Daniel L. Chertok

NorthShore University HealthSystem

Sr. Data Scientist

4901 Searle Pkwy.

Suite 1450

Skokie, IL 60077

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 31,110

SSRN RANKINGS

Top 31,110

in Total Papers Downloads

1,085

CITATIONS

0

Scholarly Papers (6)

1.

Leverage as a Measure of Risk

Number of pages: 4 Posted: 21 Jan 2009
Daniel L. Chertok
NorthShore University HealthSystem
Downloads 482 (43,581)

Abstract:

Leverage, risk, equivalent portfolio

2.

Pricing a Credit-Linked Note on a CDX Tranche

Number of pages: 6 Posted: 09 Nov 2012 Last Revised: 18 Nov 2012
Daniel L. Chertok
NorthShore University HealthSystem
Downloads 150 (115,174)

Abstract:

credit-linked note, credit, default, swap, counterparty, tranche, coupon, rate, maturity, pricing, valuation, algorithm, zero-coupon, bond

3.

Defaultable Bonds and Credit Derivatives: Valuation and Risk Management

Number of pages: 18 Posted: 08 May 2010 Last Revised: 16 May 2010
Daniel L. Chertok
NorthShore University HealthSystem
Downloads 109 (195,646)

Abstract:

Structural Model, Reduced-form Model, CDO rating, Binomial Expansion Method, Firm Value, Recovery Rate

4.

Pricing a Callable Leveraged Constant Maturity Swap Spread Note

Number of pages: 10 Posted: 08 Nov 2012 Last Revised: 18 Nov 2012
Daniel L. Chertok
NorthShore University HealthSystem
Downloads 103 (141,005)

Abstract:

constant, maturity, swap, CMS, note, holder, interest, rate, differential, Monte Carlo, simulation, pricing, leverage, derivative, swaption, volatility, correlation

5.

Practical Yield, Price, Duration and Convexity Approximations

Number of pages: 5 Posted: 08 Nov 2012
Daniel L. Chertok
NorthShore University HealthSystem
Downloads 63 (256,130)

Abstract:

price, yield, duration, convexity, inverse, bond, fixed income, practical, approximation, finite differences

6.

End in Sight for Housing Troubles?

Number of pages: 15 Posted: 10 Oct 2011 Last Revised: 08 Nov 2012
Daniel L. Chertok
NorthShore University HealthSystem
Downloads 24 (382,556)

Abstract:

housing, real estate, residential, home price, affordability ratio, median family income, recovery, recession

Other Papers (3)

Total Downloads: 152    Citations: 0
1.

Pricing a Brazilian PRE/DI Swap

Number of pages: 3 Posted: 08 Nov 2012
Daniel L. Chertok
NorthShore University HealthSystem
Downloads 84

Abstract:

Brazilian swap, pricing, methodology, example

2.

Pricing an Inflation Swap

Number of pages: 4 Posted: 08 Nov 2012
Daniel L. Chertok
NorthShore University HealthSystem
Downloads 15

Abstract:

inflation, swap, pricing, risk, management, CPI, consumer price index, methodology, counterparty, rate

3.

Quantitative Risk Management: Disclosure and Reporting

Posted: 03 Jan 2005
Daniel L. Chertok
NorthShore University HealthSystem

Abstract:

Quantitative, Risk Management, Disclosure, Reporting