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

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 16,819

SSRN RANKINGS

Top 16,819

in Total Papers Downloads

5,537

SSRN CITATIONS
Rank 35,489

SSRN RANKINGS

Top 35,489

in Total Papers Citations

4

CROSSREF CITATIONS

24

Scholarly Papers (11)

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 1,333 (28,093)
Citation 2

Abstract:

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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 961 (44,994)
Citation 3

Abstract:

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

3.

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 757 (62,304)
Citation 3

Abstract:

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

4.
Downloads 732 (65,194)
Citation 6

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 499 (104,367)
Citation 4

Abstract:

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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 141 (375,430)

Abstract:

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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 92 (515,959)

Abstract:

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5.

Dynamic Estimation of Credit Rating Transition Probabilities

Number of pages: 28 Posted: 07 Nov 2005
Arthur M. Berd
General Quantitative, LLC
Downloads 519 (100,530)
Citation 2

Abstract:

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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 412 (132,255)
Citation 1

Abstract:

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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 316 (177,026)

Abstract:

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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 244 (230,428)

Abstract:

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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 223 (251,244)
Citation 1

Abstract:

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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 40 (774,178)

Abstract:

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risk decomposition, risk attribution, multi-factor risk model

11.

Recovery Swaps

Journal of Credit Risk, Vol. 1, No. 3, Summer 2005
Posted: 06 Jun 2005
Arthur M. Berd
General Quantitative, LLC

Abstract:

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recovery swap rates, digital default swap spreads, conventional credit default swap, CDS, convexity premium

Other Papers (1)

Total Downloads: 95
1.

Recovery Swaps

Number of pages: 9 Posted: 06 Jun 2005
Arthur M. Berd
General Quantitative, LLC
Downloads 95

Abstract:

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