Sven Sandow

Standard & Poor's - Quantitative Analytics

55 Water Street

New York, NY 10041

United States

  • Standard & Poor's - Quantitative Analytics

SCHOLARLY PAPERS

17

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6

CROSSREF CITATIONS

20

Scholarly Papers (17)

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1.

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, TIAA-CREF, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics
Downloads 326 (101,184)
Citation 10

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Private Firm, Probability of Default, Expected Utility, Statistical

2.

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
TIAA-CREF and Standard & Poor's - Quantitative Analytics
Downloads 320 (103,316)

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3.

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
TIAA-CREF, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics
Downloads 309 (107,262)

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4.

Financially Motivated Model Performance Measures

Number of pages: 15 Posted: 01 Nov 2005
Craig A. Friedman and Sven Sandow
TIAA-CREF and Standard & Poor's - Quantitative Analytics
Downloads 183 (180,059)

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5.

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
TIAA-CREF and Standard & Poor's - Quantitative Analytics
Downloads 158 (204,383)

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

6.

Data-Efficient Model Building for Financial Applications: A Semi-Supervised Learning Approach

Number of pages: 25 Posted: 02 Aug 2006
Sven Sandow and Jason Zhou
Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics
Downloads 156 (206,608)

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expected utility, semi-supervised learning, partially labeled data, conditional probabilities, entropy, credit risk, machine learning

7.

Some Decision Theoretic Generalizations of Information Measures

Number of pages: 32 Posted: 01 Nov 2005
Craig A. Friedman, Jinggang Huang and Sven Sandow
TIAA-CREF, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics
Downloads 145 (219,490)

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

8.

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

Number of pages: 20 Posted: 27 Oct 2005
Craig A. Friedman and Sven Sandow
TIAA-CREF and Standard & Poor's - Quantitative Analytics
Downloads 108 (274,064)
Citation 1

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Utilities, Relative Eneropy, Robust, Likelyhood, Regularization

9.

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
TIAA-CREF and Standard & Poor's - Quantitative Analytics
Downloads 104 (281,367)

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

10.

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

Downloads 0 (726,247)

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

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

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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 TIAA-CREF

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

11.

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
TIAA-CREF and Standard & Poor's - Quantitative Analytics

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Expected utility, probabilistic models, entropy, horse race

12.

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
TIAA-CREF and Standard & Poor's - Quantitative Analytics

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13.

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
TIAA-CREF and Standard & Poor's - Quantitative Analytics

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

14.

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, TIAA-CREF, affiliation not provided to SSRN and Standard & Poor's - Quantitative Analytics

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maximum expected utility, bond default rates, entropy

15.

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
TIAA-CREF and Standard & Poor's - Quantitative Analytics

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

16.

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, TIAA-CREF, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics

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17.

How Much is a Model Upgrade Worth?

Journal of Risk, Fall 2007
Posted: 27 Oct 2005
Sven Sandow, Jinggang Huang and Craig A. Friedman
Standard & Poor's - Quantitative Analytics, Standard & Poor's - Quantitative Analytics and TIAA-CREF

Abstract:

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Model Performance Measure, Likelihood, Certainty Equivalent, Utility Function, Monetary Value, Risk Aversion, Default Probability