Arturo Cifuentes

Finance & Economics Division, Columbia University

Adjunct Professor of Business

Columbia University, Finance & Economics

URIS HALL

NEW YORK, NY

United States

http://www8.gsb.columbia.edu/cbs-directory/detail/ac4170

SCHOLARLY PAPERS

19

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1,699

CITATIONS

6

Scholarly Papers (19)

1.

The Discounted Cash Flow (DCF) Method Applied to Valuation: Too Many Uncomfortable Truths

Number of pages: 8 Posted: 30 Sep 2016
Arturo Cifuentes
Finance & Economics Division, Columbia University
Downloads 433 (65,774)
Citation 1

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discounted cash flow method, valuation, DCF

2.

A New Financial Metric for the Art Market

Number of pages: 31 Posted: 11 Jul 2013 Last Revised: 20 Apr 2014
Ventura Charlin and Arturo Cifuentes
V. C. Consultants and Finance & Economics Division, Columbia University
Downloads 338 (87,906)
Citation 2

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Art markets, Hedonic pricing models, Paintings, Auction prices

Operational Risk and the Solvency II Capital Aggregation Formula: Implications of the Hidden Correlation Assumptions

Number of pages: 10 Posted: 21 Feb 2016
Arturo Cifuentes and Ventura Charlin
Finance & Economics Division, Columbia University and V. C. Consultants
Downloads 161 (183,385)

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operational risk, correlation, Solvency II standard formula, capital risk aggregation, diversification benefits

Operational Risk and the Solvency II Capital Aggregation Formula: Implications of the Hidden Correlation Assumptions

Journal of Operational Risk, Forthcoming
Number of pages: 11 Posted: 10 Oct 2016
Arturo Cifuentes and Ventura Charlin
Finance & Economics Division, Columbia University and V. C. Consultants
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operational risk (OR), correlation, Solvency II (S2) standard formula (SF), capital risk aggregation, diversification benefits

4.

A Numerical Simulation Approach to Study Systemic Risk in Banking Systems

Number of pages: 33 Posted: 18 Dec 2014 Last Revised: 02 Apr 2016
Finance & Economics Division, Columbia University, State University of New York (SUNY) - Department of Applied Mathematics and Statistics and Central Bank of Costa Rica
Downloads 130 (218,238)

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Systemic risk, banking networks, financial systems, cascades, financial networks

5.

The Capital Asset Pricing Model (CAPM) Applied to Paintings

Number of pages: 12 Posted: 07 Jul 2014
Arturo Cifuentes and Ventura Charlin
Finance & Economics Division, Columbia University and V. C. Consultants
Downloads 115 (239,237)

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Art markets, Hedonic pricing, CAPM, Returns, Indices

6.

The Art Market: What Do We Know About Returns?

Number of pages: 21 Posted: 28 Jul 2015 Last Revised: 19 Nov 2015
Ventura Charlin and Arturo Cifuentes
V. C. Consultants and Finance & Economics Division, Columbia University
Downloads 99 (265,509)

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art market, art returns, hedonic models, investments, bootstrapping

7.

Structured Products and Their Ratings: Are They Sufficiently Stable for Regulatory Purposes?

Number of pages: 18 Posted: 20 Jan 2014
Javier Zapata and Arturo Cifuentes
Duke University and Finance & Economics Division, Columbia University
Downloads 59 (357,815)

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structured products, synthetic CDO, credit rating, credit risk, expected loss, financial regulation

8.

Can Asset Allocation Limits Determine Portfolio Risk-Return Profiles in DC Pension Schemes?

Number of pages: 27 Posted: 20 Aug 2018
Pontifical Catholic University of Rio de Janeiro (PUC-Rio), Adolfo Ibanez University - School of Business, Pontifical Catholic University of Rio de Janeiro (PUC-Rio) and Finance & Economics Division, Columbia University
Downloads 58 (360,826)

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Defined Contribution, Portfolio Constraints, Risk Measures

9.

Dollars and Sense in the Art Market

Number of pages: 15 Posted: 07 Jul 2014
Ventura Charlin and Arturo Cifuentes
V. C. Consultants and Finance & Economics Division, Columbia University
Downloads 44 (407,306)

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Art markets, hedonic pricing, repeat sales, returns

10.

The Paintings of Mark Rothko: A Study of the Relationship Between Price and Color

Number of pages: 25 Posted: 08 Nov 2018
Ventura Charlin and Arturo Cifuentes
V. C. Consultants and Finance & Economics Division, Columbia University
Downloads 43 (410,995)

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Art market, Mark Rothko, Hedonic pricing models, Auction prices, Color, Color representation, Abstract Expressionism, Color palette, Color Diversification,Color contrast

11.

Valuation of Auction Guarantees in the Art Market

Number of pages: 29 Posted: 09 Feb 2019
Ventura Charlin and Arturo Cifuentes
V. C. Consultants and Finance & Economics Division, Columbia University
Downloads 37 (434,487)

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Art Derivatives, Auction Guarantees, Normally Distributed Asset Prices, Risk Management, Financial Risk, Options Valuation

12.

Fifteen Years of Defined Contributions: Assessing the Chilean Pension Experience

Number of pages: 26 Posted: 20 Aug 2018
Hans Schlechter, Bernardo Pagnoncelli and Arturo Cifuentes
Pontifical Catholic University of Chile, Adolfo Ibanez University - School of Business and Finance & Economics Division, Columbia University
Downloads 37 (434,487)

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Pension Funds, Defined Contribution, Rank-Order Metrics

13.

Art Market Returns: Misgivings and Certainties

Number of pages: 11 Posted: 07 Jul 2014
Ventura Charlin and Arturo Cifuentes
V. C. Consultants and Finance & Economics Division, Columbia University
Downloads 35 (442,705)

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Art markets, hedonic pricing, repeat sales, paintings, returns

Reliability and Agreement of Credit Ratings in the Mexican Fixed Income Market

Number of pages: 22 Posted: 30 Nov 2015
Ventura Charlin and Arturo Cifuentes
V. C. Consultants and Finance & Economics Division, Columbia University
Downloads 29 (482,606)

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credit ratings; rating agencies; bond markets; financial regulation

Reliability and Agreement of Credit Ratings in the Mexican Fixed-Income Market

Journal of Credit Risk, Vol. 13, No. 3, 2017
Number of pages: 26 Posted: 06 Sep 2017
Ventura Charlin and Arturo Cifuentes
V. C. Consultants and Finance & Economics Division, Columbia University
Downloads 1 (681,444)
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credit ratings, Mexican bond market, financial regulation, split ratings, rating shopping

15.

A Risk-Assessment Framework for Art-Secured Lending

Number of pages: 31 Posted: 06 Mar 2019
Ventura Charlin and Arturo Cifuentes
V. C. Consultants and Finance & Economics Division, Columbia University
Downloads 27 (480,068)

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Art-Secured Lending; Art-Based Lending, Art-Risk Management, Financial Risk Management, Monte Carlo Simulation, Credit Risk, Market Risk

16.

Towards a Monotonicity-Compliant Price Index for the Art Market

Number of pages: 15 Posted: 19 Mar 2014
Ventura Charlin and Arturo Cifuentes
V. C. Consultants and Finance & Economics Division, Columbia University
Downloads 26 (485,395)
Citation 3

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Art Markets, Hedonic Pricing Models, Pricing Indexes

17.

Pension Funds in Mexico and Chile: A Risk-Reward Comparison

Number of pages: 25 Posted: 08 Apr 2019
Hans Schlechter, Bernardo Pagnoncelli and Arturo Cifuentes
Pontifical Catholic University of Chile, Adolfo Ibanez University - School of Business and Finance & Economics Division, Columbia University
Downloads 16 (542,640)

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Pension Funds, Defined Contribution, Rank-order Metrics

18.

Real Options Applied to Infrastructure Investments: A Volatility-Free Framework Based on Closed-Form Expressions

Number of pages: 16 Posted: 07 Mar 2019 Last Revised: 14 Mar 2019
Ventura Charlin and Arturo Cifuentes
V. C. Consultants and Finance & Economics Division, Columbia University
Downloads 11 (573,033)

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Real Options, Infrastructure Projects, Project Valuation, Derivatives, Black and Scholes, Option to Expand, Option to Abandon

19.

The Effect of Regularization in Portfolio Selection Problems

Posted: 01 Oct 2018
Felipe Del Canto, Bernardo Pagnoncelli and Arturo Cifuentes
Pontifical Catholic University of Chile, Adolfo Ibanez University - School of Business and Finance & Economics Division, Columbia University

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Portfolio Optimization, Regularization, Risk Measures, Sample Average Approximation, Cross-Validation