Craig A. Friedman

State++

New York, NY

United States

SCHOLARLY PAPERS

36

DOWNLOADS
Rank 13,189

SSRN RANKINGS

Top 13,189

in Total Papers Downloads

7,898

TOTAL CITATIONS
Rank 20,063

SSRN RANKINGS

Top 20,063

in Total Papers Citations

48

Scholarly Papers (36)

Actions:
Email selected abstracts
1.

Calibrating Volatility Surfaces Via Relative-Entropy Minimization

Number of pages: 38 Posted: 01 Feb 1997
Marco Avellaneda, Craig A. Friedman, Richard Holmes and Dominick J. Samperi
New York University (NYU) - Courant Institute of Mathematical Sciences, State++, New York University (NYU) - Courant Institute of Mathematical Sciences and Decision Synergy
Downloads 3,388 (7,656)
Citation 15

Abstract:

Loading...

2.

Private Firm Default Probabilities Via Statistical Learning Theory and Utility Maximization

Number of pages: 27 Posted: 27 Oct 2005 Last Revised: 14 Apr 2011
Jason Zhou, Jinggang Huang, Craig A. Friedman, Robert Cangemi and Sven Sandow
Standard & Poor's - Quantitative Analytics, Standard & Poor's - Quantitative Analytics, State++, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics
Downloads 435 (145,350)
Citation 14

Abstract:

Loading...

Private Firm, Probability of Default, Expected Utility, Statistical

3.

Modeling Multi-Period Corporate Default Probability When Hazard Ratios Decay

Journal of Credit Risk, Forthcoming
Number of pages: 15 Posted: 27 Aug 2007 Last Revised: 27 Apr 2012
Jinggang Huang and Craig A. Friedman
Standard & Poor's - Quantitative Analytics and State++
Downloads 368 (175,776)

Abstract:

Loading...

4.

A Financial Approach to Machine Learning with Applications to Credit Risk

Forthcoming, Proceedings of IMA Workshop of Financial Modeling, Springer, Edited by Marco Avellaneda and Rama Cont
Number of pages: 39 Posted: 02 Nov 2005
Craig A. Friedman, Jinggang Huang and Sven Sandow
State++, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics
Downloads 365 (177,363)

Abstract:

Loading...

5.

Estimating Conditional Probability Distributions of Recovery Rates: A Utility-Based Approach

RECOVERY RISK: THE NEXT CHALLENGE IN CREDIT RISK MANGEMENT, Edward Altman, Andrea Resti and Andrea Sironi, eds., Risk Books, 2005
Number of pages: 19 Posted: 11 Jan 2006
Craig A. Friedman and Sven Sandow
State++ and Standard & Poor's - Quantitative Analytics
Downloads 358 (181,219)

Abstract:

Loading...

6.

Estimating Flexible, Fat-Tailed Conditional Asset Return Distributions

Number of pages: 44 Posted: 07 Jan 2011 Last Revised: 10 Oct 2012
Craig A. Friedman, Yangyong Zhang and Wenbo Cao
State++, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics
Downloads 230 (287,242)
Citation 4

Abstract:

Loading...

Minimum Relative U−Entropy, Conditional Probability Distribution, Fat-tailed, Power-Law Distribution, Heteroskedastic, Financial Data, Asset Returns

7.

Estimating Future Transition Probabilities when the Value of Side Information Decays, with Applications to Credit Modeling

Journal of Risk Volume 14/Number 1, Fall 2011
Number of pages: 38 Posted: 26 Mar 2010 Last Revised: 09 May 2012
Craig A. Friedman, Jinggang Huang and Yangyong Zhang
State++, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics
Downloads 218 (302,364)
Citation 2

Abstract:

Loading...

Transition probability model, side information, information value decay, credit model, hazard rate model, default probability model, rating transition model, information theory, minimumrelative entropy principle, conditional relative entropy, robust model

8.

Financially Motivated Model Performance Measures

Number of pages: 15 Posted: 01 Nov 2005
Craig A. Friedman and Sven Sandow
State++ and Standard & Poor's - Quantitative Analytics
Downloads 214 (307,815)

Abstract:

Loading...

9.

Learning Probabilistic Models: An Expected Utility Maximization Approach

Journal of Machine Learning Research, Vol. 4, pp. 257-291, July 2003
Number of pages: 35 Posted: 27 Oct 2005
Craig A. Friedman and Sven Sandow
State++ and Standard & Poor's - Quantitative Analytics
Downloads 194 (337,452)
Citation 1

Abstract:

Loading...

Learning Probabilistic Models, Expected Utility, Relative Entropy, Pareto Optimality, Robustness

10.

Finding Stress Scenarios that Get the Job Done, with a Credit Risk Application

Number of pages: 23 Posted: 09 Dec 2010
Craig A. Friedman, Jinggang Huang and Yuchang Huang
State++, affiliation not provided to SSRN and Standard & Poor's - Quantitative Analytics
Downloads 191 (342,312)
Citation 3

Abstract:

Loading...

Basel II, plausible yet severe scenarios, stress scenarios, copula models, loss scenarios, mean center methods

11.

Estimating Flexible, Fat-Tailed Asset Return Distributions

Number of pages: 39 Posted: 20 Jun 2010 Last Revised: 10 Apr 2012
Craig A. Friedman, Yangyong Zhang and Jinggang Huang
State++, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics
Downloads 184 (354,291)
Citation 2

Abstract:

Loading...

Minimum Relative U−Entropy, Probability Distribution, Fattailed, Power-Law Distribution, Financial Data, Asset Returns

12.

Some Decision Theoretic Generalizations of Information Measures

Number of pages: 32 Posted: 01 Nov 2005
Craig A. Friedman, Jinggang Huang and Sven Sandow
State++, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics
Downloads 176 (368,558)

Abstract:

Loading...

Generalized Entropy, Generalized Kullback-Leibler Relative Entropy, Decision Theory, Expected Utility, Horse Race, Tsallis Entropy, Statistical Learning, Probability Estimation, Risk Neutral Pricing Measure

13.

Most Entropic Copulas: General Form, and Calibration to High-Dimensional Data in an Important Special Case

Number of pages: 13 Posted: 15 Dec 2010
Craig A. Friedman and Jinggang Huang
State++ and Standard & Poor's - Quantitative Analytics
Downloads 155 (411,529)
Citation 2

Abstract:

Loading...

Most Entropic Copula, General Form, Spearman Copula, Homogeneous Spearman Copula, Calibration, Numerical procedure, CDX IG Index

14.

A Decision-Theoretic Motivation for L1-Regularized Maximum Likelihood Modeling

Number of pages: 20 Posted: 27 Oct 2005
Craig A. Friedman and Sven Sandow
State++ and Standard & Poor's - Quantitative Analytics
Downloads 154 (413,748)
Citation 1

Abstract:

Loading...

Utilities, Relative Eneropy, Robust, Likelyhood, Regularization

15.

A Tractable Utility-Based Approach to Consistent Model Selection and Asset Allocation

Number of pages: 18 Posted: 27 Oct 2005
Craig A. Friedman and Sven Sandow
State++ and Standard & Poor's - Quantitative Analytics
Downloads 153 (416,015)

Abstract:

Loading...

Likelihood Ratio, Drawdown Probability, Optimal Performance, Generalized Logarithmic Utility Function

16.

Engineering More Effective Weighted Monte Carlo Option Pricing Models

Number of pages: 37 Posted: 26 Dec 2012 Last Revised: 04 Jan 2013
Craig A. Friedman, Wenbo Cao, Yuchang Huang and Yangyong Zhang
State++, Standard & Poor's - Quantitative Analytics, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics
Downloads 151 (420,617)
Citation 2

Abstract:

Loading...

Minimum Relative U-Entropy, Weighted Monte Carlo, Option Pricing, Swaptions, Equity Index Options, Student-t distributions, Fat-tailed distributions

17.

Monotone Nonlinear Probabilistic Models, with Credit Applications

Number of pages: 24 Posted: 10 Sep 2011 Last Revised: 14 Sep 2011
Craig A. Friedman, Yuchang Huang and Jinggang Huang
State++, Standard & Poor's - Quantitative Analytics and affiliation not provided to SSRN
Downloads 150 (422,853)

Abstract:

Loading...

monotonicity, nonlinearity, conditional probability model, stochastic dominance, monotone likelihood property, model acceptance, model plausibility, model accuracy, credit rating model, regularization, conditional mean, conditional median, conditional mode, Probability of Default (PD) Model

18.

Toward More Accurate Portfolio Modeling, with Equity and Credit Risk Applications

Number of pages: 22 Posted: 08 Nov 2011 Last Revised: 08 Mar 2012
Wenbo Cao and Craig A. Friedman
Standard & Poor's - Quantitative Analytics and State++
Downloads 149 (425,219)

Abstract:

Loading...

Large portfolio models, copula models, factor models, correlation, dependence, equity, credit, fat tails

19.

Imputation Via Copula and Transformation Methods, With Applications to Financial and Economic Data

Number of pages: 23 Posted: 09 Dec 2010
Yangyong Zhang, Craig A. Friedman, Jinggang Huang and Wenbo Cao
Standard & Poor's - Quantitative Analytics, State++, affiliation not provided to SSRN and Standard & Poor's - Quantitative Analytics
Downloads 147 (429,888)

Abstract:

Loading...

Missing Variable Imputation, Generalized T-Distribution, Arellano-Valle and Bolfarine’s Generalized T−Distribution, Copula, Mixture Models, Quadrature

20.

A Method to Find Diverse and Manageable Sets of Plausible Yet Severe Financial Scenarios

Number of pages: 48 Posted: 15 Jan 2014
Craig A. Friedman and Yangyong Zhang
State++ and Standard & Poor's - Quantitative Analytics
Downloads 145 (434,611)

Abstract:

Loading...

scenario simulation, stress scenarios, copula models, Basel II and Basel III, loss scenarios, mean center methods, large portfolios, financial systems, sector-specific risk, model misspecification risk

21.

Some Economically Meaningful Option Model Calibration Performance Measures

Number of pages: 18 Posted: 26 Dec 2012 Last Revised: 15 Jan 2014
Craig A. Friedman, Wenbo Cao and Yuchang Huang
State++, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics
Downloads 113 (528,777)
Citation 1

Abstract:

Loading...

Option Pricing Model, Performance Measure, Model Calibration, Calibration Error, Economic Consequences, Fat-Tailed, Asset Returns, Utility-based

22.

Calming Jittery Models, with a Credit Application

Number of pages: 24 Posted: 20 Feb 2011
Craig A. Friedman and Yuchang Huang
State++ and Standard & Poor's - Quantitative Analytics
Downloads 105 (558,479)

Abstract:

Loading...

Model Stability, Model Volatility, Conditional Probability Model, Probability of Default (PD) Model, Through-the-Cycle (TTC), Point-in-Time (PIT), Kullback-Leibler Relative Entropy, Dynamic Stability, Regulatory Capital, Economic Capital, Signal-to-Noise Ratio

23.

A Partially Isotropic Reduced Pca Model for Large Equity Portfolios

Number of pages: 14 Posted: 28 Mar 2012
Craig A. Friedman, Wenbo Cao and Jinggang Huang
State++, Standard & Poor's - Quantitative Analytics and affiliation not provided to SSRN
Downloads 80 (664,055)
Citation 1

Abstract:

Loading...

Multivariate Stock Return Distribution, Multivariate Probability Distribution, Copula, Principal Components, Partially Isotropic, Fat-tailed, Dependence, Ill-Conditioned

24.

Estimating Multivariate Conditional Models via Entropic Methods

Number of pages: 40 Posted: 15 Jan 2014 Last Revised: 10 May 2014
Wenbo Cao and Craig A. Friedman
Standard & Poor's - Quantitative Analytics and State++
Downloads 75 (688,972)

Abstract:

Loading...

Fat tails, multivariate conditional distributions, robustness, Tsallis, Renyi and power f-entropy, multivariate Pareto distribution, generalized t-distribution, block-coordinate descent, trust region

25.

Weighted Monte Carlo: A New Technique for Calibrating Asset-Pricing Models

International Journal of Theoretical and Applied Finance, Vol. 4, No. 1, 2001
Posted: 12 Feb 2011
Marco Avellaneda, Robert Buff, Craig A. Friedman, Nicolas Grandechamp, Lukasz Kruk and Joshua Newman
New York University (NYU) - Courant Institute of Mathematical Sciences, affiliation not provided to SSRN, State++, affiliation not provided to SSRN, affiliation not provided to SSRN and affiliation not provided to SSRN

Abstract:

Loading...

26.

Conditional Value-at-Risk in the Presence of Multiple Probability Measures

Journal of Risk, Vol. 4, No. 3, Spring 2002
Posted: 16 Dec 2010
Craig A. Friedman
State++

Abstract:

Loading...

27.

Confronting Model Misspecification in Finance: Tractable Collections of Scenario Probability Measures for Robust Financial Optimization Problems

International Journal of Theoretical and Applied Finance, Vol. 5, No. 1, 2002
Posted: 16 Dec 2010
Craig A. Friedman
State++

Abstract:

Loading...

28.

Joint and Conditional Transformed T−Mixture Models with Applications to Financial and Economic Data

Journal of Risk, Vol. 11, No. 3, Spring 2009
Posted: 09 Dec 2010 Last Revised: 10 Feb 2011
Craig A. Friedman, Wenbo Cao, Jinggang Huang and Yangyong Zhang
State++, Standard & Poor's - Quantitative Analytics, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics

Abstract:

Loading...

Copula, Conditional Probability Density, Gaussian Mixture Model, t−Mixture Model, Multivariate Probability Distribution, Multivariate t−Distribution, Arellano-Valle and Bolfarine’s Generalized t−distribution, Fat-Tailed, Simulation, Stock Return Distribution, Financial Data, Economic Data

29.

Estimating Univariate Distributions Via Relative Entropy Minimization: Case Studies on Financial and Economic Data

International Journal of Theoretical and Applied Finance (IJTAF), 2010
Posted: 08 Jun 2010 Last Revised: 09 Jun 2010
Craig A. Friedman, Yangyong Zhang and Jinggang Huang
State++, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics

Abstract:

Loading...

Kullback-Leibler relative entropy, maximum likelihood, probability distribution, fat-tailed, point mass, stock return distribution, stock index return distribution, financial data, economic data, California Housing Data

30.

Information, Model Performance, Pricing and Trading Measures in Incomplete Markets

Downloads 0 (1,343,454)

Information, Model Performance, Pricing and Trading Measures in Incomplete Markets

Posted: 27 Jan 2006
Craig A. Friedman, Jinggang Huang and Sven Sandow
State++, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics

Abstract:

Loading...

Entropy, Incomplete Markets, Expected Utility, Pricing Measures, Model Performance Measure, Minimum Relative Entropy Principal, Statistical

Information, Model Performance, Pricing and Trading Measures in Incomplete Markets

International Journal of Theoretical and Applied Finance, Vol. 9, No. 3, 2006
Posted: 31 Jan 2006 Last Revised: 17 Dec 2010
Jinggang Huang, Sven Sandow and Craig A. Friedman
Standard & Poor's - Quantitative Analytics, Standard & Poor's - Quantitative Analytics and State++

Abstract:

Loading...

Entropy, Incomplete Markets, Expected Utility, Pricing Measures, Model Performance Measure, Minimum Relative Entropy Principal, Statistical

31.

Model Performance Measures for Expected Utility Maximizing Investors

International Journal of Theoretical and Applied Finance, Vol. 6, No. 4, pp. 355-401, 2003
Posted: 12 Jan 2006
Craig A. Friedman and Sven Sandow
State++ and Standard & Poor's - Quantitative Analytics

Abstract:

Loading...

Expected utility, probabilistic models, entropy, horse race

32.

Utility Functions that Lead to the Likelihood Ratio as a Relative Model Performance Measure

Statistical Papers, Vol. 47, pp. 211-225, 2006
Posted: 12 Jan 2006
Craig A. Friedman and Sven Sandow
State++ and Standard & Poor's - Quantitative Analytics

Abstract:

Loading...

33.

Utility-Based Performance Measures for Regression Models

Journal of Banking & Finance, Vol. 30, No. 2, pp. 541-560, February 2006
Posted: 11 Jan 2006 Last Revised: 17 Dec 2010
Craig A. Friedman and Sven Sandow
State++ and Standard & Poor's - Quantitative Analytics

Abstract:

Loading...

regression models, model performance measures, relative entropy, expected utility, horse race

34.

Economy-Wide Bond Default Rates: A Maximum Expected Utility Approach

Journal of Banking & Finance, Vol. 30, No. 2, pp. 679-693, February 2006
Posted: 11 Jan 2006 Last Revised: 14 Nov 2011
Sven Sandow, Craig A. Friedman, Mark Gold and Peter Chang
Standard & Poor's - Quantitative Analytics, State++, affiliation not provided to SSRN and Standard & Poor's - Quantitative Analytics

Abstract:

Loading...

maximum expected utility, bond default rates, entropy

35.

Model Performance Measures for Leveraged Investors

International Journal of Theoretical and Applied Finance, Vol. 7, No. 5, pp. 541-554, 2004
Posted: 08 Nov 2005
Craig A. Friedman and Sven Sandow
State++ and Standard & Poor's - Quantitative Analytics

Abstract:

Loading...

Likelihood ratio, utility function, model performance, horse race, financial

36.

Time-Dependent Recovery Rates of Defaulted Debt

EEVENT RISK, Marco Avellaneda, ed., Risk Books, Forthcoming
Posted: 02 Nov 2005
Peter Chang, Craig A. Friedman, Kevin Kelhoffer and Sven Sandow
Standard & Poor's - Quantitative Analytics, State++, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics

Abstract:

Loading...