Zhikai Xu

AQR Capital Management, LLC

Greenwich, CT

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 16,177

SSRN RANKINGS

Top 16,177

in Total Papers Downloads

3,341

SSRN CITATIONS
Rank 38,565

SSRN RANKINGS

Top 38,565

in Total Papers Citations

1

CROSSREF CITATIONS

17

Scholarly Papers (6)

1.

Pricing and Hedging CoCos

Number of pages: 27 Posted: 17 Jan 2013 Last Revised: 09 Apr 2015
Patrick Cheridito and Zhikai Xu
ETH Zurich and AQR Capital Management, LLC
Downloads 1,036 (23,377)
Citation 7

Abstract:

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Contingent convertible bonds, credit default swaps, pricing, calibration, hedging, intensity-based model, first-passage time model

2.

(Systematic) Investing in Emerging Market Debt

Number of pages: 39 Posted: 02 Mar 2020 Last Revised: 04 Mar 2020
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 772 (35,479)

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emerging market bonds, fixed income funds, systematic investing

3.

Option-Implied Currency Risk Premia

Number of pages: 79 Posted: 13 Oct 2013 Last Revised: 17 Oct 2014
Jakub W. Jurek and Zhikai Xu
University of Pennsylvania - Finance Department and AQR Capital Management, LLC
Downloads 748 (37,030)
Citation 13

Abstract:

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risk premia, currency carry trade, disaster risk, exchange rate options

4.

A Reduced Form CoCo Model with Deterministic Conversion Intensity

Number of pages: 13 Posted: 21 Apr 2013 Last Revised: 15 Mar 2015
Patrick Cheridito and Zhikai Xu
ETH Zurich and AQR Capital Management, LLC
Downloads 479 (66,016)
Citation 8

Abstract:

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Contingent convertible bonds, credit default swaps, reduced form model, pricing, calibration, hedging

Sovereign Credit Quality and Violations of the Law of One Price

Number of pages: 35 Posted: 23 Aug 2016 Last Revised: 04 Nov 2019
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and AQR Capital Management, LLC
Downloads 271 (125,490)

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Liquidity, International Bond Pricing, Financial Crisis, Euro Crisis, Arbitrage

The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds

NBER Working Paper No. w22576
Number of pages: 49 Posted: 31 Aug 2016
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and AQR Capital Management, LLC
Downloads 35 (504,397)

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6.

A Reduced-Form Contingent Convertible Bond Model with Deterministic Conversion Intensity

Journal of Risk, Vol. 17, No. 3, 2015
Number of pages: 18 Posted: 24 Jun 2016
Patrick Cheridito and Zhikai Xu
ETH Zurich and AQR Capital Management, LLC
Downloads 0 (739,238)
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Abstract:

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contingent convertible bonds, credit default swaps, reduced-form model, pricing calibration, hedging