Mark B. Wise

California Institute of Technology

Professor

Pasadena, CA 91125

United States

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 9,100

SSRN RANKINGS

Top 9,100

in Total Papers Downloads

4,358

CITATIONS
Rank 16,912

SSRN RANKINGS

Top 16,912

in Total Papers Citations

20

Scholarly Papers (15)

Forecasting Portfolio Risk in Normal and Stressed Markets

Number of pages: 15 Posted: 28 Nov 2001
Vineer Bhansali and Mark B. Wise
LongTail Alpha, LLC and California Institute of Technology
Downloads 706 (29,588)
Citation 6

Abstract:

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risk factors, market stress, portfolio risk

Forecasting Portfolio Risk in Normal and Stressed Markets

Journal of Risk, Vol. 4, No. 1, Fall 2001
Posted: 17 Jan 2002
Vineer Bhansali and Mark B. Wise
LongTail Alpha, LLC and California Institute of Technology

Abstract:

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risk factors, market stress, portfolio risk

2.

Debt Subordination and the Pricing of Credit Default Swaps

Cal Tech Working Paper No. CALT-68-2415
Number of pages: 10 Posted: 30 Jan 2003
Peter B. Lee, Mark B. Wise and Vineer Bhansali
Lehman Brothers, New York, California Institute of Technology and LongTail Alpha, LLC
Downloads 475 (49,387)
Citation 1

Abstract:

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Credit Default Swaps, Debt Subordination

3.
Downloads 445 ( 54,782)
Citation 1

Corporate Bond Risk from Stock Dividend Uncertainty

California Institute of Technology Working Paper No. CALT-68-2435
Number of pages: 14 Posted: 20 Jun 2003
Mark B. Wise, Peter B. Lee and Vineer Bhansali
California Institute of Technology, Lehman Brothers, New York and LongTail Alpha, LLC
Downloads 445 (54,208)
Citation 1

Abstract:

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Dividends, Corporate Bonds, Default Probability

Corporate Bond Risk from Stock Dividend Uncertainty

International Journal of Theoretical and Applied Finance, Vol 6, No. 7, p. 741, September 2004
Posted: 20 Sep 2004
Mark B. Wise, Peter B. Lee and Vineer Bhansali
California Institute of Technology, Lehman Brothers, New York and LongTail Alpha, LLC

Abstract:

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corporate bond, stock dividend, default probability

4.

Universal Asymptotic Behavior of Mortgage Prepayments

California Tech Working Paper No. 68-2307
Number of pages: 7 Posted: 20 Mar 2002
Mark B. Wise and Vineer Bhansali
California Institute of Technology and LongTail Alpha, LLC
Downloads 414 (58,090)

Abstract:

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Mortgage, prepayments, burnout

5.

Modeling Swap Spreads in Normal and Stressed Environments

Number of pages: 28 Posted: 24 Dec 2008
LongTail Alpha, LLC, Lime Brokerage LLC and California Institute of Technology
Downloads 326 (73,178)

Abstract:

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6.

Correlated Random Walks and the Joint Survival Probability

Number of pages: 13 Posted: 07 Jul 2004
Mark B. Wise and Vineer Bhansali
California Institute of Technology and LongTail Alpha, LLC
Downloads 322 (77,271)
Citation 2

Abstract:

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Random walk , survival probability, first passage

Portfolio Allocation to Corporate Bonds with Correlated Defaults

CALT Working Paper No. 68-2365
Number of pages: 18 Posted: 27 May 2002
Mark B. Wise and Vineer Bhansali
California Institute of Technology and LongTail Alpha, LLC
Downloads 313 (82,357)
Citation 5

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Portfolio Allocation to Corporate Bonds with Correlated Defaults

Journal of Risk, Vol. 5, No. 1, Fall 2002
Posted: 09 Dec 2002
Mark B. Wise and Vineer Bhansali
California Institute of Technology and LongTail Alpha, LLC

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Implications of Correlated Default for Portfolio Allocation to Corporate Bonds

California Inst. of Tech. Working Paper No. CALT-68-2405
Number of pages: 18 Posted: 09 Sep 2002
Mark B. Wise and Vineer Bhansali
California Institute of Technology and LongTail Alpha, LLC
Downloads 262 (100,130)

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Implications of Correlated Default for Portfolio Allocation to Corporate Bonds

Journal of Investment Management, Vol. 3, No. 1, First Quarter 2005
Posted: 30 Mar 2005
Mark B. Wise and Vineer Bhansali
California Institute of Technology and LongTail Alpha, LLC

Abstract:

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Portfolio, correlated default, corporate bonds

Diversification and Generalized Tracking Errors for Correlated Non-Normal Returns

California Institute of Technology Working Paper No. CALT-68-2400
Number of pages: 6 Posted: 01 Oct 2002
Mark B. Wise and Vineer Bhansali
California Institute of Technology and LongTail Alpha, LLC
Downloads 228 (115,599)

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Diversification and Generalized Tracking Errors for Correlated Non-Normal Returns

Quantitative Finance, Vol. 2, No. 6, pp. 482-486, December 2002
Posted: 12 Feb 2003
Mark B. Wise and Vineer Bhansali
California Institute of Technology and LongTail Alpha, LLC

Abstract:

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Diversification, Non-normal, Returns

10.

How Much Should Investors Pay for Leverage?

Number of pages: 13 Posted: 04 Apr 2005
Vineer Bhansali and Mark B. Wise
LongTail Alpha, LLC and California Institute of Technology
Downloads 223 (115,056)
Citation 1

Abstract:

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11.

Taylor Rules Under the Risk-Management Paradigm of Discretionary Monetary Policy

Number of pages: 15 Posted: 09 Nov 2005
Vineer Bhansali and Mark B. Wise
LongTail Alpha, LLC and California Institute of Technology
Downloads 203 (125,302)
Citation 1

Abstract:

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Taylor Rules, Monetary Policy, Low Inflation, Risk Management

12.

Asymmetric Monetary Policy Rules and the Yield Curve

Number of pages: 20 Posted: 20 Mar 2006
California Institute of Technology, LongTail Alpha, LLC and California Institute of Technology
Downloads 186 (136,179)
Citation 3

Abstract:

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Yield Curve, Monetary Policy

13.

Endogenous Yield Curve Risk from Central Bank Policy Uncertainty

Number of pages: 13 Posted: 04 Dec 2006
Vineer Bhansali and Mark B. Wise
LongTail Alpha, LLC and California Institute of Technology
Downloads 134 (181,151)

Abstract:

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Central Bank Policy, Duration

14.

Mathematical Constraints on Financially Viable Public Policy

Number of pages: 12 Posted: 13 Feb 2012
Martin Gremm and Mark B. Wise
Pivot Point Advisors and California Institute of Technology
Downloads 35 (366,624)

Abstract:

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Social Security, robust policy

15.

Fat Tails and Stop-Losses in Portable Alpha

Journal of Investment Management (JOIM), Third Quarter 2011
Posted: 24 Aug 2011
California Institute of Technology, Lime Brokerage LLC and LongTail Alpha, LLC

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Portable alpha, stop-loss, regime shifts, utility, risk aversion, Sharpe ratio