Samim Ghamami

University of California, Berkeley - Center for Risk Management Research

581 Evans Hall

Berkely, CA 94720

United States

New York University (NYU)

Bobst Library, E-resource Acquisitions

20 Cooper Square 3rd Floor

New York, NY 10003-711

United States

Goldman Sachs Group, Inc.

85 Broad Street

New York, NY 10004

United States

  • University of California, Berkeley - Center for Risk Management Research

  • New York University (NYU)

  • Goldman Sachs Group, Inc.

SCHOLARLY PAPERS

15

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1,845

SSRN CITATIONS
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SSRN RANKINGS

Top 15,834

in Total Papers Citations

19

CROSSREF CITATIONS

43

Scholarly Papers (15)

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1.

Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement

Number of pages: 42 Posted: 19 Sep 2013 Last Revised: 23 Jul 2014
Samim Ghamami and Bo Zhang
and IBM Corporation - Thomas J. Watson Research Center
Downloads 351 (92,366)

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Counterparty credit risk (CCR), central counterparty credit risk, regulatory CCR measures, credit value adjustment, efficient Monte Carlo

2.

Does OTC Derivatives Reform Incentivize Central Clearing?

Downloads 299 (110,222)
Citation 9

Does OTC Derivatives Reform Incentivize Central Clearing?

OFR WP 16-07
Number of pages: 48 Posted: 25 Aug 2016
Samim Ghamami and Paul Glasserman
and Columbia Business School
Downloads 166 (194,557)
Citation 6

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Central Clearing, OTC Derivatives, Margin, Collateral, Capital

Does OTC Derivatives Reform Incentivize Central Clearing?

Columbia Business School Research Paper No. 16-53
Number of pages: 47 Posted: 11 Aug 2016
Samim Ghamami and Paul Glasserman
and Columbia Business School
Downloads 133 (233,984)
Citation 5

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Central Clearing, OTC Derivatives, Margin, Collateral, Capital

3.

Static Models of Central Counterparty Risk

Forthcoming: Journal of Financial Engineering
Number of pages: 32 Posted: 07 Feb 2014 Last Revised: 20 Apr 2015
Samim Ghamami
Downloads 282 (117,336)
Citation 7

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Risk Management, Clearing Mandate, Central Counterparty Risk, Risk Capital, Stochastic Models, Copulas, Monte Carlo Simulation

4.

Derivatives Pricing Under Bilateral Counterparty Risk

Number of pages: 28 Posted: 03 Apr 2015 Last Revised: 12 Apr 2015
Peter Carr and Samim Ghamami
New York University Finance and Risk Engineering and
Downloads 245 (135,688)
Citation 1

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Reduced-Form Modeling, Counterparty Risk, Wrong Way Risk, Credit Value Adjustment, Basel III

5.

Submodular Risk Allocation

Columbia Business School Research Paper No. 17-79
Number of pages: 39 Posted: 03 Aug 2017
Samim Ghamami and Paul Glasserman
and Columbia Business School
Downloads 160 (200,640)
Citation 1

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OTC Derivatives Market, Central Clearing, Collateral, Capital, Submodularity, Optimization

6.

Efficient Monte Carlo CVA Estimation

Proceedings of the 2014 Winter Simulation Conference
Number of pages: 12 Posted: 23 Dec 2014
Samim Ghamami and Bo Zhang
and IBM Corporation - Thomas J. Watson Research Center
Downloads 141 (222,616)

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Risk Management, Counterparty Credit Risk, Credit Value Adjutment, Monte Carlo, Basel III

7.

Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA

Downloads 117 (256,852)
Citation 9

Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA

FEDS Working Paper 2014-54
Number of pages: 19 Posted: 13 Aug 2014
Samim Ghamami and Lisa R. Goldberg
and University of California, Berkeley
Downloads 117 (257,988)
Citation 10

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Credit value adjustment, stochastic intensity modeling, wrong way and right way risk, Basel III, counterparty credit risk

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Credit Value Adjustment, Wrong Way Risk, Basel III CVA Capital Charges, Stochastic Intensity Modeling

8.

Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement

Downloads 101 (284,657)
Citation 5

Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement

FEDS Working Paper No. 2014-114
Number of pages: 43 Posted: 08 Jan 2015
Samim Ghamami and Bo Zhang
and IBM Corporation - Thomas J. Watson Research Center
Downloads 101 (286,538)
Citation 1

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Basel II, Basel III, OTC derivatives market, Risk management, counterparty credit risk, credit value adjustment, efficient Monte Carlo simulation

Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement

Journal of Credit Risk, Vol. 10, No. 3, 2014
Number of pages: 48 Posted: 06 Jun 2016
Samim Ghamami and Bo Zhang
and IBM Corporation - Thomas J. Watson Research Center
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Counterparty credit risk, Monte Carlo simulation, pricing

9.

Collateralized Networks

Downloads 76 (339,471)

Collateralized Networks

Number of pages: 44 Posted: 20 Jun 2019
Samim Ghamami, Paul Glasserman and Peyton Young
, Columbia Business School and Government of the United States of America - Office of Financial Research
Downloads 54 (411,074)

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contagion, OTC markets, financial regulation, network, fire sales, collateral, automatic stays for qualified financial contracts

Collateralized Networks

Number of pages: 48 Posted: 01 May 2020
Samim Ghamami, Paul Glasserman and Peyton Young
, Columbia Business School and Government of the United States of America - Office of Financial Research
Downloads 22 (567,947)

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Contagion, OTC Markets, Financial Regulation, Network, Fire Sales, Collateral, Automatic Stays for Qualified Financial Contracts

10.

Derivatives Pricing Under Bilateral Counterparty Risk

Downloads 73 (347,313)
Citation 4

Derivatives Pricing Under Bilateral Counterparty Risk

FEDS Working Paper No. 2015-026
Number of pages: 29 Posted: 05 May 2015
Samim Ghamami
Downloads 72 (353,883)

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Basel III, Counterparty Risk, Credit Value Adjustment, Reduced-Form Modeling, Wrong Way Risk

Derivatives Pricing Under Bilateral Counterparty Risk

Journal of Risk, Forthcoming
Number of pages: 31 Posted: 17 Oct 2017
Peter Carr and Samim Ghamami
New York University Finance and Risk Engineering and
Downloads 1 (734,941)
Citation 1
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Asset Pricing, Reduced-Form Modeling, Counterparty Risk, Wrong-Way Risk (WWR), Credit Value Adjustment (CVA)

11.

Efficient Simulation of a Random Knockout Tournament

Journal of Industrial and Systems Engineering, Vol. 2, No. 2, pp 88-96. Summer 2008
Posted: 03 Nov 2013
Sheldon Ross and Samim Ghamami
University of Southern California - Viterbi School of Engineering and

Abstract:

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Efficient Monte Carlo simulation, random knockout tournaments

12.

Dynamic Scheduling of a Two-Server Parallel Server System with Complete Resource Pooling and Reneging in Heavy Traffic: Asymptotic Optimality of a Two-Threshold Policy

Mathematics of Operations Research, Forthcoming
Posted: 03 Nov 2013
Samim Ghamami and Amy R. Ward
and Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)

Abstract:

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Asymptotically optimal stochastic control, approximating diffusion control, threshold control, parallel server system

13.

Improving the Normalized Importance Sampling Estimator

Probability in the Engineering and Informational Sciences, 2012
Posted: 27 Oct 2013
Samim Ghamami and Sheldon Ross
and University of Southern California - Viterbi School of Engineering

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Monte Carlo simulation, importance sampling, Delta method

14.

Improving the Asmussen-Kroese-Type Simulation Estimators

Journal of Applied Probability, Vol. 49, No. 4, 2012
Posted: 27 Oct 2013
Samim Ghamami and Sheldon Ross
and University of Southern California - Viterbi School of Engineering

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Heavy-tailed random variables, efficient Monte Carlo simulation, Asmussen-Kroese estimators, stop-loss transform

15.

Efficient Monte Carlo Barrier Option Pricing When the Underlying Security Price Follows a Jump-Diffusion Process

Journal of Derivatives, Vol. 17, No. 3, 2010
Posted: 27 Oct 2013
Sheldon Ross and Samim Ghamami
University of Southern California - Viterbi School of Engineering and

Abstract:

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Option pricing; jump-diffusion processes; efficient Monte Carlo simulation