Arthur M. Berd

General Quantitative, LLC

Founder and CEO

551 Madison Ave Suite 1202

New York, NY 10022

United States

The Journal of Investment Strategies

Editor-in-Chief

Haymarket House

28-29 Haymarket

London, SW1Y 4RX

United Kingdom

http://www.risk.net/type/journal/source/journal-of-investment-strategies

  • General Quantitative, LLC

  • The Journal of Investment Strategies

SCHOLARLY PAPERS

10

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Rank 18,452

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Top 18,452

in Total Papers Downloads

5,841

TOTAL CITATIONS
Rank 39,365

SSRN RANKINGS

Top 39,365

in Total Papers Citations

16

Scholarly Papers (10)

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1.

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 1,384 (31,021)
Citation 2

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

2.

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 999 (49,750)
Citation 3

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

3.

The Underlying Dynamics of Credit Correlations

Downloads 790 (68,556)
Citation 4

The Underlying Dynamics of Credit Correlations

Journal of Credit Risk, Vol. 3, No. 2, p. 27
Number of pages: 37 Posted: 06 Nov 2005 Last Revised: 16 Jan 2012
Arthur M. Berd, Robert F. Engle and Artem B. Voronov
General Quantitative, LLC, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Economics
Downloads 544 (109,197)
Citation 4

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credit risk, credit derivatives, credit correlation, downside risk, tail risk, time series, GARCH

The Underlying Dynamics of Credit Correlations

NYU Working Paper No. S-DRP-05-04
Number of pages: 45 Posted: 05 Nov 2008
Arthur M. Berd, Robert F. Engle and Artem B. Voronov
General Quantitative, LLC, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Economics
Downloads 147 (428,824)

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The Underlying Dynamics of Credit Correlations

NYU Working Paper No. SC-CFE-05-04
Number of pages: 43 Posted: 07 Nov 2008
Arthur M. Berd, Robert F. Engle and Artem B. Voronov
General Quantitative, LLC, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Economics
Downloads 99 (585,693)

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4.

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 774 (70,439)
Citation 3

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

5.

Dynamic Estimation of Credit Rating Transition Probabilities

Number of pages: 28 Posted: 07 Nov 2005
Arthur M. Berd
General Quantitative, LLC
Downloads 528 (114,863)
Citation 2

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Credit risk, credit ratings, transition probabilities, continuous-time estimation

6.

A Guide to Modeling Credit Term Structures

THE OXFORD HANDBOOK OF CREDIT DERIVATIVES, A. Lipton, A. Rennie, eds., Oxford University Press, Oxford, 2010
Number of pages: 54 Posted: 06 Dec 2011
Arthur M. Berd
General Quantitative, LLC
Downloads 462 (135,022)
Citation 1

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credit risk, credit derivatives, CDS, credit spread, credit term structures, CDS, corporate bonds

7.

The Nature of Alpha

Number of pages: 22 Posted: 06 Dec 2011
Arthur M. Berd
General Quantitative, LLC
Downloads 333 (195,352)

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hedge funds, performance attribution, expected returns, alpha, volatility, asymmetry, fat tails

8.

Credit Portfolio Management in a Turning Rates Environment

Number of pages: 15 Posted: 07 Dec 2013
Arthur M. Berd, Elena Ranguelova and Antonio Silva
General Quantitative, LLC, Investcorp and Barclays
Downloads 259 (254,428)

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portfolio management, credit risk

9.

Digital Premium

Journal of Derivatives, Vol. 10, No. 3, p. 66, 2003
Number of pages: 13 Posted: 12 Jan 2005 Last Revised: 28 Dec 2011
Arthur M. Berd and Vivek Kapoor
General Quantitative, LLC and Standard & Poor's
Downloads 229 (287,467)
Citation 1

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Credit risk, credit derivatives, CDS, digital default swaps

10.

Risk Decomposition Analysis

Number of pages: 13 Posted: 05 Jul 2023
Arthur M. Berd
General Quantitative, LLC
Downloads 83 (647,695)

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risk decomposition, risk attribution, multi-factor risk model

Other Papers (1)

Total Downloads: 115
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1.

Recovery Swaps

Number of pages: 9 Posted: 06 Jun 2005
Arthur M. Berd
General Quantitative, LLC
Downloads 115 (1,135,707)

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Credit risk, credit derivatives, recovery rate, CDS, digital default swaps