Roger Stein

Sloan School of Management, MIT

Senior Lecturer in Finance

100 Main Street

E62-416

Cambridge, MA 02142

United States

http://www.rogermstein.com

  • Sloan School of Management, MIT

SCHOLARLY PAPERS

14

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5,833

SSRN CITATIONS
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Top 27,423

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31

CROSSREF CITATIONS

6

Scholarly Papers (14)

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1.

FinTech Platforms and Strategy

MIT Sloan Research Paper No. 5183-16
Number of pages: 20 Posted: 03 Jan 2017 Last Revised: 15 Aug 2017
Vasant Dhar and Roger Stein
New York University (NYU) - Leonard N. Stern School of Business and Sloan School of Management, MIT
Downloads 4,333 (3,871)
Citation 14

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Fintech, Platform, Innovation, Competition, Technology

2.

Funding Long Shots

Rotman School of Management Working Paper No. 3058472
Number of pages: 51 Posted: 25 Oct 2017 Last Revised: 09 Apr 2019
John C. Hull, Andrew W. Lo and Roger Stein
University of Toronto - Rotman School of Management, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Sloan School of Management, MIT
Downloads 922 (42,843)
Citation 8

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Capital Budgeting; Impact Investing; Venture Capital; Private Equity; Megafund; Securitization; Portfolio Theory; Research-Backed Obligation

3.

A Simple Hedge for Longevity Risk and Reimbursement Risk Using Research-Backed Obligations

MIT Sloan Research Paper No. 5165-16
Number of pages: 39 Posted: 04 Mar 2016
Roger Stein
Sloan School of Management, MIT
Downloads 161 (303,326)
Citation 1

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Financial Innovation, Securitization, Financial Engineering, Hedging, Healthcare, Longevity Risk, Health Insurance, Annuities

4.

A Data Driven Machine Learning Approach to Discovering Rules of Price Behavior in a Financial Market Simulation

NYU Working Paper No. 2451/14176
Number of pages: 12 Posted: 13 Oct 2008
Roger Stein
Sloan School of Management, MIT
Downloads 146 (328,933)

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5.

Does Organizational Structure Matter? an Adaptive Simulation Approach for Investigating Information Processing Structures in Organizations

NYU Working Paper No. 2451/14195
Number of pages: 25 Posted: 15 Oct 2008
Roger Stein
Sloan School of Management, MIT
Downloads 86 (479,347)

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6.

Maximization of Organizational Uptime Using an Interactive Genetic-Fuzzy Scheduling and Support System

NYU Working Paper No. 2451/14263
Number of pages: 14 Posted: 15 Oct 2008
Roger Stein and Vasant Dhar
Sloan School of Management, MIT and New York University (NYU) - Leonard N. Stern School of Business
Downloads 72 (531,504)

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scheduling, genetic algorithm, fuzzy logic, constraint satisfaction problems, help desk, optimization, heuristics, graphical user interface, hybrid expert system, monotonic reasoning

7.

Analysis of Web Site Usage Data: How Much Can We Learn About the Consumer from Web Logfiles?

NYU Working Paper No. 2451/14202
Number of pages: 33 Posted: 15 Oct 2008
Balaji Padrnanabhan, Shahana Sen, Alexander Tuzhilin, Norman White and Roger Stein
New York University (NYU), Fairleigh-Dickinson University, New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Leonard N. Stern School of Business and Sloan School of Management, MIT
Downloads 68 (548,177)

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8.

Can Financial Engineering Cure Cancer?: A New Approach to Funding Large-Scale Biomedical Innovation

Number of pages: 43 Posted: 20 Dec 2015 Last Revised: 04 Jul 2022
David Fagnan, Jose Maria Fernandez, Andrew W. Lo and Roger Stein
Massachusetts Institute of Technology (MIT), MIT Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Sloan School of Management, MIT
Downloads 45 (663,992)

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Financial Innovation, Securitization, Financial Engineering, Healthcare

9.

General bounds on the area under the receiver operating characteristic curve and other performance measures when only a single sensitivity and specificity point is known

Journal of Risk Model Validation, Vol. 16, No. 2, 2022
Posted: 22 Jul 2022
Roger Stein
Sloan School of Management, MIT

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receiver operating characteristic (ROC), area under the curve (AUC), diagnostic testing, model validation, Mann–Whitney–Wilcoxon test, Cohen’s d

10.

TRC Networks and Systemic Risk

MIT Sloan Research Paper No. 5153-15, https://doi.org/10.3905/jai.2016.18.4.052
Posted: 22 Dec 2015 Last Revised: 22 May 2019
Andrew W. Lo and Roger Stein
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Sloan School of Management, MIT
Downloads 0 (1,026,942)

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Systemic Risk; Network Analysis; Credit Risk

11.

Aggregate and Firm-Level Measures of Systemic Risk from a Structural Model of Default

Journal of Alternative Investments, Vol. 17, No. 4, 2015
Posted: 20 Dec 2015
Alexander Reyngold, Ksenia Shnyra and Roger Stein
Independent, Independent and Sloan School of Management, MIT

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systemic risk, structural model of default, credit models

12.

Evaluating Discrete Choice Prediction Models When the Evaluation Data is Corrupted: Analytic Results and Bias Corrections for the Area Under the ROC

Data Mining and Knowledge Discovery, Forthcoming
Posted: 20 Dec 2015
Roger Stein
Sloan School of Management, MIT

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ROC Model validation, Prediction, Data corruption, Bias correction, Misclassification, Credit models, Machine learning

13.

Approaches to Improving Bank Share Value Using Credit Portfolio Management and Credit - Transfer Pricing

Journal Of Investment Management (JOIM), Second Quarter 2013
Posted: 15 Jun 2013
Jeffrey Bohn, Jeffrey Bohn and Roger Stein
State Street CorporateUniversity of California, Berkeley - Center for Risk Management Research and Sloan School of Management, MIT

Abstract:

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Credit-transfer pricing, credit risk, credit-portfolio management, banking; diversification, correlation

14.

The Role of Stress Testing in Credit Risk Management

Journal of Investment Management (JOIM), Fourth Quarter 2012
Posted: 20 May 2013
Roger Stein
Sloan School of Management, MIT

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Stress testing, scenario analysis, portfolio analysis, systemic risk, model risk, VaR, macroeconomic analysis, credit risk