Mo Chaudhury

McGill University - Desautels Faculty of Management

Professor of Practice in Finance

1001 Sherbrooke St. West

Montreal, Quebec H3A1G5 H3A 2M1

Canada

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SCHOLARLY PAPERS

16

DOWNLOADS
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SSRN RANKINGS

Top 5,909

in Total Papers Downloads

6,073

CITATIONS
Rank 16,914

SSRN RANKINGS

Top 16,914

in Total Papers Citations

20

Scholarly Papers (16)

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 (10,938)

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 (13,751)
Citation 4

Abstract:

information content, options, open interest, trading strategy

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 661 (31,145)

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 (554,739)

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 (30,577)
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 (77,658)

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 (63,666)
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 (103,843)

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 (121,165)
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 (132,348)
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 (153,501)

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 (166,738)

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 (137,757)
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 (159,340)

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 (334,286)
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 (349,620)

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 (194,496)

Abstract:

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