Thomas Coleman

University of Chicago - Harris Public Policy

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
Rank 5,031

SSRN RANKINGS

Top 5,031

in Total Papers Downloads

8,187

CITATIONS

6

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 - Harris Public Policy
Downloads 3,606 (2,622)

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 - Harris Public Policy
Downloads 1,387 (13,046)

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 - Harris Public Policy
Downloads 879 (25,892)
Citation 1

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 - Harris Public Policy
Downloads 566 (47,020)
Citation 1

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 - Harris Public Policy
Downloads 446 (63,392)

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 - Harris Public Policy
Downloads 322 (92,665)
Citation 1

Abstract:

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

7.

Swap Valuation with Dual Curves - Approximations

Number of pages: 11 Posted: 14 Mar 2017
Thomas Coleman
University of Chicago - Harris Public Policy
Downloads 229 (132,517)

Abstract:

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Swap Valuation Dual-Curve OIS

8.

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 - Harris Public Policy
Downloads 220 (137,834)
Citation 1

Abstract:

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Probability, Expected Utility, Risk, Ambiguity

9.

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 - Harris Public Policy
Downloads 156 (187,933)

Abstract:

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

10.

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 - Harris Public Policy
Downloads 105 (254,832)

Abstract:

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

11.

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 - Harris Public Policy
Downloads 104 (256,484)

Abstract:

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

12.

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 - Harris Public Policy
Downloads 92 (278,093)

Abstract:

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

13.

A Dynamic Model of Labor Supply Under Uncertainty

Number of pages: 49 Posted: 02 Apr 2008
Thomas Coleman
University of Chicago - Harris Public Policy
Downloads 75 (314,886)
Citation 1

Abstract:

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Three-state model, Labor supply, Unemployment, Aggregation