Patrick Cheridito

ETH Zurich

Department of Mathematics

8092 Zurich

Switzerland

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 5,923

SSRN RANKINGS

Top 5,923

in Total Papers Downloads

7,513

SSRN CITATIONS
Rank 8,208

SSRN RANKINGS

Top 8,208

in Total Papers Citations

62

CROSSREF CITATIONS

65

Scholarly Papers (21)

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 1,470 (12,557)
Citation 14

Abstract:

Loading...

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 1,013 (22,139)
Citation 7

Abstract:

Loading...

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 583 (47,564)
Citation 3

Abstract:

Loading...

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 527 (54,091)
Citation 4

Abstract:

Loading...

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, Ecole Polytechnique Fédérale de Lausanne and Independent
Downloads 493 (58,856)
Citation 80

Abstract:

Loading...

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 465 (63,232)
Citation 7

Abstract:

Loading...

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

7.

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 404 (74,937)
Citation 3

Abstract:

Loading...

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

8.

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 376 (81,380)
Citation 1

Abstract:

Loading...

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

9.

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 322 (97,043)

Abstract:

Loading...

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

10.

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, Ecole Polytechnique Fédérale de Lausanne and Independent
Downloads 320 (97,746)
Citation 1

Abstract:

Loading...

affine diffusion processes, affine transformations, diagonal diffusion matrices

11.

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 304 (103,347)
Citation 4

Abstract:

Loading...

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

12.

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 244 (130,400)

Abstract:

Loading...

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

13.

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 229 (138,755)

Abstract:

Loading...

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

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 225 (141,115)
Citation 1

Abstract:

Loading...

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

15.

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, CAFR and Humboldt University of Berlin - Department of Mathematics
Downloads 219 (144,878)

Abstract:

Loading...

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

16.

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 176 (177,137)
Citation 7

Abstract:

Loading...

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

17.

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 138 (217,251)
Citation 1

Abstract:

Loading...

Competitive equilibrium, heterogenous agent models

18.

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

Mathematical Finance, Vol. 20, Issue 3, pp. 509-519, July 2010
Number of pages: 11 Posted: 08 Jun 2010
Patrick Cheridito, Damir Filipović and Robert L. Kimmel
ETH Zurich, Ecole Polytechnique Fédérale de Lausanne and Independent
Downloads 3 (653,393)
  • Add to Cart

Abstract:

Loading...

19.
Downloads 2 (662,853)

Risk Measures on Orlicz Hearts

Mathematical Finance, Vol. 19, Issue 2, pp. 189-214, April 2009
Number of pages: 26 Posted: 27 Apr 2009
Patrick Cheridito and Tianhui Li
ETH Zurich and Princeton University
Downloads 2 (694,199)
Citation 1
  • Add to Cart

Abstract:

Loading...

Risk Measures on Orlicz Hearts

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

Abstract:

Loading...

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

20.

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

Abstract:

Loading...

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

21.

A Reduced-Form Contingent Convertible Bond Model with Deterministic Conversion Intensity

Journal of Risk, Vol. 17, No. 3, 2015
Number of pages: 18 Posted: 24 Jun 2016
Patrick Cheridito and Zhikai Xu
ETH Zurich and AQR Capital Management, LLC
Downloads 0 (691,973)
  • Add to Cart

Abstract:

Loading...

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