John Crosby

University of Maryland - Robert H. Smith School of Business

College Park, MD 20742-1815

United States

http://www.john-crosby.co.uk/

SCHOLARLY PAPERS

18

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3,517

SSRN CITATIONS
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Top 36,357

in Total Papers Citations

10

CROSSREF CITATIONS

11

Scholarly Papers (18)

1.

No Good Deals — No Bad Models

FRB of New York Staff Report No. 589, 26th Australasian Finance and Banking Conference 2013
Number of pages: 62 Posted: 22 Dec 2012 Last Revised: 17 Jul 2014
Federal Reserve Bank of New York, London Metropolitan University - Department of Economics, Finance and International Business (EFIB), University of Maryland - Robert H. Smith School of Business and University of Warwick - Financial Options Research Centre (FORC)
Downloads 1,981 (9,228)
Citation 2

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good deal bounds, model-uncertainty-induced preference functional, asset pricing theory, Knightian uncertainty, model uncertainty, contingent claim pricing

2.

Why Do UK Banks Securitize?

Number of pages: 36 Posted: 06 May 2012
London Metropolitan University - Department of Economics, Finance and International Business (EFIB), London Metropolitan University, University of Maryland - Robert H. Smith School of Business and affiliation not provided to SSRN
Downloads 511 (65,094)
Citation 3

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3.

Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula

Number of pages: 51 Posted: 30 Jun 2014 Last Revised: 20 Jun 2015
Mario Cerrato, John Crosby, Minjoo Kim and Yang Zhao
London Metropolitan University - Department of Economics, Finance and International Business (EFIB), University of Maryland - Robert H. Smith School of Business, University of Liverpool - Accounting and Finance Division and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 251 (145,017)

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Asymmetry; Tail dependence; Dependence dynamics; Dynamic skewed t copulas; VaR and ES forecasting

4.

A New Formula for the Expected Excess Return of the Market

Fox School of Business Research Paper
Number of pages: 54 Posted: 15 Oct 2019 Last Revised: 20 Dec 2020
Temple University - Fox School of Business and Management, University of Maryland - Robert H. Smith School of Business, Fox School of Business, Temple University and University of Maryland - Robert H. Smith School of Business
Downloads 142 (241,415)
Citation 1

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expected excess return of the market, negative correlation condition, lower bound, market risk premium

5.

The Joint Credit Risk of UK Global-Systemically Important Banks

Journal of Futures Markets, 37(10), 964-988. doi:10.1002/fut.21855
Number of pages: 51 Posted: 28 Oct 2015 Last Revised: 05 Mar 2019
Mario Cerrato, John Crosby, Minjoo Kim and Yang Zhao
London Metropolitan University - Department of Economics, Finance and International Business (EFIB), University of Maryland - Robert H. Smith School of Business, University of Liverpool - Accounting and Finance Division and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 85 (345,458)
Citation 1

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Joint credit risk; time-varying and asymmetric dependence structure; market factors; GAS based GHST copula

6.

Implications of Incomplete Markets for International Economies

Review of Financial Studies (Forthcoming)
Number of pages: 71 Posted: 21 Sep 2017
Gurdip Bakshi, Mario Cerrato and John Crosby
Temple University - Fox School of Business and Management, Glasgow University and University of Maryland - Robert H. Smith School of Business
Downloads 77 (366,008)
Citation 5

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Incomplete Markets, Exchange Rates

7.

Dark Matter in (Volatility and) Equity Option Risk Premiums

Fox School of Business Research Paper Forthcoming
Number of pages: 43 Posted: 23 Nov 2019 Last Revised: 09 Mar 2021
Temple University - Fox School of Business and Management, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 74 (374,382)
Citation 1

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Unspanned equity volatility and jump risks, unspanned risks in the pricing kernel, semi-martingales, dark matter, option risk premiums

Cross-Currency Consistency, Three-Part SDF Factorizations, and an Impossibility Theorem for the Stationarity of Exchange Rates in International Economies

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 78 Posted: 23 Oct 2018 Last Revised: 01 Oct 2019
Gurdip Bakshi and John Crosby
Temple University - Fox School of Business and Management and University of Maryland - Robert H. Smith School of Business
Downloads 55 (442,435)

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Three-Part Decomposition, Stationarity of Exchange Rates, Incomplete Markets, SDFs

Cross-Currency Consistency, Three-Part SDF Factorizations, and an Impossibility Theorem for the Stationarity of Exchange Rates in International Economies

Number of pages: 35 Posted: 31 Jan 2020 Last Revised: 09 Jan 2021
Gurdip Bakshi and John Crosby
Temple University - Fox School of Business and Management and University of Maryland - Robert H. Smith School of Business
Downloads 11 (698,636)

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9.

Crossing a Rubicon into Active Money Management Realities: Performance Measurement When Funds Follow Opaque Strategies

Number of pages: 78 Posted: 03 Nov 2017 Last Revised: 22 Feb 2018
Temple University - Fox School of Business and Management, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 65 (401,443)

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10.

Unspanned Risks, Negative Local Time Risk Premiums, and Empirical Consistency of Models of Interest-Rate Claims

Number of pages: 59 Posted: 28 Jun 2019 Last Revised: 17 Dec 2020
Temple University - Fox School of Business and Management, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 53 (442,869)

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Expected Return of Options on Treasury Bond Futures, Unspanned Components of Pricing Kernel, Interest-Rate Models, Tanaka’s Formula, Local Time Risk Premiums

11.

Higher Order Comoments and Dependence Structure of Equity Portfolio

Number of pages: 43 Posted: 30 Jun 2014
Mario Cerrato, John Crosby, Minjoo Kim and Yang Zhao
London Metropolitan University - Department of Economics, Finance and International Business (EFIB), University of Maryland - Robert H. Smith School of Business, University of Liverpool - Accounting and Finance Division and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 52 (446,545)
Citation 3

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Higher Order Comoments, Dependence Structure, Hyperbolic Generalized Skewed t Copula, Generalized Autoregressive Score, Risk Management

12.

Jumps in Commodity Prices. New Approaches for Pricing Options.

Number of pages: 33 Posted: 27 Feb 2021
Carme Frau and John Crosby
University Complutense of Madrid (UCM) and University of Maryland - Robert H. Smith School of Business
Downloads 43 (505,648)

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Commodities, crude oil, futures prices, option pricing, Fourier transform, fast Fourier transform, term-structure model, analytical solution, stochastic volatility, jump-diffusion.

13.

Fund Performance Measurement Respecting an Industry Benchmark

Fox School of Business Research Paper Forthcoming
Number of pages: 70 Posted: 23 Nov 2019 Last Revised: 29 May 2020
Temple University - Fox School of Business and Management, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 41 (492,025)

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mutual fund, benchmark, ambiguity aversion

14.

Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International Economies

Robert H. Smith School Research Paper No. RHS 2858834
Number of pages: 50 Posted: 27 Oct 2016
Gurdip Bakshi, Mario Cerrato and John Crosby
Temple University - Fox School of Business and Management, London Metropolitan University - Department of Economics, Finance and International Business (EFIB) and University of Maryland - Robert H. Smith School of Business
Downloads 29 (551,725)
Citation 2

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Incomplete Markets, Limited Risk Sharing, Currency Puzzles

15.

Technical Note on Local Time Risk Premiums in Parameterized Models of Interest-Rate Claims

Fox School of Business Research Paper Forthcoming
Number of pages: 34 Posted: 27 Dec 2019 Last Revised: 17 Dec 2020
Temple University - Fox School of Business and Management, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 26 (569,519)
Citation 1

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Expected return of options on Treasury bond futures, unspanned components of pricing kernel, interest-rate models, Tanaka’s formula, local time risk premiums

16.

The Geography of Exchange Rate Disconnect

Number of pages: 48 Posted: 18 Feb 2021
Temple University - Fox School of Business and Management, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 11 (672,023)

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Exchange rate disconnect, geography, international bond, equity, and currency markets

17.

Technical Note on 'Fund Performance Measurement Respecting an Industry Benchmark'

Number of pages: 16 Posted: 08 Mar 2021
Temple University - Fox School of Business and Management, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 10 (679,352)

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Fund management, Fund performance

18.

Risk Sharing in International Economies and Market Incompleteness

American Finance Association Meeting 2016 , 27th Australasian Finance and Banking Conference 2014 Paper
Posted: 16 Aug 2014 Last Revised: 30 Sep 2018
Gurdip Bakshi, Mario Cerrato and John Crosby
Temple University - Fox School of Business and Management, London Metropolitan University - Department of Economics, Finance and International Business (EFIB) and University of Maryland - Robert H. Smith School of Business

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International risk sharing, incomplete markets, exchange rates, high (low) interest rates, carry trade