Paul Glasserman

Columbia University - Columbia Business School

Jack R. Anderson Professor of Business

3022 Broadway

403 Uris Hall

New York, NY 10027

United States

SCHOLARLY PAPERS

52

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17,454

SSRN CITATIONS
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Top 2,723

in Total Papers Citations

308

CROSSREF CITATIONS

175

Scholarly Papers (52)

1.

Buy Rough, Sell Smooth

Number of pages: 34 Posted: 03 Jan 2019 Last Revised: 09 Jan 2019
Paul Glasserman and Pu He
Columbia University - Columbia Business School and Columbia University - Columbia Business School
Downloads 1,944 (11,874)
Citation 2

Abstract:

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

2.
Downloads 1,686 ( 14,884)
Citation 8

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 University - Columbia Business School and City University of Hong Kong, School of Data Science
Downloads 1,535 (16,875)

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 University - Columbia Business School and City University of Hong Kong, School of Data Science
Downloads 151 (269,653)
Citation 3

Abstract:

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3.

Contingent Capital with a Capital-Ratio Trigger

Number of pages: 34 Posted: 01 Sep 2010
Paul Glasserman and Behzad Nouri
Columbia University - Columbia Business School and Columbia University
Downloads 1,241 (23,606)
Citation 33

Abstract:

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4.

Robust Risk Measurement and Model Risk

Number of pages: 49 Posted: 28 Oct 2012
Paul Glasserman and Xingbo Xu
Columbia University - Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 914 (36,596)
Citation 11

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 University - Columbia Business School
Downloads 841 (40,508)
Citation 11

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 University - Columbia Business School

Abstract:

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

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 University - Columbia Business School and Columbia University - Columbia Business School
Downloads 812 (43,070)
Citation 9

Abstract:

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

7.

Gamma Expansion of the Heston Stochastic Volatility Model

Number of pages: 31 Posted: 07 Oct 2008
Paul Glasserman and Kyoung-Kuk Kim
Columbia University - Columbia Business School and Korea Advanced Institute of Science and Technology
Downloads 752 (47,682)
Citation 16

Abstract:

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stochastic volatility, Bessel bridge, Monte Carlo simulation

8.

Investor Information Choice with Macro and Micro Information

Columbia Business School Research Paper No. 16-45
Number of pages: 59 Posted: 29 Jun 2016 Last Revised: 06 Apr 2022
Paul Glasserman and Harry Mamaysky
Columbia University - Columbia Business School and Columbia University - Columbia Business School
Downloads 614 (62,119)
Citation 1

Abstract:

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Asset Management; Investment; Information; Asset Pricing; Attention; Mutual Funds

9.

The Term Structure of Simple Forward Rates with Jump Risk

Number of pages: 37 Posted: 07 Jun 2000
Paul Glasserman and Steven Kou
Columbia University - Columbia Business School and Boston University
Downloads 591 (65,170)
Citation 18

Abstract:

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10.

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 University - Columbia Business School, Columbia University and Stanford University - Department of Management Science & Engineering
Downloads 589 (65,432)
Citation 19

Abstract:

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

11.

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 University - Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 425 (97,297)
Citation 8

Abstract:

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12.

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 University - Columbia Business School and Korea Advanced Institute of Science and Technology (KAIST) - Department of Mathematical Science
Downloads 408 (101,936)
Citation 6

Abstract:

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Capital requirements, risk-weighted assets

13.

Time Variation in the News-Returns Relationship

Columbia Business School Research Paper Forthcoming
Number of pages: 57 Posted: 17 Jul 2019 Last Revised: 17 Jun 2022
Paul Glasserman, Fulin Li and Harry Mamaysky
Columbia University - Columbia Business School, University of Chicago - Booth School of Business and Columbia University - Columbia Business School
Downloads 397 (105,217)

Abstract:

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information choice; asset pricing; price efficiency; attention

14.

W-Shaped Implied Volatility Curves and the Gaussian Mixture Model

Number of pages: 35 Posted: 02 Nov 2021 Last Revised: 28 Jun 2022
Paul Glasserman and Dan Pirjol
Columbia University - Columbia Business School and Stevens Institute of Technology
Downloads 387 (108,379)

Abstract:

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Convexity, Risk-neutral density, Option pricing

15.

Hidden Illiquidity with Multiple Central Counterparties

Number of pages: 32 Posted: 07 Nov 2014
Paul Glasserman, Ciamac C. Moallemi and Kai Yuan
Columbia University - Columbia Business School, Columbia University - Columbia Business School, Decision Risk and Operations and Columbia University - Columbia Business School, Decision Risk and Operations
Downloads 369 (114,345)
Citation 14

Abstract:

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Central clearing, swaps, systemic risk

16.

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 University - Columbia Business School and Government of the United States of America - Office of Financial Research
Downloads 328 (130,051)
Citation 75

Abstract:

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17.

Dynamic Information Regimes in Financial Markets

Number of pages: 45 Posted: 09 Feb 2019 Last Revised: 05 May 2022
Paul Glasserman, Harry Mamaysky and Yiwen Shen
Columbia University - Columbia Business School, Columbia University - Columbia Business School and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 327 (131,729)
Citation 1

Abstract:

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asset pricing, information choice

18.

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 University - Columbia Business School and Indiana University, Kelley School of Business
Downloads 326 (130,895)
Citation 8

Abstract:

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financial crisis, Troubled Asset Relief Program

19.

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 University - Columbia Business School, Columbia University and Stanford University - Department of Management Science & Engineering
Downloads 318 (134,246)
Citation 8

Abstract:

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

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 University - Columbia Business School
Downloads 173 (240,505)
Citation 13

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 University - Columbia Business School
Downloads 138 (289,844)
Citation 1

Abstract:

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Central Clearing, OTC Derivatives, Margin, Collateral, Capital

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 University - Columbia Business School
Downloads 298 (143,016)
Citation 3

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 University - Columbia Business School
Downloads 4 (888,252)

Abstract:

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risk management, portfolio rebalancing, liquidity

22.
Downloads 290 (147,932)
Citation 5

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 University - Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 288 (148,265)
Citation 3

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 University - Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 2 (916,279)
Citation 1

Abstract:

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credit valuation adjustment, counterparty credit risk, robustness, iterative proportional fitting process (IPFP), I‐Projection

23.

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 University - Columbia Business School
Downloads 276 (155,441)
Citation 1

Abstract:

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

24.

Choosing News Topics to Explain Stock Market Returns

ACM International Conference on AI in Finance 2020
Number of pages: 8 Posted: 19 Nov 2020 Last Revised: 14 Jun 2021
Columbia University - Columbia Business School, Columbia University, Georgia Institute of Technology and Columbia University - Columbia Business School
Downloads 264 (162,651)

Abstract:

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text analysis, finance, supervised topic models

25.

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: 23 Dec 2019
Columbia University - Department of Statistics, Columbia University - Columbia Business School, Board of Governors of the Federal Reserve System and Government of the United States of America - Office of Financial Research
Downloads 256 (167,730)
Citation 7

Abstract:

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

26.
Downloads 251 (170,982)
Citation 2

Collateralized Networks

Number of pages: 48 Posted: 01 May 2020
Samim Ghamami, Paul Glasserman and Peyton Young
, Columbia University - Columbia Business School and Government of the United States of America - Office of Financial Research
Downloads 164 (251,711)
Citation 2

Abstract:

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Contagion, OTC Markets, Financial Regulation, Network, Fire Sales, Collateral, Automatic Stays for Qualified Financial Contracts

Collateralized Networks

Number of pages: 44 Posted: 20 Jun 2019
Samim Ghamami, Paul Glasserman and Peyton Young
, Columbia University - Columbia Business School and Government of the United States of America - Office of Financial Research
Downloads 87 (399,534)

Abstract:

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

27.

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 University - Columbia Business School, Korea Advanced Institute of Science and Technology (KAIST) and Korea Advanced Institute of Science and Technology (KAIST)
Downloads 242 (177,066)
Citation 14

Abstract:

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28.

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 University - Columbia Business School and Columbia Business School
Downloads 221 (193,065)
Citation 3

Abstract:

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Bank capital, regulation, stress testing

29.

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
Fabric RQ, 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 University - Columbia Business School
Downloads 217 (196,458)
Citation 3

Abstract:

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stress testing, banking supervision, risk management

30.

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, Management Science, Forthcoming
Number of pages: 47 Posted: 10 Sep 2018 Last Revised: 20 Nov 2019
Agostino Capponi, Paul Glasserman and Marko Weber
Columbia University, Columbia University - Columbia Business School and National University of Singapore (NUS) - Department of Mathematics
Downloads 213 (199,822)
Citation 4

Abstract:

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

31.

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 University - Columbia Business School
Downloads 190 (221,674)
Citation 2

Abstract:

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

32.

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 University - Columbia Business School and City University of Hong Kong, School of Data Science
Downloads 190 (221,674)
Citation 12

Abstract:

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central counterparties, risk-sensitive margin requirements, procyclicality

33.

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 University - Columbia Business School and Brookings Institution
Downloads 164 (251,287)
Citation 92

Abstract:

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systemic risk, contagion, financial network

34.

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 University - Columbia Business School, New York University (NYU) - Courant Institute of Mathematical Sciences and University of Maryland
Downloads 164 (251,287)
Citation 4

Abstract:

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35.

Tail Risk Monotonicity Under Temporal Aggregation in GARCH(1,1) Models

Number of pages: 44 Posted: 03 Jan 2020 Last Revised: 16 Jun 2021
Paul Glasserman, Dan Pirjol and Qi Wu
Columbia University - Columbia Business School, Stevens Institute of Technology and City University of Hong Kong, School of Data Science
Downloads 135 (293,686)

Abstract:

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GARCH, Tail Risk

36.

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 University - Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 121 (318,671)
Citation 3

Abstract:

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

37.

Linear Classifiers Under Infinite Imbalance

Columbia Business School Research Paper
Number of pages: 44 Posted: 11 Jun 2021
Paul Glasserman and Mike Li
Columbia University - Columbia Business School and Columbia University - Columbia Business School
Downloads 103 (355,911)

Abstract:

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classification, statistics, data imbalance, credit risk

38.

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 University - Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 92 (382,482)

Abstract:

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39.

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, Amit Sirohi and Allen Zhang
Columbia University - Columbia Business School, IndependentBank of America - New York and Government of the United States of America - Department of the Treasury
Downloads 61 (480,020)
Citation 2

Abstract:

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debt management, Treasury auctions, quadratic programming

40.

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

Number of pages: 31 Posted: 16 Jan 2003
Columbia University - Columbia Business School, IBM Research Division and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 49 (529,591)
Citation 4

Abstract:

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41.

Should Bank Stress Tests Be Fair?

Number of pages: 58 Posted: 20 Jul 2022
Paul Glasserman and Mike Li
Columbia University - Columbia Business School and Columbia University - Columbia Business School
Downloads 36 (594,760)

Abstract:

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Finance, Bank Stress Tests, Econometrics, Fairness, Risk Management

42.

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 University - 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 34 (606,157)

Abstract:

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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 University - Columbia Business School and Korea Advanced Institute of Science and Technology
Downloads 3 (901,455)
Citation 1

Abstract:

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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 University - Columbia Business School and Korea Advanced Institute of Science and Technology

Abstract:

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moment explosion, affine diffusion, stationary distribution

44.

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
Fabric RQ, Columbia University - 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 (909,419)

Abstract:

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45.

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 University - Columbia Business School and Korea Advanced Institute of Science and Technology

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Transform inversion, Characteristic function, Option prices, Numerical approximations

46.

Cap and Swaption Approximations in Libor Market Models with Jumps

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

Abstract:

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47.

Equilibrium Positive Interest Rates: A Unified View

Posted: 09 Mar 2001
Paul Glasserman and Yan Jin
Columbia University - Columbia Business School and Goldman Sachs Asset Management

Abstract:

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48.

Variance Reduction Techniques for Simulating Value-at-Risk

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

Abstract:

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49.

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

Posted: 17 Nov 1999
Paul Glasserman and Xiaoliang Zhao
Columbia University - Columbia Business School and Columbia University - Department of Statistics

Abstract:

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50.

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 University - Columbia Business School

Abstract:

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51.

Connecting Discrete and Continuous Path-Dependent Options

Posted: 25 Nov 1998
Mark Broadie, Paul Glasserman and Steven Kou
Columbia University - Columbia Business School - Decision Risk and Operations, Columbia University - Columbia Business School and Boston University

Abstract:

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52.

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 University - Columbia Business School and L.O.G. International Corp.

Abstract:

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