Mark B. Wise

California Institute of Technology

Professor

Pasadena, CA 91125

United States

SCHOLARLY PAPERS

15

DOWNLOADS
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Top 10,869

in Total Papers Downloads

4,485

SSRN CITATIONS

2

CROSSREF CITATIONS

5

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 733 (34,460)
Citation 2

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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

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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 489 (59,388)
Citation 1

Abstract:

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Credit Default Swaps, Debt Subordination

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 452 (64,744)

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 432 (69,034)

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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 364 (84,509)

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 341 (91,027)

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 324 (95,684)
Citation 2

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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 268 (117,610)

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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

9.

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 241 (131,901)
Citation 2

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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 233 (135,831)

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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

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Diversification, Non-normal, Returns

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 217 (146,032)
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 198 (159,148)
Citation 2

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 147 (206,307)

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 46 (416,645)

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