Roy Mashal

Lehman Brothers, New York

745 Seventh Avenue

New York, NY 10019

United States

http://www.faculty.idc.ac.il/roy/

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 15,806

SSRN RANKINGS

Top 15,806

in Total Papers Downloads

5,368

SSRN CITATIONS
Rank 25,187

SSRN RANKINGS

Top 25,187

in Total Papers Citations

3

CROSSREF CITATIONS

39

Scholarly Papers (5)

1.

Beyond Correlation: Extreme Co-Movements between Financial Assets

Number of pages: 48 Posted: 15 Jul 2002
Assaf Zeevi and Roy Mashal
Columbia University - Columbia Business School, Decision Risk and Operations and Lehman Brothers, New York
Downloads 1,479 (21,691)
Citation 91

Abstract:

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asset returns, extreme co-movements, copulas, dependence modeling, hypothesis testing, international markets, pseudo-likelihood, portfolio models, risk management

2.

Defining, Estimating and Using Credit Term Structures. Part 3: Consistent Cds-Bond Basis

Number of pages: 20 Posted: 07 Jun 2005
Arthur M. Berd, Roy Mashal and Peili Wang
General Quantitative, LLC, Lehman Brothers, New York and Lehman Brothers, New York
Downloads 1,305 (26,081)
Citation 2

Abstract:

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Credit risk, credit bond, credit derivatives, CDS, relative value

3.

Defining, Estimating and Using Credit Term Structures. Part 1: Consistent Valuation Measures

Number of pages: 27 Posted: 07 Jun 2005
Arthur M. Berd, Roy Mashal and Peili Wang
General Quantitative, LLC, Lehman Brothers, New York and Lehman Brothers, New York
Downloads 930 (42,377)
Citation 3

Abstract:

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Credit risk, credit bond, recovery rate, portfolio management, relative value

4.

Pricing Multiname Credit Derivatives: Heavy Tailed Hybrid Approach

Number of pages: 28 Posted: 11 Jan 2002
Roy Mashal and Marco Naldi
Lehman Brothers, New York and Barclays
Downloads 916 (43,328)
Citation 12

Abstract:

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Credit risk, credit derivatives, copula functions, portfolio models

5.

Defining, Estimating and Using Credit Term Structures. Part 2: Consistent Risk Measures

Number of pages: 17 Posted: 07 Jun 2005
Arthur M. Berd, Roy Mashal and Peili Wang
General Quantitative, LLC, Lehman Brothers, New York and Lehman Brothers, New York
Downloads 738 (58,067)
Citation 2

Abstract:

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Credit risk, credit bond, recovery risk, portfolio management, relative value, risk management