Patrick Cheridito

ETH Zurich

Department of Mathematics

8092 Zurich

Switzerland

SCHOLARLY PAPERS

19

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SSRN CITATIONS
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in Total Papers Citations

101

CROSSREF CITATIONS

41

Scholarly Papers (19)

1.

Measuring and Allocating Systemic Risk

Number of pages: 23 Posted: 29 Dec 2013 Last Revised: 23 Apr 2019
Markus K. Brunnermeier and Patrick Cheridito
Princeton University - Department of Economics and ETH Zurich
Downloads 1,596 (21,906)
Citation 27

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Systemic risk measure, systemic risk allocation, feedback effects, shadow prices, systemic risk limits, systemic risk charges, cap and trade

2.

Pricing and Hedging CoCos

Number of pages: 27 Posted: 17 Jan 2013 Last Revised: 09 Apr 2015
Patrick Cheridito and Zhikai Xu
ETH Zurich and AQR Capital Management, LLC
Downloads 1,187 (34,008)
Citation 7

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Contingent convertible bonds, credit default swaps, pricing, calibration, hedging, intensity-based model, first-passage time model

3.

Optimal Trade Execution under Stochastic Volatility and Liquidity

Applied Mathematical Finance, 2014, 21(4), 342--362
Number of pages: 22 Posted: 16 Mar 2013 Last Revised: 02 Sep 2014
Patrick Cheridito and Tardu Sepin
ETH Zurich and Bank of America Merrill Lynch
Downloads 729 (66,801)
Citation 5

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Optimal trade execution, implementation cost, discrete-time stochastic control, Bellman equation, stochastic volatility, stochastic liquidity

4.

Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences

Number of pages: 30 Posted: 07 Feb 2011 Last Revised: 14 Mar 2013
Patrick Cheridito, Ulrich Horst, Michael Kupper and Traian A. Pirvu
ETH Zurich, Humboldt University of Berlin, Humboldt University of Berlin - Department of Mathematics and McMaster University
Downloads 603 (84,876)
Citation 4

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Competitive equilibrium, incomplete markets, heterogenous agents, trading constraints, one-fund theorem

5.

Market Price of Risk Specifications for Affine Models: Theory and Evidence

Number of pages: 39 Posted: 05 Apr 2004
Patrick Cheridito, Damir Filipović and Robert L. Kimmel
ETH Zurich, École Polytechnique Fédérale de Lausanne and Independent
Downloads 587 (87,883)
Citation 100

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Affine, Girsanov, arbitrage, Feller

6.

A Reduced Form CoCo Model with Deterministic Conversion Intensity

Number of pages: 13 Posted: 21 Apr 2013 Last Revised: 15 Mar 2015
Patrick Cheridito and Zhikai Xu
ETH Zurich and AQR Capital Management, LLC
Downloads 556 (94,029)
Citation 8

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Contingent convertible bonds, credit default swaps, reduced form model, pricing, calibration, hedging

7.

Reward-Risk Ratios

Journal of Investment Strategies, Forthcoming
Number of pages: 16 Posted: 10 Sep 2012 Last Revised: 25 Nov 2013
Patrick Cheridito and Eduard Kromer
ETH Zurich and University of California, Berkeley
Downloads 516 (103,225)
Citation 9

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Reward measures, risk measures, monotonicity, quasi-concavity, scale invariance, distribution based

8.

Optimal Trade Execution with a Dark Pool and Adverse Selection

Number of pages: 15 Posted: 02 Sep 2014
Patrick Cheridito and Tardu Sepin
ETH Zurich and Bank of America Merrill Lynch
Downloads 512 (104,155)
Citation 3

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Optimal trade execution, dark pool, adverse selection, stochastic volatility, stochastic liquidity, discrete-time stochastic control

9.

Time-Inconsistency of VaR and Time-Consistent Alternatives

Number of pages: 8 Posted: 05 Mar 2008
Patrick Cheridito and Mitja Stadje
ETH Zurich and Tilburg University - Department of Econometrics & Operations Research
Downloads 424 (130,267)
Citation 1

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time-consistency, value at risk, composed value at risk, composed average value at risk

10.

Portfolio Execution with a Dark Pool Under Stochastic Volatility and Liquidity

Number of pages: 14 Posted: 22 Oct 2014
Patrick Cheridito and Tardu Sepin
ETH Zurich and Bank of America Merrill Lynch
Downloads 418 (132,441)

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Portfolio execution, stochastic volatility, stochastic liquidity, dark pool, dynamic programming.

11.

Variable Annuities with High Water Mark Withdrawal Benefit

Number of pages: 17 Posted: 14 Dec 2016
Patrick Cheridito and Peiqi Wang
ETH Zurich and Princeton University
Downloads 381 (147,531)

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variable annuities, early surrender, stochastic control, optimal stopping, Hamilton--Jacobi--Bellman variational inequality

12.

A Note on the Dai-Singleton Canonical Representation of Affine Term Structure Models

Fisher College of Business Working Paper No. 2007-03-005, Charles A. Dice Working Paper No. 2007-2
Number of pages: 11 Posted: 26 Feb 2007 Last Revised: 27 Sep 2010
Patrick Cheridito, Damir Filipović and Robert L. Kimmel
ETH Zurich, École Polytechnique Fédérale de Lausanne and Independent
Downloads 364 (154,777)
Citation 1

Abstract:

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affine diffusion processes, affine transformations, diagonal diffusion matrices

13.

Stochastic Order-Monotone Uncertainty-Averse Preferences

Number of pages: 23 Posted: 04 Mar 2015 Last Revised: 27 Aug 2015
Patrick Cheridito, Freddy Delbaen, Samuel Drapeau and Michael Kupper
ETH Zurich, Swiss Federal Institute of Technology at Zurich, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Humboldt University of Berlin - Department of Mathematics
Downloads 329 (172,616)
Citation 2

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Uncertainty-aversion, stochastic orders, Allais paradox, Ellsberg paradox

14.

Existence of Sequential Competitive Equilibrium in Krusell–Smith Type Economies

Number of pages: 14 Posted: 14 Jun 2016
Patrick Cheridito and Juan Sagredo
ETH Zurich and Princeton University
Downloads 324 (175,492)
Citation 1

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Competitive equilibrium, heterogenous agent models, conditional-no-aggregate-uncertainty

15.

Dual Characterization of Properties of Risk Measures

Number of pages: 27 Posted: 03 Mar 2008
Patrick Cheridito and Tianhui Li
ETH Zurich and Princeton University
Downloads 293 (195,053)

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Risk measures, Gateaux-differentiability, strict monotonicity, strict convexity, stochastic orders, Orlicz hearts

16.

Comment on 'Competitive Equilibria of Economies with a Continuum of Consumers and Aggregate Shocks' by J. Miao

Number of pages: 1 Posted: 01 Aug 2016
Patrick Cheridito and Juan Sagredo
ETH Zurich and Princeton University
Downloads 214 (265,622)

Abstract:

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Competitive equilibrium, heterogenous agent models

17.

Time-Consistency of Indifference Prices and Monetary Utility Functions

Number of pages: 21 Posted: 22 Jan 2006
Patrick Cheridito and Michael Kupper
ETH Zurich and Princeton University
Downloads 212 (267,933)
Citation 7

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Dynamic utility functions, time-consistency, monetary utility functions, indifference prices, indifference sets

18.

Assessing Asset-Liability Risk With Neural Networks

Risks 2020, 8, 16.
Posted: 13 Jan 2020 Last Revised: 10 Feb 2020
Patrick Cheridito, John Ery and Mario V. Wuthrich
ETH Zurich, ETH Zürich and RiskLab, ETH Zurich

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Asset-asset liability risk, risk capital, solvency calculation, value-at-risk, expected shortfall, neural networks, importance sampling

19.

Risk Measures on Orlicz Hearts

Posted: 09 May 2007
Patrick Cheridito and Tianhui Li
ETH Zurich and Princeton University

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coherent risk measures, convex monetary risk measures, monetary risk measures, acceptance sets, robust representations, cash-additive hulls, transformed norm risk measures, transformed loss risk measures, Orlicz spaces