Linan Yang

Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

323 S.W. Mudd Building

500 West 120th Street

New York, NY 10027

United States

SCHOLARLY PAPERS

3

DOWNLOADS

642

SSRN CITATIONS
Rank 36,207

SSRN RANKINGS

Top 36,207

in Total Papers Citations

13

CROSSREF CITATIONS

9

Scholarly Papers (3)

1.
Downloads 264 (142,918)
Citation 5

Bounding Wrong-Way Risk in CVA Calculation

Columbia Business School Research Paper No. 15-59
Number of pages: 44 Posted: 19 May 2015
Paul Glasserman and Linan Yang
Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 263 (142,854)
Citation 3

Abstract:

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credit valuation adjustment, counterparty credit risk, robustness

Bounding Wrong‐Way Risk in CVA Calculation

Mathematical Finance, Vol. 28, Issue 1, pp. 268-305, 2018
Number of pages: 38 Posted: 17 Jan 2018
Paul Glasserman and Linan Yang
Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 1 (813,624)
Citation 1
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credit valuation adjustment, counterparty credit risk, robustness, iterative proportional fitting process (IPFP), I‐Projection

2.
Downloads 259 (145,706)
Citation 5

Realization Utility with Adaptive Reference Points

Number of pages: 41 Posted: 12 Aug 2015 Last Revised: 07 Dec 2017
Xue Dong He and Linan Yang
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 259 (145,147)
Citation 5

Abstract:

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realization utility, reference point adaptation, wealth utility, cumulative prospect theory, optimal stopping

Realization Utility with Adaptive Reference Points

Mathematical Finance, Vol. 29, Issue 2, pp. 409-447, 2019
Number of pages: 39 Posted: 13 Mar 2019
Xue Dong He and Linan Yang
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 0
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cumulative prospect theory, optimal stopping, realization utility, reference point adaptation, wealth utility

3.

Bounding Wrong-Way Risk in Measuring Counterparty Risk

Office of Financial Research Working Paper No. 15-16, Columbia Business School Research Paper No. 15-76
Number of pages: 16 Posted: 22 Aug 2015
Paul Glasserman and Linan Yang
Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 119 (285,891)
Citation 3

Abstract:

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credit valuation adjustment, counterparty credit risk, wrong-way risk, iterative