Richard Neuberg

Columbia University - Department of Statistics

Mail Code 4403

New York, NY 10027

United States

SCHOLARLY PAPERS

3

DOWNLOADS

544

SSRN CITATIONS

2

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

Estimating a Covariance Matrix for Market Risk Management and the Case of Credit Default Swaps

Columbia Business School Research Paper No. 16-39
Number of pages: 29 Posted: 21 May 2016 Last Revised: 13 Mar 2018
Richard Neuberg and Paul Glasserman
Columbia University - Department of Statistics and Columbia Business School
Downloads 238 (140,825)
Citation 1

Abstract:

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Portfolio risk, correlation matrices, matrix loss functions, margin requirements

2.

The Market-Implied Probability of Government Support for Distressed European Banks

OFR WP 16-10, Columbia Business School Research Paper No. 16-73
Number of pages: 23 Posted: 12 Oct 2016 Last Revised: 23 Dec 2019
Richard Neuberg, Paul Glasserman, Benjamin Kay and Sriram Rajan
Columbia University - Department of Statistics, Columbia Business School, Board of Governors of the Federal Reserve System and Government of the United States of America - Office of Financial Research
Downloads 212 (157,327)
Citation 3

Abstract:

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Bailout, bail-in, European Bank Resolution and Recovery Directive, credit default swaps

3.

Pricing Under Estimation Risk

Number of pages: 26 Posted: 22 Mar 2016 Last Revised: 26 Mar 2016
Richard Neuberg and Lauren Hannah
Columbia University - Department of Statistics and Independent
Downloads 94 (300,636)

Abstract:

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Estimation Risk Premium, Pricing, Prediction, Credit Scoring