Jan Dash

Fordham University

Gabelli Fellow and Visiting Scholar

113 West 60th Street

New York, NY 10023

United States

Bloomberg L.P.

Formerly head risk quant

731 Lexington Ave

New York, NY 10022

United States

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 24,314

SSRN RANKINGS

Top 24,314

in Total Papers Downloads

2,900

SSRN CITATIONS
Rank 33,635

SSRN RANKINGS

Top 33,635

in Total Papers Citations

2

CROSSREF CITATIONS

22

Ideas:
“  Contact: jdash9@comcast.net ; Editor-in-Chief, Journal of Climate Action, Research, and Policy (2023); Editor, Encyclopedia of Climate Change - https://bit.ly/3uVKyaN --- Gabelli Fellow and Visiting Scholar, Fordham U. --- Book: Quantitative Finance and Risk Management, a Physicist's Approach, 2nd Ed - https://www.worldscientific.com/worldscibooks/10.1142/9003 --- Editor, Climate Portal - http://climate.trunity.org/ --- Founder, Climate CARO - https://youtu.be/HmvH2o3-6_o --- President, J. Dash Consultants LLC  ”

Scholarly Papers (27)

1.

Advanced Idiosyncratic Risk and Multi-Factor Models

Number of pages: 24 Posted: 07 Apr 2015 Last Revised: 02 Feb 2017
Jan Dash and Mario Bondioli
Fordham University and Bloomberg L.P.
Downloads 260 (161,382)

Abstract:

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scenario, risk, CAPM, multifactor, predictive stress, correlated, idiosyncratic, APT

2.

Cleaning Financial Data Using SSA and MSSA

Number of pages: 30 Posted: 12 Jul 2016 Last Revised: 17 Sep 2016
Jan Dash and Yan Zhang
Fordham University and Bloomberg LP
Downloads 202 (205,166)
Citation 5

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cleaning time series, Multi-Channel Singular Spectrum Analysis, MSSA, filling data gaps, removing unphysical spikes, correlations, lagged correlations, autocorrelations

3.

Psychology, Stock/FX Trading, and Option Prices

Journal of Behavioral Finance, Forthcoming
Number of pages: 36 Posted: 27 Jan 2012 Last Revised: 21 Apr 2014
affiliation not provided to SSRN, Fordham University and Temple University - Risk Management & Insurance & Actuarial Science
Downloads 202 (205,166)
Citation 1

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Regret, Fear, Selling, Trading, Options

4.

Market Crises, Earthquakes, and the Reggeon Field Theory

Number of pages: 22 Posted: 07 Jun 2013
Jan Dash and Xipei Yang
Fordham University and Bloomberg L.P.
Downloads 187 (219,776)
Citation 1

Abstract:

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5.

Smart Monte Carlo, Path Integrals, and American Options

Number of pages: 19 Posted: 13 Jul 2016 Last Revised: 17 Sep 2016
Jan Dash and Xipei Yang
Fordham University and Bloomberg L.P.
Downloads 184 (222,870)
Citation 2

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Smart Monte Carlo, SMC, accuracy, speed, American MC, AMC, Feynman, path integral, binning procedure, Prony, interpolating functions, smaller price error, smoother optimal exercise boundary, multidimensional SMC

6.

Path Integrals and Greeks

Number of pages: 10 Posted: 17 Jul 2016 Last Revised: 02 Feb 2017
Jan Dash
Fordham University
Downloads 129 (297,299)

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Greeks, path integrals, gamma digital option

7.

SSA, Random Matrix Theory, and Noise-Reduced Correlations

Number of pages: 19 Posted: 11 Jul 2016 Last Revised: 20 Sep 2016
Fordham University, Bloomberg L.P., Bloomberg L.P. and Two Sigma
Downloads 128 (300,856)
Citation 2

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Singular Spectrum Analysis, SSA, Random Matrix Theory, RMT, Wishart, correlations, stable, noise-reduced

8.

Data Spike Cleaning with MSSA

Number of pages: 16 Posted: 20 Jul 2016 Last Revised: 11 Nov 2016
Jan Dash and Yan Zhang
Fordham University and Bloomberg LP
Downloads 126 (302,586)
Citation 3

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Unphysical Spikes, Multiple Singular Spectrum Analysis, MSSA, Detecting, Fixing

9.

Analytic Solution to the Two Dimension Merton Model

Number of pages: 12 Posted: 12 Jul 2016 Last Revised: 22 Jul 2016
Fordham University, Bloomberg L.P. and Two Sigma
Downloads 115 (323,135)

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Merton, two dimensional, local volatility, hybrid barrier, approximation, correlated default, structural, conformal

10.

The Macro-Micro Model, Trends vs. Noise, and SSA - I

Number of pages: 12 Posted: 13 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash, Xipei Yang and Mario Bondioli
Fordham University, Bloomberg L.P. and Bloomberg L.P.
Downloads 112 (329,244)
Citation 1

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Macro, Micro, MM, time scales, real world, trend risk, Singular Spectrum Analysis, SSA, correlations, PFE, risk simulation, quasi-random, statistical trend model, historic “time-slice” trend

11.

Speeding Up VAR with Smart Monte Carlo

Number of pages: 34 Posted: 01 Mar 2018
Jan Dash and Xinchong Zhang
Fordham University and Bloomberg L.P.
Downloads 109 (335,367)

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VAR, speedup, Smart Monte Carlo, SMC, efficiency, fewer calls, price look-ups

12.

Introduction to Noise-Reduced Correlations Using Singular Spectrum Analysis

Number of pages: 12 Posted: 30 Aug 2017
Fordham University, Bloomberg L.P., Bloomberg L.P. and Two Sigma
Downloads 105 (343,914)

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Singular Spectrum Analysis, Risk Management, Correlations, Stable, Noise-Cleaned, Polynomials Generalizing Z-Score, Signal-To-Noise Ratio, Random Matrix Theory, Analytic Eigenvalues of Random Matrix, Business Decisions

13.

Predicting Equity Crises, Critical Exponents, and Earthquakes - II

Number of pages: 46 Posted: 21 Jul 2016 Last Revised: 17 Sep 2016
Jan Dash and Xipei Yang
Fordham University and Bloomberg L.P.
Downloads 93 (371,942)
Citation 1

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Probability of Equity Crises One Year in Advance, CEEC Model, Critical Exponent Earthquake Crisis Model, Nonlinear Diffusion Reggeon Field Theory

14.

Path Integrals and Smart Monte Carlo - I

Number of pages: 16 Posted: 13 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash and Xipei Yang
Fordham University and Bloomberg L.P.
Downloads 93 (371,942)

Abstract:

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Smart Monte Carlo, SMC, efficiency, Monte Carlo, fewer calls, price look-ups

15.

Cleaning Data with Real-World Updating Using MSSA

Number of pages: 14 Posted: 20 Jul 2016
Jan Dash and Yan Zhang
Fordham University and Bloomberg LP
Downloads 86 (390,255)

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Data Cleaning, Problematic Data, MSSA, Real-Time Historical Simulation

16.

Macro-Micro, Trends vs. Noise, and SSA - II

Number of pages: 27 Posted: 12 Jul 2016 Last Revised: 17 Sep 2016
Jan Dash, Xipei Yang and Mario Bondioli
Fordham University, Bloomberg L.P. and Bloomberg L.P.
Downloads 78 (412,995)

Abstract:

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macro, micro, MM, real-world, PFE, risk, quasi-random, trends, 3rd order skew Green function, micro mean reversion, random time distribution, approximate no-arbitrage

17.

Advanced Idiosyncratic Risk and Multi-Factor Models – Short Version

Number of pages: 19 Posted: 01 Feb 2017
Jan Dash and Mario Bondioli
Fordham University and Bloomberg L.P.
Downloads 76 (419,134)

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AI-Risk, correlated residuals, accurate correlations, cross-section regression, factor models

18.

Noise-Reduced Correlations, the Signal to Noise Ratio, and SSA

Number of pages: 21 Posted: 11 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash and Xipei Yang
Fordham University and Bloomberg L.P.
Downloads 76 (419,134)
Citation 2

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Key Words: Singular Spectrum Analysis, SSA, Signal to Noise, correlations, stable, noise-reduced, smoothed time series, random matrix

19.

A Distressed Bond Model

Number of pages: 9 Posted: 12 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash, Xipei Yang and Stan Maydan
Fordham University, Bloomberg L.P. and Bloomberg LP
Downloads 75 (422,182)

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distressed bond, proxy, portfolio

20.

Path Integrals and Smart Monte Carlo - II

Number of pages: 40 Posted: 13 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash and Xipei Yang
Fordham University and Bloomberg L.P.
Downloads 73 (428,499)
Citation 2

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Smart Monte Carlo, SMC, accuracy, speed, extend, N-dimensional Gaussian integrals, path-to-path distance, time interpolation , consistency condition, MRG interest-rate model, real-world, risk-neutral, risk-neutral,mortgage servicing, hedge

21.

Stable Reduced-Noise 'Macro' SSA - Based Correlations for Long-Term Counterparty Risk Management

Number of pages: 18 Posted: 11 Jul 2016 Last Revised: 22 Jul 2016
Fordham University, Bloomberg L.P., Two Sigma and Bloomberg L.P.
Downloads 66 (451,943)
Citation 4

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Singular Spectrum Analysis, counterparty risk, correlations, stable, noise-cleaned, macro, business decisions

22.

Nearest Neighbor Technique for a Positive Definite Correlation Matrix in Advanced Stressed VAR

Number of pages: 7 Posted: 13 Jul 2016 Last Revised: 22 Nov 2016
Jan Dash and Xipei Yang
Fordham University and Bloomberg L.P.
Downloads 65 (455,452)
Citation 1

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Positive Definite, Stressed Target Matrix, Advanced Stressed Value at Risk, Spherical Decomposition, Nearest Neighbor, Risk Manager

23.

Risk Tails and General Orthonormal Polynomials

Number of pages: 12 Posted: 12 Jul 2016 Last Revised: 22 Jul 2016
Fordham University, Two Sigma and Bloomberg L.P.
Downloads 63 (462,649)

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risk tails, probability distribution, moments, GONPOMs, Chebyshev, generalize, z-score

24.

MSSA vs. Multivariate Regularized Expectation Maximization for Data Cleaning

Number of pages: 22 Posted: 20 Jul 2016
Jan Dash and Yan Zhang
Fordham University and Bloomberg LP
Downloads 56 (489,266)

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Data Cleaning, SSA, MSSA, M-REM, Multivariate Regularized Expectation Maximization

25.

Describing Crises with a Critical Exponent of the Reggeon Field Theory

Number of pages: 11 Posted: 12 Jul 2016 Last Revised: 17 Sep 2016
Jan Dash and Xipei Yang
Fordham University and Bloomberg L.P.
Downloads 53 (501,479)
Citation 1

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markets in crisis, critical exponent, nonlinear-diffusion, Reggeon Field Theory, no free parameters, benchmark, rich or cheap

26.

HYVAR (Hybrid VAR): HVAR Mixed with MC-HVAR

Number of pages: 8 Posted: 12 Jul 2016 Last Revised: 14 Feb 2017
Jan Dash and Mario Bondioli
Fordham University and Bloomberg L.P.
Downloads 45 (536,736)

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Hybrid Value at Risk, Historical VAR, Monte Carlo VAR, arbitrary mixture, mixing angle, correlation, jumps, fat tails

27.

Non-Leading Eigenvalue Distributions, RMT, and Correlations

Number of pages: 16 Posted: 11 Jul 2016 Last Revised: 20 Sep 2016
Jan Dash and Xipei Yang
Fordham University and Bloomberg L.P.
Downloads 43 (546,349)

Abstract:

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Singular Spectrum Analysis, SSA, Non-leading eigenvalue distribution, Wishart random matrix, RMT, correlations, stable, noise-reduced, eigenvalue spacing, eigenvector components