Paul Glasserman

Columbia Business School

Jack R. Anderson Professor of Business

3022 Broadway

403 Uris Hall

New York, NY 10027

United States

SCHOLARLY PAPERS

47

DOWNLOADS
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SSRN RANKINGS

Top 2,926

in Total Papers Downloads

12,280

CITATIONS
Rank 3,244

SSRN RANKINGS

Top 3,244

in Total Papers Citations

245

Scholarly Papers (47)

1.
Downloads 1,434 ( 12,361)
Citation 7

Forward and Future Implied Volatility

International Journal of Theoretical and Applied Finance, Vol. 14, No. 03, 2011
Number of pages: 28 Posted: 09 Jul 2010 Last Revised: 23 Jul 2011
Paul Glasserman and Qi Wu
Columbia Business School and City University of Hong Kong (CityUHK)
Downloads 1,302 (14,105)

Abstract:

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Forward Implied Volatility, Implied vol Surface, Time-dependent SABR model, FX options

Forward and Future Implied Volatility

International Journal of Theoretical and Applied Finance, Vol. 14, No. 3, pp. 407-432, 2010, Columbia Business School Research Paper No. 11-20
Number of pages: 28 Posted: 20 Oct 2011
Paul Glasserman and Qi Wu
Columbia Business School and City University of Hong Kong (CityUHK)
Downloads 132 (216,131)
Citation 2

Abstract:

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2.

Contingent Capital with a Capital-Ratio Trigger

Number of pages: 34 Posted: 01 Sep 2010
Paul Glasserman and Behzad Nouri
Columbia Business School and Columbia University
Downloads 1,220 (15,912)
Citation 23

Abstract:

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3.

Robust Risk Measurement and Model Risk

Number of pages: 49 Posted: 28 Oct 2012
Paul Glasserman and Xingbo Xu
Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 880 (25,855)
Citation 1

Abstract:

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Measuring Marginal Risk Contributions in Credit Portfolios

FDIC Center For Financial Research Working Paper No. 2005-01
Number of pages: 34 Posted: 01 Apr 2005
Paul Glasserman
Columbia Business School
Downloads 763 (31,039)
Citation 4

Abstract:

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Portfolio credit risk, value-at-risk, expected shortfall, Monte Carlo methods

Measuring Marginal Risk Contributions in Credit Portfolios

Journal of Computational Finance, Vol. 9, No. 2, Spring 2006
Posted: 10 May 2006
Paul Glasserman
Columbia Business School

Abstract:

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credit risk, Portfolio, obligors, transactions, value-at-risk, marginal risk, Monte Carlo, Gaussian copula, multifactor models

5.

Gamma Expansion of the Heston Stochastic Volatility Model

Number of pages: 31 Posted: 07 Oct 2008
Paul Glasserman and Kyoung-Kuk Kim
Columbia Business School and Korea Advanced Institute of Science and Technology
Downloads 701 (35,360)
Citation 4

Abstract:

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stochastic volatility, Bessel bridge, Monte Carlo simulation

6.

Does Unusual News Forecast Market Stress?

Columbia Business School Research Paper No. 15-70
Number of pages: 75 Posted: 19 Jul 2015 Last Revised: 20 Apr 2018
Paul Glasserman and Harry Mamaysky
Columbia Business School and Columbia University - Columbia Business School
Downloads 656 (38,621)
Citation 2

Abstract:

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asset pricing, financial news media, natural language processing, rational inattention

7.

The Term Structure of Simple Forward Rates with Jump Risk

Number of pages: 37 Posted: 07 Jun 2000
Paul Glasserman and Steven Kou
Columbia Business School and Boston University
Downloads 575 (46,059)
Citation 14

Abstract:

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8.

CoCos, Bail-In, and Tail Risk

Office of Financial Research Working Paper No. 0004
Number of pages: 57 Posted: 22 Jul 2013
Nan Chen, Paul Glasserman, Behzad Nouri and Markus Pelger
The Chinese University of Hong Kong (CUHK), Columbia Business School, Columbia University and Stanford University - Management Science & Engineering
Downloads 528 (51,322)
Citation 12

Abstract:

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contingent convertibles, bail-in, tail risks, rollover risk

9.

Robust Portfolio Control with Stochastic Factor Dynamics

Number of pages: 45 Posted: 17 Nov 2011 Last Revised: 29 Oct 2012
Paul Glasserman and Xingbo Xu
Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 411 (69,969)
Citation 4

Abstract:

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10.

Design of Risk Weights

Columbia Business School Research Paper No. 13-39
Number of pages: 32 Posted: 25 May 2013
Paul Glasserman and Wanmo Kang
Columbia Business School and Korea Advanced Institute of Science and Technology (KAIST) - Department of Mathematical Science
Downloads 392 (73,978)
Citation 5

Abstract:

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Capital requirements, risk-weighted assets

11.

Hidden Illiquidity with Multiple Central Counterparties

Number of pages: 32 Posted: 07 Nov 2014
Paul Glasserman, Ciamac C. Moallemi and Kai Yuan
Columbia Business School, Columbia Business School - Decision Risk and Operations and Columbia Business School - Decision Risk and Operations
Downloads 349 (84,664)
Citation 5

Abstract:

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Central clearing, swaps, systemic risk

12.

Investor Information Choice with Macro and Micro Information

Columbia Business School Research Paper No. 16-45
Number of pages: 73 Posted: 29 Jun 2016 Last Revised: 28 Feb 2019
Paul Glasserman and Harry Mamaysky
Columbia Business School and Columbia University - Columbia Business School
Downloads 330 (90,217)

Abstract:

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Asset Management; Investment; Information; Asset Pricing; Attention

13.

Buy Rough, Sell Smooth

Number of pages: 34 Posted: 03 Jan 2019 Last Revised: 09 Jan 2019
Paul Glasserman and Pu He
Columbia Business School and Columbia University - Columbia Business School
Downloads 320 (93,621)

Abstract:

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fractional Brownian motion, rough volatility, asset pricing, event risk, realized kernel, option pricing, implied and realized roughness

14.

Valuing the Treasury’s Capital Assistance Program

FRB of New York Staff Report No. 413
Number of pages: 43 Posted: 22 Dec 2009
Paul Glasserman and Zhenyu Wang
Columbia Business School and Indiana University, Kelley School of Business
Downloads 320 (93,286)
Citation 6

Abstract:

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financial crisis, Troubled Asset Relief Program

15.

Contagion in Financial Networks

Office of Financial Research Working Paper No. 15-21
Number of pages: 76 Posted: 29 Oct 2015
Paul Glasserman and Peyton Young
Columbia Business School and Government of the United States of America - Office of Financial Research
Downloads 296 (101,579)
Citation 23

Abstract:

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Risk Horizon and Rebalancing Horizon in Portfolio Risk Measurement

Number of pages: 36 Posted: 30 Apr 2009 Last Revised: 17 Jul 2011
Paul Glasserman
Columbia Business School
Downloads 286 (104,881)
Citation 2

Abstract:

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risk management, portfolio risk, liquidity

Risk Horizon and Rebalancing Horizon in Portfolio Risk Measurement

Mathematical Finance, Vol. 22, Issue 2, pp. 215-249, 2012
Number of pages: 35 Posted: 11 Feb 2012
Paul Glasserman
Columbia Business School
Downloads 2 (665,816)
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risk management, portfolio rebalancing, liquidity

Does OTC Derivatives Reform Incentivize Central Clearing?

OFR WP 16-07, Columbia Business School Research Paper No. 16-59
Number of pages: 48 Posted: 25 Aug 2016
Samim Ghamami and Paul Glasserman
and Columbia Business School
Downloads 159 (185,194)
Citation 2

Abstract:

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Central Clearing, OTC Derivatives, Margin, Collateral, Capital

Does OTC Derivatives Reform Incentivize Central Clearing?

Columbia Business School Research Paper No. 16-53
Number of pages: 47 Posted: 11 Aug 2016
Samim Ghamami and Paul Glasserman
and Columbia Business School
Downloads 127 (222,687)
Citation 3

Abstract:

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Central Clearing, OTC Derivatives, Margin, Collateral, Capital

18.

Contingent Capital, Tail Risk, and Debt-Induced Collapse

Columbia Business School Research Paper No. 13-90
Number of pages: 49 Posted: 29 Nov 2013 Last Revised: 18 Jun 2015
Nan Chen, Paul Glasserman, Behzad Nouri and Markus Pelger
The Chinese University of Hong Kong (CUHK), Columbia Business School, Columbia University and Stanford University - Management Science & Engineering
Downloads 271 (111,608)
Citation 1

Abstract:

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Contingent convertible debt, bail-in debt, capital structure, too big to fail

19.
Downloads 244 (124,426)
Citation 4

Bounding Wrong-Way Risk in CVA Calculation

Columbia Business School Research Paper No. 15-59
Number of pages: 44 Posted: 19 May 2015
Paul Glasserman and Linan Yang
Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 243 (124,406)
Citation 2

Abstract:

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credit valuation adjustment, counterparty credit risk, robustness

Bounding Wrong‐Way Risk in CVA Calculation

Mathematical Finance, Vol. 28, Issue 1, pp. 268-305, 2018
Number of pages: 38 Posted: 17 Jan 2018
Paul Glasserman and Linan Yang
Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 1 (680,308)
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credit valuation adjustment, counterparty credit risk, robustness, iterative proportional fitting process (IPFP), I‐Projection

20.

Estimating a Covariance Matrix for Market Risk Management and the Case of Credit Default Swaps

Columbia Business School Research Paper No. 16-39
Number of pages: 29 Posted: 21 May 2016 Last Revised: 13 Mar 2018
Richard Neuberg and Paul Glasserman
Columbia University - Department of Statistics and Columbia Business School
Downloads 211 (143,406)
Citation 1

Abstract:

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Portfolio risk, correlation matrices, matrix loss functions, margin requirements

21.

Stress Scenario Selection by Empirical Likelihood

Number of pages: 38 Posted: 06 Jul 2012 Last Revised: 31 Jul 2015
Paul Glasserman, Chulmin Kang and Wanmo Kang
Columbia Business School, Korea Advanced Institute of Science and Technology (KAIST) and Korea Advanced Institute of Science and Technology (KAIST)
Downloads 208 (145,339)
Citation 6

Abstract:

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22.

Stress Tests to Promote Financial Stability: Assessing Progress and Looking to the Future

Journal of Risk Management in Financial Institutions, 7(1), 16-25 (2014 Forthcoming). , Office of Financial Research Working Paper #0010
Number of pages: 14 Posted: 19 May 2014
Board of Regents - University of California Office of the CIO, Government of the United States of America - Office of Financial Research, Yale University - Yale Program on Financial Stability, R. H. Smith School of Business, U. of Maryland and Columbia Business School
Downloads 190 (158,123)

Abstract:

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stress testing, banking supervision, risk management

23.

Are the Fed's Stress Test Results Predictable?

Columbia Business School Research Paper No. 15-23
Number of pages: 20 Posted: 18 Feb 2015
Paul Glasserman and Gowtham Tangirala
Columbia Business School and Columbia Business School
Downloads 178 (167,721)
Citation 2

Abstract:

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Bank capital, regulation, stress testing

24.

The Market-Implied Probability of Government Support for Distressed European Banks

OFR WP 16-10, Columbia Business School Research Paper No. 16-73
Number of pages: 23 Posted: 12 Oct 2016 Last Revised: 24 Nov 2018
Richard Neuberg, Paul Glasserman, Benjamin Kay and Sriram Rajan
Columbia University - Department of Statistics, Columbia Business School, Board of Governors of the Federal Reserve System and Government of the United States of America - Office of Financial Research
Downloads 177 (168,597)
Citation 2

Abstract:

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Bailout, bail-in, European Bank Resolution and Recovery Directive, credit default swaps

25.

Forging Best Practices in Risk Management

OFR 12-02
Number of pages: 73 Posted: 07 Aug 2015
University of Florida - Department of Finance, Insurance and Real Estate, Columbia Business School, New York University (NYU) - Courant Institute of Mathematical Sciences and University of Maryland
Downloads 146 (198,549)
Citation 3

Abstract:

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26.

Submodular Risk Allocation

Columbia Business School Research Paper No. 17-79
Number of pages: 39 Posted: 03 Aug 2017
Samim Ghamami and Paul Glasserman
and Columbia Business School
Downloads 139 (206,595)

Abstract:

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OTC Derivatives Market, Central Clearing, Collateral, Capital, Submodularity, Optimization

27.

Persistence and Procyclicality in Margin Requirements

OFR WP 17-01, Columbia Business School Research Paper No. 17-34
Number of pages: 41 Posted: 21 Mar 2017
Paul Glasserman and Qi Wu
Columbia Business School and City University of Hong Kong (CityUHK)
Downloads 127 (221,873)
Citation 2

Abstract:

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central counterparties, risk-sensitive margin requirements, procyclicality

28.

Bounding Wrong-Way Risk in Measuring Counterparty Risk

Office of Financial Research Working Paper No. 15-16, Columbia Business School Research Paper No. 15-76
Number of pages: 16 Posted: 22 Aug 2015
Paul Glasserman and Linan Yang
Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 109 (248,238)
Citation 2

Abstract:

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credit valuation adjustment, counterparty credit risk, wrong-way risk, iterative

29.

How Likely Is Contagion in Financial Networks?

Office of Financial Research Working Paper No. 0009, Columbia Business School Research Paper No. 15-74
Number of pages: 37 Posted: 22 Aug 2015
Paul Glasserman and H. Peyton Young
Columbia Business School and Brookings Institution
Downloads 101 (261,680)
Citation 18

Abstract:

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systemic risk, contagion, financial network

30.

Portfolio Rebalancing Error with Jumps and Mean Reversion in Asset Prices

Stochastic Systems, Vol. 1, pp. 1-37, 2011 , Columbia Business School Research Paper No. 11-21
Number of pages: 37 Posted: 20 Oct 2011
Paul Glasserman and Xingbo Xu
Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 89 (283,958)

Abstract:

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31.

Swing Pricing for Mutual Funds: Breaking the Feedback Loop between Fire Sales and Fund Redemptions

Office of Financial Research Research Paper No. 18-04, Columbia Business School Research Paper No. 18-72
Number of pages: 56 Posted: 10 Sep 2018 Last Revised: 19 Mar 2019
Agostino Capponi, Paul Glasserman and Marko Weber
Columbia University, Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 84 (294,438)
Citation 1

Abstract:

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mutual funds, first-mover advantage, swing price, fire sales, financial stability

32.

Time Variation in the News-Returns Relationship

Number of pages: 55 Posted: 17 Jul 2019
Paul Glasserman, Fulin Li and Harry Mamaysky
Columbia Business School, University of Chicago - Booth School of Business and Columbia University - Columbia Business School
Downloads 74 (319,769)
Citation 1

Abstract:

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information choice; asset pricing; price efficiency; attention

33.

Dynamic Information Regimes in Financial Markets

Number of pages: 59 Posted: 09 Feb 2019 Last Revised: 29 Jul 2019
Paul Glasserman, Harry Mamaysky and Yiwen Shen
Columbia Business School, Columbia University - Columbia Business School and Columbia Business School - Decision Risk and Operations
Downloads 57 (363,504)

Abstract:

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asset pricing, information choice

34.

Portfolio Value-at-Risk with Heavy-Tailed Risk Factors

Mathematical Finance, Vol. 12, pp. 239-269, 2002
Number of pages: 31 Posted: 16 Jan 2003
Columbia Business School, IBM Research Division and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 42 (414,208)
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35.

Large Deviations in Multifactor Portfolio Credit Risk

Mathematical Finance, Vol. 17, No. 3, pp. 345-379, July 2007
Number of pages: 35 Posted: 28 Jun 2007
Paul Glasserman, Wanmo Kang and Perwez Shahabuddin
Columbia Business School, Korea Advanced Institute of Science and Technology (KAIST) - Department of Mathematical Science and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 33 (450,679)
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36.

The Effect of 'Regular and Predictable' Issuance on Treasury Bill Financing

Economic Policy Review, Issue 23-1, pp. 43-56, 2017
Number of pages: 14 Posted: 02 Mar 2017
Paul Glasserman, Amit Sirohi and Allen Zhang
Columbia Business School, Independent and Government of the United States of America - Department of the Treasury
Downloads 25 (490,229)

Abstract:

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debt management, Treasury auctions, quadratic programming

37.

Collateralized Networks

Number of pages: 44 Posted: 20 Jun 2019
Samim Ghamami, Paul Glasserman and Peyton Young
, Columbia Business School and Government of the United States of America - Office of Financial Research
Downloads 24 (495,793)

Abstract:

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contagion, OTC markets, financial regulation, network, fire sales, collateral, automatic stays for qualified financial contracts

Moment Explosions and Stationary Distributions in Affine Diffusion Models

Mathematical Finance, Vol. 20, Issue 1, pp. 1-33, January 2010
Number of pages: 33 Posted: 18 Jan 2010
Paul Glasserman and Kyoung-Kuk Kim
Columbia Business School and Korea Advanced Institute of Science and Technology
Downloads 2 (665,816)
Citation 1
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Moment Explosions and Stationary Distributions in Affine Diffusion Models

Mathematical Finance, Forthcoming
Posted: 08 Oct 2008
Paul Glasserman and Kyoung-Kuk Kim
Columbia Business School and Korea Advanced Institute of Science and Technology

Abstract:

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moment explosion, affine diffusion, stationary distribution

39.

Process Systems Engineering as a Modeling Paradigm for Analyzing Systemic Risk in Financial Networks

Office of Financial Research Working Paper No. 15-01, https://doi.org/10.3905/joi.2015.24.2.147
Posted: 21 May 2019
Board of Regents - University of California Office of the CIO, Columbia Business School, Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Columbia University - Department of Chemical Engineering, Purdue University and Columbia University, Department of Chemical Engineering, Students
Downloads 0 (666,078)

Abstract:

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40.

Saddlepoint Approximations for Affine Jump-Diffusion Models

Journal of Economic Dynamics and Control, Forthcoming
Posted: 08 Oct 2008
Paul Glasserman and Kyoung-Kuk Kim
Columbia Business School and Korea Advanced Institute of Science and Technology

Abstract:

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Transform inversion, Characteristic function, Option prices, Numerical approximations

41.

Cap and Swaption Approximations in Libor Market Models with Jumps

Posted: 08 Dec 2001
Paul Glasserman and Nicolas Merener
Columbia Business School and Columbia University - Department of Applied Physics and Applied Mathematics

Abstract:

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42.

Equilibrium Positive Interest Rates: A Unified View

Review of Financial Studies, Vol. 14, Issue 1, Spring 2001
Posted: 09 Mar 2001
Paul Glasserman and Yan Jin
Columbia Business School and Goldman Sachs Asset Management

Abstract:

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43.

Variance Reduction Techniques for Simulating Value-at-Risk

Posted: 23 Nov 1999
Columbia Business School, IBM Research Division and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

Abstract:

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44.

Arbitrage-Free Discretization of Lognormal Forward Libor and Swap Rate Models

Finance and Stochastics, Vol. 4, Iss. 1
Posted: 17 Nov 1999
Paul Glasserman and Xiaoliang Zhao
Columbia Business School and Columbia University - Department of Statistics

Abstract:

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45.

Estimating Security Price Derivatives Using Simulation

Posted: 20 Dec 1998
Mark Broadie and Paul Glasserman
Columbia University - Columbia Business School - Decision Risk and Operations and Columbia Business School

Abstract:

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46.

Connecting Discrete and Continuous Path-Dependent Options

Finance and Stochastics, Vol. 3, Iss. 1, 1999
Posted: 25 Nov 1998
Mark Broadie, Paul Glasserman and Steven Kou
Columbia University - Columbia Business School - Decision Risk and Operations, Columbia Business School and Boston University

Abstract:

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47.

Enhanced Monte Carlo Estimates for American Option Prices

J. OF DERIVATIVES, Fall 1997
Posted: 06 Nov 1997
Mark Broadie, Paul Glasserman and Gautam Jain
Columbia University - Columbia Business School - Decision Risk and Operations, Columbia Business School and L.O.G. International Corp.

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