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

SCHOLARLY PAPERS

4

DOWNLOADS

223

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

Identifying Broad and Narrow Financial Risk Factors with Convex Optimization

Number of pages: 27 Posted: 25 Jun 2016 Last Revised: 21 Aug 2016
University of California, Santa Barbara (UCSB), University of California, Berkeley and University of California, Berkeley - Center for Risk Management Research
Downloads 223 (139,988)
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 and Roger Stein
University 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 and Jeffrey Bohn
affiliation not provided to SSRN and University 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 and Fanlin Zhu
American Century Investments, University of California, Berkeley - Center for Risk Management Research and affiliation not provided to SSRN

Abstract:

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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