Jeffrey Bohn

University of California, Berkeley - Center for Risk Management Research

Affiliated Researcher

581 Evans Hall

Berkely, CA

United States

State Street Corporate

Chief Science Officer, Head of GX Labs

1 Lincoln Street

Boston, MA 02111

United States

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

  • State Street Corporate

SCHOLARLY PAPERS

4

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341

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (4)

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1.

Identifying Broad and Narrow Financial Risk Factors with Convex Optimization

Number of pages: 27 Posted: 25 Jun 2016 Last Revised: 21 Aug 2016
Alexander Shkolnik, Alexander Shkolnik, Lisa R. Goldberg, Jeffrey Bohn and Jeffrey Bohn
University of California, Santa Barbara (UCSB)University of California at Berkeley, University of California, Berkeley and State Street CorporateUniversity of California, Berkeley - Center for Risk Management Research
Downloads 341 (124,831)
Citation 2

Abstract:

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financial risk factors, broad, narrow, convex optimization, low rank plus sparse decomposition, principal component analysis

2.

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

3.

Humpbacks in Credit Spreads

Journal Of Investment Management (JOIM), Third Quarter 2008
Posted: 30 Jan 2009 Last Revised: 12 Jul 2010
Deepak Agarwal, Jeffrey Bohn and Jeffrey Bohn
affiliation not provided to SSRN and State Street CorporateUniversity of California, Berkeley - Center for Risk Management Research

Abstract:

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credit, spread, term structure, recovery, humpbacks

4.

Reduced Form vs. Structural Models of Credit Risk: A Case Study of Three Models

Journal of Investment Management, Vol. 3, No. 4, Fourth Quarter 2005
Posted: 27 Jul 2005
Navneet Arora, Jeffrey Bohn, Jeffrey Bohn and Fanlin Zhu
American Century Investments, State Street CorporateUniversity of California, Berkeley - Center for Risk Management Research and affiliation not provided to SSRN

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Credit risk, default risk, default probability, structural model, reduced-form model, Merton model, equity, corporate bonds, credit default swaps (CDS), power curves, credit spreads