexander, Alexandre M. Baptista and Shu Yan
University of Minnesota - Twin Cities - Carlson School of Management, George Washington University - School of Business and University of South Carolina
Downloads 30 (523,148)

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Bank regulation, bank stability, Basel framework, crisis, tail risk

5.

Options and Efficiency in Multidate Security Markets

Mathematical Finance, Vol. 15, No. 4, pp. 569-587, October 2005
Number of pages: 19 Posted: 02 Oct 2005
Alexandre M. Baptista
George Washington University - School of Business
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6.

Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework

Journal of Money, Credit, and Banking, Vol. 49, No. 4, pp. 603-634, June 2017
Posted: 18 Jul 2017
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business

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bank capital regulation, trading portfolios, Basel framework, risk

7.

A Comparison of the Original and Revised Basel Market Risk Frameworks for Regulating Bank Capital

Journal of Economic Behavior and Organization, Vol. 85, pp. 249-268, , January 2013
Posted: 18 Jul 2017
Gordon J. Alexander, Alexandre M. Baptista and Shu Yan
University of Minnesota - Twin Cities - Carlson School of Management, George Washington University - School of Business and Oklahoma State University - Stillwater - Department of Finance

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Bank regulation, Risk management, Basel framework, Tail risk

8.

Bank Regulation and International Financial Stability: A Case Against the 2006 Basel Framework for Controlling Tail Risk in Trading Books

Journal of International Money and Finance, Vol. 43, pp. 107-130, May 2014
Posted: 18 Jul 2017
Gordon J. Alexander, Alexandre M. Baptista and Shu Yan
University of Minnesota - Twin Cities - Carlson School of Management, George Washington University - School of Business and Oklahoma State University - Stillwater - Department of Finance

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Bank regulation, Financial stability, Basel framework, Financial crisis, Tail risk

9.

Portfolio Selection with Mental Accounts and Estimation Risk

Journal of Empirical Finance, Vol. 41, pp. 161-186, March 2017
Posted: 18 Jul 2017
Gordon J. Alexander, Alexandre M. Baptista and Shu Yan
University of Minnesota - Twin Cities - Carlson School of Management, George Washington University - School of Business and Oklahoma State University - Stillwater - Department of Finance

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Portfolio selection, Mental accounts, Estimation risk, Behavioral finance

10.

On Regulatory Responses to the Recent Crisis: An Assessment of the Basel Market Risk Framework and the Volcker Rule

Financial Markets, Institutions & Instruments, Vol. 24, Issue 2-3, pp. 87-125, 2015
Number of pages: 39 Posted: 07 Apr 2015
Gordon J. Alexander, Alexandre M. Baptista and Shu Yan
University of Minnesota - Twin Cities - Carlson School of Management, George Washington University - School of Business and Oklahoma State University - Stillwater - Department of Finance
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Basel framework, financial crisis, Volcker Rule, systemic risk, financial stability, tail risk

11.

Portfolio Selection with Mental Accounts and Background Risk

Journal of Banking and Finance, Vol. 36, No. 4, pp. 968-980, April 2012
Posted: 03 Mar 2012
Alexandre M. Baptista
George Washington University - School of Business

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Portfolio selection, Mental accounts, Background risk, Behavioral finance

12.

Portfolio Selection with Mental Accounts and Delegation

Journal of Banking and Finance, Vol. 35, No. 10, pp. 2637-2656, October 2011
Posted: 18 Feb 2012
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business

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Portfolio selection, Mental accounts, Delegation, Benchmarking, Behavioral finance

13.

Active Portfolio Management with Benchmarking: A Frontier Based on Alpha

Journal of Banking and Finance, Vol. 34, No. 9, pp. 2185-2197, September 2010
Posted: 07 Aug 2010
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business

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Active portfolio management, Benchmarking, Alpha, Tracking error, Risk management

14.

Stress Testing by Financial Intermediaries: Implications for Portfolio Selection and Asset Pricing

Journal of Financial Intermediation, Vol. 18, No. 1, pp. 65-92, January 2009
Posted: 05 Sep 2008 Last Revised: 13 Jan 2009
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business

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Stress testing, Financial intermediaries, Portfolio selection, Asset pricing, Idiosyncratic returns, Risk management, Regulation

15.

Reducing Estimation Risk in Optimal Portfolio Selection When Short Sales are Allowed

Managerial and Decision Economics, Vol. 30, No. 5, pp. 281-305, July 2009
Posted: 05 Sep 2008 Last Revised: 30 Jun 2009
Gordon J. Alexander, Alexandre M. Baptista and Shu Yan
University of Minnesota - Twin Cities - Carlson School of Management, George Washington University - School of Business and Oklahoma State University - Stillwater - Department of Finance

Abstract:

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Estimation Risk, Portfolio Selection, Short Sales, VaR, Risk Management

16.

Optimal Delegated Portfolio Management with Background Risk

Journal of Banking and Finance, Vol. 32, No. 6, 2008
Posted: 29 Jul 2008
Alexandre M. Baptista
George Washington University - School of Business

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Delegated portfolio management, Background risk, Benchmarking, Portfolio choice

17.

Active Portfolio Management with Benchmarking: Adding a Value-at-Risk Constraint

Journal of Economic Dynamics and Control, Vol. 32, No. 3, pp. 779-820, March 2008
Posted: 01 Apr 2007 Last Revised: 04 Mar 2008
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business

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Benchmarking, VaR, Tracking error, Portfolio choice, Risk management

18.

Mean-Variance Portfolio Selection With 'At-Risk' Constraints and Discrete Distributions

Journal of Banking and Finance, Vol. 31, No. 12, pp. 3761-3781, December 2007
Posted: 01 Apr 2007 Last Revised: 05 Sep 2008
Gordon J. Alexander, Alexandre M. Baptista and Shu Yan
University of Minnesota - Twin Cities - Carlson School of Management, George Washington University - School of Business and Oklahoma State University - Stillwater - Department of Finance

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Value-at-risk, Conditional value-at-risk, Portfolio selection, Discrete distributions

19.

Portfolio Performance Evaluation Using Value at Risk

Journal of Portfolio Management, Vol. 29, pp. 93-102, Summer 2003
Posted: 16 Oct 2006
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business

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Value-at-risk (VaR), portfolio performance

20.

Does the Basle Capital Accord Reduce Bank Fragility? An Assessment of the Value-at-Risk Approach

Journal of Monetary Economics, Vol. 53, No. 7, pp. 1631-1660, October 2006
Posted: 16 Oct 2006
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business

Abstract:

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Bank regulation, VaR, Portfolio choice, Risk management

21.

A Comparison of VAR and Cvar Constraints on Portfolio Selection with the Mean-Variance Model

Management Science, Vol. 50, No. 9, pp. 1261-1273, September 2004
Posted: 12 Oct 2006
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business

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value-at-risk (VaR), conditional value-at-risk (CVaR), risk management, portfolio choice

22.

Portfolio Selection With a Drawdown Constraint

Journal of Banking and Finance, Vol. 30, No. 11, pp. 3171-3189, November 2006
Posted: 12 Oct 2006
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business

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Portfolio selection, Maximum drawdown, Risk management

23.

On the Non-Existence of Redundant Options

Economic Theory, Vol. 31, No. 2, pp. 205-212, May 2007
Posted: 12 Jun 2006
Alexandre M. Baptista
George Washington University - School of Business

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Options, Redundant securities, Incomplete markets

24.

Spanning with American Options

Posted: 16 Nov 2003
Alexandre M. Baptista
George Washington University - School of Business

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25.

Economic Implications of Using a Mean-VaR Model for Portfolio Selection: A Comparison With Mean-Variance Analysis

Journal of Economic Dynamics & Control, Vol. 26, No. 7-8, pp. 1159-1193, July 2002
Posted: 09 May 2002
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business

Abstract:

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Portfolio Choice, VaR, Risk Management and Control, Asset Pricing

26.

A Note on the Rights Valuation Formula Commonly Presented in Finance Textbooks

Journal of Applied Finance, Vol. 11, pp. 102-109, 2001
Posted: 03 Jan 2002
Gordon J. Alexander and Alexandre M. Baptista
University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business

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