Thomas Coleman

University of Chicago - Irving B. Harris Graduate School of Public Policy Studies

Executive Director, Center for Economic Policy

1155 East 60th Street

Chicago, IL 60637

United States

Close Mountain Advisors LLC

19 Davenport Ave.

Unit B

Greenwich, CT 06830

United States

SCHOLARLY PAPERS

13

DOWNLOADS
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7,992

CITATIONS
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Top 45,043

in Total Papers Citations

3

Scholarly Papers (13)

1.

A Guide to Duration, DV01, and Yield Curve Risk Transformations

Number of pages: 29 Posted: 01 Jan 2011 Last Revised: 23 Jan 2011
Thomas Coleman
University of Chicago - Irving B. Harris Graduate School of Public Policy Studies
Downloads 3,559 (2,614)

Abstract:

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DV01, Duration, Key Rate Duration, Interest Rate Risk, Yield Curve Risk, Dollar Duration, Modified Duration, Partial DV01

2.

A Practical Guide to Risk Management (A Summary)

Research Foundation of CFA Institute Monograph, 2012
Number of pages: 9 Posted: 15 Jun 2013
Thomas Coleman
University of Chicago - Irving B. Harris Graduate School of Public Policy Studies
Downloads 1,383 (12,846)

Abstract:

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risk management, Research Foundation of CFA Institute, Coleman

3.

A Primer on Credit Default Swaps (CDS)

Number of pages: 11 Posted: 20 Feb 2010 Last Revised: 04 Oct 2010
Thomas Coleman
University of Chicago - Irving B. Harris Graduate School of Public Policy Studies
Downloads 876 (25,565)

Abstract:

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Credit default swap, CDS, valuation, risk

4.

Fitting Forward Rates to Market Data

Number of pages: 36 Posted: 26 Jun 2007
Thomas Coleman
University of Chicago - Irving B. Harris Graduate School of Public Policy Studies
Downloads 558 (47,116)

Abstract:

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Forward Curve, Forward Rates, Yield Curve, Term Structure of Interest Rates

5.

A Practical Guide to Bonds and Swaps

Number of pages: 52 Posted: 17 Feb 2010
Thomas Coleman
University of Chicago - Irving B. Harris Graduate School of Public Policy Studies
Downloads 438 (63,662)

Abstract:

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Bond, Swap, Market-to-Market, Risk

6.

Estimating the Correlation of Non-Contemporaneous Time-Series

Number of pages: 42 Posted: 15 Jun 2007 Last Revised: 08 Sep 2008
Thomas Coleman
University of Chicago - Irving B. Harris Graduate School of Public Policy Studies
Downloads 319 (92,113)

Abstract:

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Covariance, Correlation, Asynchronous Trading, Non-synchronous Trading, Closing-Time Problem

7.

Probability, Expected Utility, and the Ellsberg Paradox

Number of pages: 16 Posted: 27 Feb 2011 Last Revised: 24 May 2011
Thomas Coleman
University of Chicago - Irving B. Harris Graduate School of Public Policy Studies
Downloads 215 (138,581)

Abstract:

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Probability, Expected Utility, Risk, Ambiguity

8.

Swap Valuation with Dual Curves - Approximations

Number of pages: 11 Posted: 14 Mar 2017
Thomas Coleman
University of Chicago - Irving B. Harris Graduate School of Public Policy Studies
Downloads 214 (139,193)

Abstract:

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Swap Valuation Dual-Curve OIS

9.

Financial Risk Measurement and Joint Extreme Events: The Normal, Student-T, and Mixture of Normals

Number of pages: 22 Posted: 17 May 2014
Thomas Coleman
University of Chicago - Irving B. Harris Graduate School of Public Policy Studies
Downloads 105 (250,898)

Abstract:

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Risk management, extreme events, fat tails, fait-tailed distribution, extreme value theory

10.

Cyclical Employment and Unemployment Flows in the U.S.

Number of pages: 45 Posted: 23 Aug 2010 Last Revised: 26 Aug 2010
Thomas Coleman
University of Chicago - Irving B. Harris Graduate School of Public Policy Studies
Downloads 104 (252,554)

Abstract:

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Job flows, employment fluctuations, labor force, employment dynamics, worker flows

11.

How Precision of the Sharpe Ratio Improves With Monthly Data

Number of pages: 42 Posted: 27 Apr 2017 Last Revised: 24 Jan 2018
Thomas Coleman
University of Chicago - Irving B. Harris Graduate School of Public Policy Studies
Downloads 85 (287,737)

Abstract:

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Sharpe, Sharpe Ratio, sampling distribution, non-central Student-t, small-sample distribution, large-sample distribution, asymptotic distribution, confidence interval

12.

A Dynamic Model of Labor Supply Under Uncertainty

Number of pages: 49 Posted: 02 Apr 2008
Thomas Coleman
University of Chicago - Irving B. Harris Graduate School of Public Policy Studies
Downloads 74 (312,308)
Citation 3

Abstract:

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Three-state model, Labor supply, Unemployment, Aggregation

13.

Causality in the Time of Cholera: John Snow As a Prototype for Causal Inference

Number of pages: 86 Posted: 30 Oct 2018 Last Revised: 15 Mar 2019
Thomas Coleman
University of Chicago - Irving B. Harris Graduate School of Public Policy Studies
Downloads 62 (343,176)

Abstract:

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John Snow, Cholera, Causal Inference, Epidemiology, Statistical Methodology, History of Science