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Mo Chaudhury

McGill University - Desautels Faculty of Management

Professor of Practice in Finance

1001 Sherbrooke St. West

Montreal, Quebec H3A1G5 H3A 2M1

Canada

  • McGill University - Desautels Faculty of Management

    • Email
    • Tel: (514) 398-5927
    • Fax: (514) 398-3876
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SCHOLARLY PAPERS

16

DOWNLOADS
Rank 5,813

SSRN RANKINGS

Top 5,813

in Total Papers Downloads

6,027

CITATIONS
Rank 16,882

SSRN RANKINGS

Top 16,882

in Total Papers Citations

20

Scholarly Papers (16)

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1.

The Market Value and Dynamic Interest Rate Risk of Swaps

Paper ID: 96-44
Number of pages: 59 Posted: 23 Jan 1997
Andrew H. Chen and Mo Chaudhury
Southern Methodist University (SMU) - Edwin L. Cox School of Business and McGill University - Desautels Faculty of Management
Downloads 1,330 (10,665)

Abstract:

2.

Trading on the Information Content of Open Interest: Evidence from the US Equity Options Market

McGill Finance Research Centre Working Paper
Number of pages: 43 Posted: 27 Oct 2001
Rafiqul Bhuyan and Mo Chaudhury
University College of the Cariboo - Department of Finance and McGill University - Desautels Faculty of Management
Downloads 1,096 (13,561)
Citation 4

Abstract:

information content, options, open interest, trading strategy

3.

How Did the Financial Crisis Affect the Daily Stock Returns?

Downloads 661 ( 30,905)

How Did the Financial Crisis Affect the Daily Stock Returns?

Journal of Investing, Vol. 23, No. 3, 2014
Number of pages: 30 Posted: 06 Apr 2011 Last Revised: 11 Oct 2014
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 657 (30,635)

Abstract:

Financial Crisis, Behavior of Stock Price, Volatility Smile, Value at Risk

How Did the Financial Crisis Affect the Daily Stock Returns?

Number of pages: 30 Posted: 14 Feb 2014
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 4 (544,818)

Abstract:

financial crisis, beta risk, GARCH, skewness and kurtosis, Value at Risk

4.

Efficiency Tests of the French Index (CAC 40) Options Market

EFMA 2002 London Meetings; McGill Finance Research Centre (MRFC) Working Paper
Number of pages: 53 Posted: 19 Sep 2001
Gunther Capelle-Blancard and Mo Chaudhury
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and McGill University - Desautels Faculty of Management
Downloads 624 (30,358)
Citation 8

Abstract:

market efficiency, index options, no arbitrage conditions.

5.

Issues in Operational Risk Capital Modeling

Number of pages: 51 Posted: 30 Sep 2009 Last Revised: 25 Jan 2010
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 304 (75,922)

Abstract:

Operational Risk, Economic Capital, Value at Risk, Basel II, LDA

6.

Option Bid-Ask Spread and Liquidity

Number of pages: 21 Posted: 27 Feb 2011 Last Revised: 13 Feb 2014
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 256 (64,402)
Citation 1

Abstract:

Option Price, Bid-Ask Spread, Liquidity, Illiquidity Premium, Implied Volatility

7.

Spider Options and the S&P 500 Index Options Market

Number of pages: 50 Posted: 06 Feb 2007
Gunther Capelle-Blancard and Mo Chaudhury
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and McGill University - Desautels Faculty of Management
Downloads 236 (101,600)

Abstract:

S&P 500 Index Options, Spider Options, ETF, Volatility Smile

8.

Extended Value at Risk (EVaR) Measure for Market Risk

Number of pages: 12 Posted: 16 Apr 2011 Last Revised: 18 Sep 2011
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 189 (120,176)
Citation 1

Abstract:

Market Risk, Value at Risk, Implied Volatility, Basel, Bank Capital

9.

Upper Bounds for American Options

McGill Finance Research Centre Working Paper No. 2002
Number of pages: 41 Posted: 05 May 2003
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 181 (129,506)
Citation 2

Abstract:

American options, option valuation, bounds

10.

What Drives the Growth of Aggregate Residential Mortgage Debt in the U.S.?

Number of pages: 33 Posted: 05 Apr 2006
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 158 (150,252)

Abstract:

Mortgage Debt, Housing Price, Term Structure, Default Risk Premium

11.

Credibility, Public Debt and Foreign Exchange Intervention

McGill Finance Research Centre Working Paper
Number of pages: 38 Posted: 18 Sep 2001
Mo Chaudhury and K. Ramagopal
McGill University - Desautels Faculty of Management and Federal Home Loan Mortgage Corporation (FHLMC) - Financial Research
Downloads 141 (163,254)

Abstract:

credibility, public debt, foreign exchange intervention

12.

The Financial Crisis and the Behavior of S&P 500 Index Option Prices

Number of pages: 48 Posted: 12 Oct 2014 Last Revised: 29 Aug 2015
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 132 (136,938)
Citation 1

Abstract:

Financial Crisis, Behavior of Stock Price, Volatility Smile, Value at Risk

13.

Stock Overreaction to Extreme Market Events

Number of pages: 40 Posted: 22 Feb 2015
Mo Chaudhury and Pedro Piccoli
McGill University - Desautels Faculty of Management and Pontifical Catholic University of Paraná
Downloads 75 (161,406)

Abstract:

Overreaction, contrarian strategy, momentum crash, market efficiency, extreme market events

14.

Some Easy-to-Implement Methods of Calculating American Futures Option Prices

Journal of Futures Markets Journal of Futures Markets, Vol. 15, No. 3, pp. 303-344, 1995
Number of pages: 42 Posted: 27 Feb 2011
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 41 (327,624)
Citation 3

Abstract:

American Futures Options, Option Price, Early Exercise, ISD

15.

How Do Stocks React to Extreme Market Events? Evidence from Brazil

Number of pages: 38 Posted: 22 Feb 2015
Mo Chaudhury and Pedro Piccoli
McGill University - Desautels Faculty of Management and Pontifical Catholic University of Paraná
Downloads 17 (349,111)

Abstract:

Overreaction, contrarian strategy, momentum, market efficiency, Brazilian market

16.

Volatility and Expected Option Returns: A Note

Economics Letters, Vol. 152, No. March, 2017
Number of pages: 19 Posted: 03 Sep 2016 Last Revised: 21 Jan 2017
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 0 (191,663)

Abstract:

Volatility, Expected Option Return, Cross-Section of Option Returns

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