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

12

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Scholarly Papers (12)

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 1,967 (7,432)
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 490 (56,857)
Citation 2

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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 240 (127,483)

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

4.

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 79 (307,632)
Citation 1

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

5.

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
Fox School of Business, Glasgow University and University of Maryland - Robert H. Smith School of Business
Downloads 62 (351,172)
Citation 1

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Incomplete Markets, Exchange Rates

6.

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
Fox School of Business, University of Maryland - Robert H. Smith School of Business and University of Maryland - Department of Finance
Downloads 53 (378,785)

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7.

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 47 (398,936)
Citation 2

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

8.

The Multiplicative Wedge Approach to Incomplete Markets and the Trifecta of Exchange Rate Puzzles

Number of pages: 32 Posted: 24 Sep 2016 Last Revised: 01 Nov 2016
Gurdip Bakshi and John Crosby
Fox School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 42 (417,246)
Citation 1

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currency puzzles, incomplete spanning, multiplicative wedge

9.

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

Number of pages: 78 Posted: 23 Oct 2018 Last Revised: 22 May 2019
Gurdip Bakshi and John Crosby
Fox School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 34 (449,606)

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

10.

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
Fox 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 27 (483,059)
Citation 2

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Incomplete Markets, Limited Risk Sharing, Currency Puzzles

11.

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

Number of pages: 73 Posted: 28 Jun 2019 Last Revised: 08 Aug 2019
Fox School of Business, University of Maryland - Robert H. Smith School of Business and University of Maryland - Department of Finance
Downloads 17 (540,249)

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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

12.

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
Fox 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