Ren-Raw Chen

Fordham University - Gabelli School of Business

113 West 60th Street

Bronx, NY 10458

United States

SCHOLARLY PAPERS

19

DOWNLOADS
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Top 8,591

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6,725

SSRN CITATIONS
Rank 17,201

SSRN RANKINGS

Top 17,201

in Total Papers Citations

19

CROSSREF CITATIONS

45

Scholarly Papers (19)

1.

Dynamic Interactions between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads

Number of pages: 50 Posted: 16 Aug 2005
Ren-Raw Chen, Xiaolin Cheng and Liuren Wu
Fordham University - Gabelli School of Business, Rutgers Business School - New Brunswick and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,789 (11,451)
Citation 23

Abstract:

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Credit default swap, credit risk, credit premium, term structure, interest rate risk, liquidity risk, liquidity premium, maximum likelihood estimation.

2.

Liquidity, Leverage, and Lehman: A Structural Analysis of Financial Institutions in Crisis

Journal of Banking and Finance, August 2014, Volume 45: pp. 117-139, Fordham University Schools of Business Research Paper No. 2279686
Number of pages: 77 Posted: 16 Jun 2013 Last Revised: 07 Mar 2015
Fordham University - Gabelli School of Business, Fordham University - Gabelli School of Business, Claremont Colleges - Peter F. Drucker Graduate School of Management and Rutgers Business School: Newark and New Brunswick
Downloads 1,366 (17,504)
Citation 4

Abstract:

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Structural credit risk models, Financial crisis, Risk management, Lehman Brothers, Default probability, Liquidity

3.

Inflation, Fisher Equation, and the Term Structure of Inflation Risk Premia: Theory and Evidence from Tips

Number of pages: 50 Posted: 29 Sep 2005
Ren-Raw Chen, Bo Liu and Xiaolin Cheng
Fordham University - Gabelli School of Business, Rutgers Business School - New Brunswick and Rutgers Business School - New Brunswick
Downloads 1,127 (23,311)
Citation 22

Abstract:

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CIR term structure model of interest rates, TIPS, Unscented Kalman Filter, Inflation Risk Premium

4.

An Empirical-Distribution-Based Option Pricing Model: A Solution to the Volatility Smile Puzzle

Rutgers University Working Paper
Number of pages: 35 Posted: 23 Feb 2002
Ren-Raw Chen and Oded Palmon
Fordham University - Gabelli School of Business and Rutgers Business School
Downloads 721 (43,615)

Abstract:

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options, implied volatility, volatility smile, nonparametric model

5.

Credit Spread Bounds and Their Implications for Credit Risk Modeling

Number of pages: 44 Posted: 22 Jul 2001
Jing-Zhi Huang and Ren-Raw Chen
Pennsylvania State University - University Park - Department of Finance and Fordham University - Gabelli School of Business
Downloads 721 (43,615)
Citation 4

Abstract:

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Credit risk modeling, Credit spread bounds

6.

Stochastic Volatility and Jumps in Interest Rates: An International Analysis

Number of pages: 43 Posted: 25 Mar 2005
Ren-Raw Chen and Louis Scott
Fordham University - Gabelli School of Business and Morgan Stanley - United Kingdom Office
Downloads 327 (114,270)
Citation 12

Abstract:

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Stochastic Volatility, Jumps, Interest Rates, International

7.

Optimal Strike Prices of Stock Options for Effort Averse Executives

EFA 2004 Maastricht Meetings Paper No. 1425
Number of pages: 33 Posted: 01 Jul 2004
Rutgers Business School, Hebrew University, Fordham University - Gabelli School of Business and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 197 (189,349)
Citation 18

Abstract:

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8.

Solving the Multi-Period Agency Problem and Design of Corporate Securities

Number of pages: 35 Posted: 26 Feb 2007
Ren-Raw Chen, Hsuan-Chu Lin and Michael S. Long
Fordham University - Gabelli School of Business, National Cheng Kung University - Accounting and Rutgers University at Newark
Downloads 159 (228,038)

Abstract:

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multi-period agency problem, compound options, bankruptcy, sinking funds

9.

The Firm Under Uncertainty: Theoretical Development and Empirical Tests

Number of pages: 46 Posted: 25 Feb 2007
Ren-Raw Chen, Michael S. Long and Xiaoli Wang
Fordham University - Gabelli School of Business, Rutgers University at Newark and Bear, Stearns & Co., Inc.
Downloads 113 (296,572)

Abstract:

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10.

An Artificial Intelligence Approach to the Valuation of American-style Derivatives: A Use of Particle Swarm Optimization

Number of pages: 37 Posted: 30 Sep 2020
Ren-Raw Chen
Fordham University - Gabelli School of Business
Downloads 93 (337,717)

Abstract:

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American Option, Monte Carlo, PSO

11.

Liquidity Discount Model and Spillover Effects

Number of pages: 52 Posted: 05 May 2017
Douglas W. Blackburn and Ren-Raw Chen
JP Morgan Chase and Fordham University - Gabelli School of Business
Downloads 86 (354,530)
Citation 1

Abstract:

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liquidity discounts, liquidity index, asset liquidity, systemic risk

12.
Downloads 26 (490,143)
Citation 3

Spot Asset Carry Cost Rates and Futures Hedge Ratios

Number of pages: 24 Posted: 17 May 2019
Dean Leistikow, Ren-Raw Chen and Yuewu Xu
Fordham University - Finance Area, Fordham University - Gabelli School of Business and Fordham University - Gabelli School of Business
Downloads 26 (605,716)
Citation 3

Abstract:

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carry cost rate, hedge ratio

13.

Empirical Performance of the Constant Elasticity Variance Option Pricing Model

Review of Pacific Basin Financial Markets and Policies, Forthcoming
Posted: 22 Apr 2010 Last Revised: 04 May 2010
Ren-Raw Chen, Cheng-Few Lee and Han-Hsing Lee
Fordham University - Gabelli School of Business, Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics and National Chiao-Tung University

Abstract:

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Constant-Elasticity-of-Variance (CEV) Process, Option Pricing Model, Empirical Performance, Numerical Experiment

14.

Market Risk of Mortgage-Backed Securities with Consistent Measures

Journal of Real Estate Finance and Economics, Vol. 36, No. 1, 2008
Posted: 31 Aug 2007
Hsien-Hsing Liao, Ren-Raw Chen and Tyler T. Yang
National Taiwan University, Fordham University - Gabelli School of Business and Federal Home Loan Mortgage Corporation (FHLMC) - Portfolio Management

Abstract:

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15.

Multi-Factor Cox-Ingersoll-Ross Models of the Term Structure: Estimates and Tests from a Kalman Filter Model

Journal of Real Estate Finance and Economics, Vol. 27, No. 2
Posted: 20 Mar 2003
Ren-Raw Chen and Louis Scott
Fordham University - Gabelli School of Business and Morgan Stanley - United Kingdom Office

Abstract:

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interest rates, term structure, Kalman filter

16.

Interest Rate Options in Multifactor Cox-Ingersoll-Ross Models of the Term Structure

THE J. OF DERIVATIVES, Vol. 3 No. 2, Winter 1995
Posted: 27 Oct 1999
Ren-Raw Chen and Louis Scott
Fordham University - Gabelli School of Business and Morgan Stanley - United Kingdom Office

Abstract:

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17.

Interest Rate Options in Multi-Factor Cox-Ingersoll-Ross Models of the Term Structure

Posted: 25 Aug 1998
Ren-Raw Chen and Louis Scott
Fordham University - Gabelli School of Business and Morgan Stanley - United Kingdom Office

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18.

An Integrated Model for the Term and Volatility Structures of Interest Rates

Posted: 25 May 1998
Ren-Raw Chen and Tyler T. Yang
Fordham University - Gabelli School of Business and Federal Home Loan Mortgage Corporation (FHLMC) - Portfolio Management

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19.

A Universal Lattice

Posted: 03 Oct 1996
Ren-Raw Chen and Tyler T. Yang
Fordham University - Gabelli School of Business and Federal Home Loan Mortgage Corporation (FHLMC) - Portfolio Management

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