New York, NY
United States
Columbia Business School
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
fractional Brownian motion, rough volatility, asset pricing, event risk, realized kernel, option pricing, implied and realized roughness
Forward Implied Volatility, Implied vol Surface, Time-dependent SABR model, FX options
Portfolio credit risk, value-at-risk, expected shortfall, Monte Carlo methods
information choice; asset pricing; price efficiency; attention
Convexity, Risk-neutral density, Option pricing
asset pricing, financial news media, natural language processing, rational inattention
stochastic volatility, Bessel bridge, Monte Carlo simulation
Asset Management; Investment; Information; Asset Pricing; Attention; Mutual Funds
asset pricing, information choice
contingent convertibles, bail-in, tail risks, rollover risk
entropy; natural language processing; news articles; empirical asset pricing
mutual funds, liquidity mismatch, fire-sale externalities, first-mover incentive, systemic risk
Capital requirements, risk-weighted assets
text analysis, finance, supervised topic models
Bailout, bail-in, European Bank Resolution and Recovery Directive, credit default swaps
financial crisis, Troubled Asset Relief Program
Central clearing, swaps, systemic risk
Portfolio risk, correlation matrices, matrix loss functions, margin requirements
Central Clearing, OTC Derivatives, Margin, Collateral, Capital
credit valuation adjustment, counterparty credit risk, robustness
Contingent convertible debt, bail-in debt, capital structure, too big to fail
Contagion, OTC Markets, Financial Regulation, Network, Fire Sales, Collateral, Automatic Stays for Qualified Financial Contracts
contagion, OTC markets, financial regulation, network, fire sales, collateral, automatic stays for qualified financial contracts
risk management, portfolio risk, liquidity
stress testing, banking supervision, risk management
mutual funds, first-mover advantage, swing price, fire sales, financial stability
mutual funds, liquidity transformation, fire sales, liquidity management
Option pricing, convexity, risk-neutral pricing
Bank capital, regulation, stress testing
OTC Derivatives Market, Central Clearing, Collateral, Capital, Submodularity, Optimization
systemic risk, contagion, financial network
central counterparties, risk-sensitive margin requirements, procyclicality
classification, statistics, data imbalance, credit risk
credit valuation adjustment, counterparty credit risk, wrong-way risk, iterative
Finance, Bank Stress Tests, Econometrics, Fairness, Risk Management
GARCH, Tail Risk
debt management, Treasury auctions, quadratic programming
Textual analysis, sentiment, artificial intelligence
Transform inversion, Characteristic function, Option prices, Numerical approximations
