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

20

DOWNLOADS
Rank 16,472

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Top 16,472

in Total Papers Downloads

4,316

SSRN CITATIONS
Rank 32,750

SSRN RANKINGS

Top 32,750

in Total Papers Citations

10

CROSSREF CITATIONS

15

Scholarly Papers (20)

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 1,999 (11,202)
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 UniversityUniversity of Kent Business School, University of Maryland - Robert H. Smith School of Business and affiliation not provided to SSRN
Downloads 530 (73,726)
Citation 3

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3.

Volatility Uncertainty and VIX Futures Contango

Fox School of Business Research Paper Forthcoming, SMU Cox School of Business Research Paper No. 21-19
Number of pages: 46 Posted: 16 Dec 2021
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business, Fox School of Business, Temple University and Southern Methodist University (SMU) - Finance Department
Downloads 383 (108,514)

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VIX futures curve, stochastic orders, hedging instruments, contango

4.

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 266 (159,408)

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

5.

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 ManagementFox School of Business, 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 237 (179,166)
Citation 3

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

6.

Dark Matter in (Volatility and) Equity Option Risk Premiums

Operations Research, forthcoming
Number of pages: 55 Posted: 23 Nov 2019 Last Revised: 15 Jun 2022
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 120 (316,737)
Citation 2

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

7.

Jumps in Commodity Prices: New Approaches for Pricing Plain Vanilla Options

Number of pages: 41 Posted: 27 Feb 2021 Last Revised: 24 Jun 2022
Carme Frau and John Crosby
Complutense University of Madrid (UCM) and University of Maryland - Robert H. Smith School of Business
Downloads 100 (358,637)

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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.

8.

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 91 (380,547)
Citation 1

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

9.

Implications of Incomplete Markets for International Economies

Review of Financial Studies (Forthcoming)
Number of pages: 71 Posted: 21 Sep 2017
Temple University - Fox School of Business and ManagementFox School of Business, Glasgow University and University of Maryland - Robert H. Smith School of Business
Downloads 86 (396,635)
Citation 5

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Incomplete Markets, Exchange Rates

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, Gurdip Bakshi and John Crosby
Temple University - Fox School of Business and ManagementFox School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 61 (481,459)

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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, Gurdip Bakshi and John Crosby
Temple University - Fox School of Business and ManagementFox School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 17 (741,524)

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11.

The Puzzle of Treasury Option Returns and the Consistent Pricing of Options and the Yield Curve

Number of pages: 79 Posted: 28 Jun 2019 Last Revised: 15 Feb 2022
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 74 (429,453)

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Options on futures of Treasury bonds, interest-rate models, option risk premiums, unspanned risks in the pricing kernel

12.

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 ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 69 (445,841)

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13.

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 57 (489,933)
Citation 3

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

14.

Caution under Ambiguity and Blowups

Fox School of Business Research Paper Forthcoming
Number of pages: 37 Posted: 08 Jul 2021 Last Revised: 01 Oct 2021
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 55 (497,881)

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ambiguity, tail risk

15.

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 ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 53 (506,108)

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mutual fund, benchmark, ambiguity aversion

16.

The Geography of Exchange Rate Disconnect

Number of pages: 48 Posted: 18 Feb 2021
Temple University - Fox School of Business and ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 42 (556,390)

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

17.

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 ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 32 (610,469)
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

18.

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
Temple University - Fox School of Business and ManagementFox School of Business, London Metropolitan University - Department of Economics, Finance and International Business (EFIB) and University of Maryland - Robert H. Smith School of Business
Downloads 29 (629,076)
Citation 2

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Incomplete Markets, Limited Risk Sharing, Currency Puzzles

19.

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 ManagementFox School of Business, University of Maryland - Robert H. Smith School of Business and Fox School of Business, Temple University
Downloads 15 (733,393)

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Fund management, Fund performance

20.

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
Temple University - Fox School of Business and ManagementFox School of Business, 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