Lisa R. Goldberg

University of California, Berkeley

Director of Research, Center for Risk Management and Adjunct Professor of Statistics

Department of Statistics

367 Evans Hall

Berkeley, CA 94720-3860

United States

Aperio Group

Director of Research

3 Harbor Drive

Suite 315

Sausalito, CA 94965

United States

  • University of California, Berkeley

  • Aperio Group

SCHOLARLY PAPERS

49

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146

Scholarly Papers (49)

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1.

Extreme Risk Management

MSCI Barra Research Paper No. 2009-4
Number of pages: 16 Posted: 12 Feb 2009 Last Revised: 19 Feb 2009
Lisa R. Goldberg, Michael Y. Hayes, Jose Menchero and Indrajit Mitra
University of California, Berkeley, MSCI Inc., MSCI Barra and University of Michigan, Stephen M. Ross School of Business
Downloads 1,510 (11,385)
Citation 5

Abstract:

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risk management, quantitative extreme

2.

The Market Price of Credit Risk: The Impact of Asymmetric Information

Number of pages: 24 Posted: 08 Oct 2003 Last Revised: 15 Jun 2016
Kay Giesecke and Lisa R. Goldberg
Stanford University - Management Science & Engineering and University of California, Berkeley
Downloads 1,229 (15,758)
Citation 7

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risk premium, default event risk, jump risk, incomplete information, asymmetric information, measure change

3.

Market Implied Ratings

Risk Magazine, July 2003
Number of pages: 15 Posted: 13 Aug 2003
Ludovic L. Breger, Lisa R. Goldberg and Oren Cheyette
Morgan Stanley - Fixed Income Research, University of California, Berkeley and Loomis Sayles
Downloads 1,157 (17,277)
Citation 4

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Credit rating, risk, market implied ratings

4.

Drawdown: From Practice to Theory and Back Again

Mathematics and Financial Economics, Forthcoming
Number of pages: 28 Posted: 30 Apr 2014 Last Revised: 22 Sep 2016
Lisa R. Goldberg and Ola Mahmoud
University of California, Berkeley and University of California, Berkeley
Downloads 983 (21,997)
Citation 1

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drawdown; Conditional Expected Drawdown; deviation measure; risk attribution; convex optimization; serial correlation

5.

Affine Point Processes and Portfolio Credit Risk

Number of pages: 29 Posted: 14 Jun 2006 Last Revised: 15 Jun 2010
Eymen Errais, Kay Giesecke and Lisa R. Goldberg
Stanford University, Stanford University - Management Science & Engineering and University of California, Berkeley
Downloads 945 (23,321)
Citation 10

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Self-exciting point process, affine jump diffusion, Hawkes process, transform, portfolio credit derivative, correlated default, index and tranche swap

6.

Modeling Value at Risk with Factors

MSCI Barra Research Paper No. 2009-39
Number of pages: 36 Posted: 22 Nov 2009
Angelo Barbieri, Kelly H. Chang, Vladislav Dubikovsky, John Fox, Alexei Gladkevich, Carl Gold and Lisa R. Goldberg
MSCI Inc., affiliation not provided to SSRN, MSCI Barra, MSCI Inc., MSCI Inc., MSCI Barra and University of California, Berkeley
Downloads 892 (25,406)
Citation 2

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modeling value, risk factors, investment, management, forecasts, portfolio, construction, shorter, longer, horizons, value-at-risk, VaR

7.

Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons

Downloads 885 ( 25,680)

Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons

Number of pages: 34 Posted: 22 Oct 2007
Lisa R. Goldberg, Guy Miller and Jared Weinstein
University of California, Berkeley, BARRA, Inc. - Equity Research and University of California, Los Angeles (UCLA)
Downloads 885 (25,256)
Citation 11

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value at risk, expected shortfall, loss surface, downside risk, tail risk, peaks over thresholds, semi-parametric distribution, Fourier transform, temporal dependence

Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons

Journal of Investment Management, Vol. 6, No. 2, Second quarter 2008
Posted: 15 May 2008
Lisa R. Goldberg, Guy Miller and Jared Weinstein
University of California, Berkeley, Merrill Lynch & Co. and University of California, Los Angeles (UCLA)

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Extreme risk, loss surface, expected shortfall, peaks over thresholds, temporal risk aggregation

8.

Forecasting Extreme Financial Risk

Number of pages: 22 Posted: 01 Dec 2004
Lisa R. Goldberg and Kay Giesecke
University of California, Berkeley and Stanford University - Management Science & Engineering
Downloads 812 (28,939)

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Extreme events, normal distribution, extreme value distribution, power law, Pareto distribution, peaks over thresholds, tail index, shortfall risk, Hurst exponent, clustering, contagion, point process

9.

Will My Risk Parity Strategy Outperform?

Number of pages: 30 Posted: 08 Jul 2012 Last Revised: 17 Aug 2012
Robert M. Anderson, Stephen Bianchi and Lisa R. Goldberg
University of California, Berkeley - Department of Economics, University of California, Berkeley and University of California, Berkeley
Downloads 756 (31,954)
Citation 2

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Risk parity, value weighting, fixed mix, leverage, turnover, trading costs, borrowing costs, market frictions, statistical significance, outperformance, Sharpe ratio

10.

A Top-Down Approach to Multi-Name Credit

Operations Research, Forthcoming
Number of pages: 34 Posted: 15 Mar 2005 Last Revised: 15 Jun 2016
Kay Giesecke, Lisa R. Goldberg and Xiaowei Ding
Stanford University - Management Science & Engineering, University of California, Berkeley and Stanford University
Downloads 670 (37,635)
Citation 26

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correlated defaults, point process, random thinning, single-name hedging, top-down model

11.

Forecasting Default in the Face of Uncertainty

Journal of Derivatives, Vol. 12, No. 1, pp. 14-25, 2004
Number of pages: 15 Posted: 17 Mar 2003
Lisa R. Goldberg and Kay Giesecke
University of California, Berkeley and Stanford University - Management Science & Engineering
Downloads 660 (38,371)
Citation 6

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credit risk, incomplete information, pricing trend, short spreads, default barrier

12.

What Would Yale Do If It Were Taxable?

Financial Analysts Journal, Vol. 71, No. 4, 2015
Number of pages: 26 Posted: 09 Jun 2014 Last Revised: 11 Aug 2015
Patrick Geddes, Lisa R. Goldberg and Stephen Bianchi
Aperio Group, University of California, Berkeley and University of California, Berkeley
Downloads 628 (41,020)
Citation 1

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asset allocation, taxes, ultra-high net worth investors, endowments, hedge funds, tax-advantaged indexing, reverse optimization, equity-hedge fund correlation

13.

Restoring Value to Minimum Variance

Forthcoming in Journal of Investment Management
Number of pages: 12 Posted: 05 Sep 2013 Last Revised: 26 Nov 2013
Lisa R. Goldberg, Ran Leshem and Patrick Geddes
University of California, Berkeley, Aperio Group and Aperio Group
Downloads 615 (42,188)
Citation 6

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minimum variance, low risk, value factor

14.

Extreme Risk Analysis, July 2009

MSCI Barra Research Paper No. 2009-16
Number of pages: 20 Posted: 14 May 2009 Last Revised: 08 Jul 2009
Lisa R. Goldberg, Michael Y. Hayes, Jose Menchero and Indrajit Mitra
University of California, Berkeley, MSCI Inc., MSCI Barra and University of Michigan, Stephen M. Ross School of Business
Downloads 608 (42,818)

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extreme, risk, analysis, volatility, shortfall, different, risk, measures, standard, analytics

15.

Do the Golden State Warriors Have Hot Hands?

Number of pages: 11 Posted: 13 Jun 2017 Last Revised: 05 Nov 2017
Alon Daks, Nishant Desai and Lisa R. Goldberg
University of California, Berkeley, University of California, Berkeley and University of California, Berkeley
Downloads 585 (45,119)

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hot hand, streak shooting, conditional probability, small sample correction, permutation test, nonparametric test

16.

Determinants of Levered Portfolio Performance

Financial Analysts Journal, Forthcoming
Number of pages: 36 Posted: 12 Jul 2013 Last Revised: 21 Apr 2014
Robert M. Anderson, Stephen Bianchi and Lisa R. Goldberg
University of California, Berkeley - Department of Economics, University of California, Berkeley and University of California, Berkeley
Downloads 561 (47,612)
Citation 1

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Dynamic leverage, source portfolio, transaction costs, borrowing excess return, pension funds, hedge funds, trading costs, volatility target, leverage rule

17.

On the Aggregation of Local Risk Models for Global Risk Management

Downloads 504 ( 54,455)

On the Aggregation of Local Risk Models for Global Risk Management

Journal of Risk, Vol. 8, No. 1, 2005
Number of pages: 20 Posted: 06 Jun 2005
Lisa R. Goldberg, Alec N. Kercheval, C. Greg Anderson, Guy Miller and Kathy Sorge
University of California, Berkeley, Florida State University - Department of Mathematics, MSCI Barra, BARRA, Inc. - Equity Research and Morgan Stanley - Fixed Income Research
Downloads 504 (53,820)
Citation 1

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portfolio risk, total risk, optimization, positive definite

On the Aggregation of Local Risk Models for Global Risk Management

Journal of Risk, Vol. 8, No. 1, Fall 2005
Posted: 10 Nov 2005
Lisa R. Goldberg, C. Greg Anderson, Alec N. Kercheval, Guy Miller and Kathy Sorge
University of California, Berkeley, MSCI Barra, Florida State University - Department of Mathematics, BARRA, Inc. - Equity Research and Morgan Stanley - Fixed Income Research

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single-market covariance matrix forecasts, global forecast, global covariance matrix forecast, cross-market correlations, positive semi-definite, numerical optimization problem

18.

Investing in Credit: How Good is Your Information?

Risk, Vol. 17, No. 1, pp. S16-S18, January 2004
Number of pages: 3 Posted: 28 Feb 2004
Lisa R. Goldberg
University of California, Berkeley
Downloads 476 (58,582)
Citation 1

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Credit risk, incomplete information, default, recovery, risk premium, power curve

19.

Risk Without Return

Journal of Investment Strategies, Volume 2, No. 2, Spring 2013
Number of pages: 9 Posted: 24 Aug 2013 Last Revised: 03 Sep 2013
Lisa R. Goldberg and Ola Mahmoud
University of California, Berkeley and University of California, Berkeley
Downloads 407 (70,896)

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20.

Sequential Defaults and Incomplete Information

Number of pages: 30 Posted: 30 May 2004
Lisa R. Goldberg and Kay Giesecke
University of California, Berkeley and Stanford University - Management Science & Engineering
Downloads 360

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correlated defaults; incomplete information, pricing trend, intensity, simulation, first-to-default

21.

The Long View of Financial Risk

Downloads 339 ( 87,602)
Citation 1

The Long View of Financial Risk

MSCI Barra Research Paper No. 2009-29
Number of pages: 13 Posted: 16 Aug 2009
Lisa R. Goldberg and Michael Y. Hayes
University of California, Berkeley and MSCI Inc.
Downloads 339 (86,972)
Citation 1

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financial risk, extended history, market returns, variance, forecasts, shortfall, risk, perspective

The Long View of Financial Risk

Journal of Investment Management (JOIM), First Quarter 2010
Posted: 13 Mar 2010 Last Revised: 03 Jun 2010
Lisa R. Goldberg and Michael Y. Hayes
University of California, Berkeley and MSCI Inc.

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Shortfall, volatility, return horizon, convex risk measure, diversification, portfolio optimization, reverse optimization, marginal contribution to risk, risk-implied correlation, beta

22.

Factoring Profitability

Number of pages: 9 Posted: 21 Dec 2013
Michael Branch, Lisa R. Goldberg and Ran Leshem
Aperio Group, University of California, Berkeley and Aperio Group
Downloads 322 (92,743)

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gross profitability, quality, factor model, value, earnings yield, book to market, momentum, factor replication

23.

T-Statistics for Weighted Means in Credit Risk Modelling

Journal of Risk Finance, Forthcoming
Number of pages: 22 Posted: 19 May 2005
Alec N. Kercheval, Lisa R. Goldberg and Kiseop Lee
Florida State University - Department of Mathematics, University of California, Berkeley and University of Louisville - Department of Mathematics
Downloads 315 (94,983)

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Weighted t-statistic, mean, risk model

24.

Catching Fallen Angels (and Other Expensive Credit Events)

Number of pages: 14 Posted: 21 Oct 2005
Lisa R. Goldberg and Andreas Zapp
University of California, Berkeley and BaFin
Downloads 272 (111,285)

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default, downgrade, credit event, incomplete information credit model, power curve

25.

The Long View of Financial Risk, August 2009

MSCI Barra Research Paper No. 2009-32
Number of pages: 13 Posted: 20 Nov 2009
Lisa R. Goldberg and Michael Y. Hayes
University of California, Berkeley and MSCI Inc.
Downloads 252 (120,519)
Citation 1

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long view financial risk, market returns, risk measure variance, alternative, shortfall, extreme moves, convex

26.

Central Limits and Financial Risk

MSCI Barra Research Paper No. 2009-13
Number of pages: 14 Posted: 14 May 2009
Angelo Barbieri, Vladislav Dubikovsky, Alexei Gladkevich, Lisa R. Goldberg and Michael Y. Hayes
MSCI Inc., MSCI Barra, MSCI Inc., University of California, Berkeley and MSCI Inc.
Downloads 244 (124,545)
Citation 2

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Systematic model global recession quantitative finance random variables central limit theorem normal distribution financial risk

27.

Evaluating Risk Forecasts with Central Limits

Number of pages: 20 Posted: 29 Mar 2008 Last Revised: 11 Nov 2008
Angelo Barbieri, Vladislav Dubikovsky, Alexei Gladkevich, Lisa R. Goldberg and Michael Y. Hayes
MSCI Inc., MSCI Barra, MSCI Inc., University of California, Berkeley and MSCI Inc.
Downloads 242 (125,569)
Citation 3

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hyptothesis test, value at risk, expected shortfall

28.

The Implied Futures Financing Rate

Number of pages: 57 Posted: 01 Dec 2016 Last Revised: 20 Apr 2017
Nicholas Gunther, Robert M. Anderson and Lisa R. Goldberg
University of California, Berkeley, University of California, Berkeley - Department of Economics and University of California, Berkeley
Downloads 239 (127,172)

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futures, financing, leverage, futures implied rate, S&P 500 Index, Commodity Futures Modernization Act, CFMA, financial crisis, bootstrap confidence interval, mean reversion

29.

Allocating Assets in Climates of Extreme Risk

MSCI Barra Research Paper No. 2011-08
Number of pages: 32 Posted: 27 Apr 2011
Stacy Cuffe and Lisa R. Goldberg
MSCI Inc. and University of California, Berkeley
Downloads 236 (128,774)

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Allocating Assets Climates of Extreme Risk portfolio stress testing extreme scenario sset Allocation Stress Testing Risk Management Portfolio Construction investment processes

30.

Minimizing Shortfall

Quantitative Finance, Forthcoming
Number of pages: 21 Posted: 03 Feb 2011 Last Revised: 22 Sep 2016
Lisa R. Goldberg, Michael Y. Hayes and Ola Mahmoud
University of California, Berkeley, MSCI Inc. and University of California, Berkeley
Downloads 230 (132,070)

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empirical study, shortfall, optimization, Barra, Extreme Risk minimum, shortfall minimum, variance portfolios, US, UK, Japanese equity markets, Barra, Style Factors, Value Growth Momentum measures overall asymmetry

31.

In Search of Statistically Valid Risk Factors

Number of pages: 20 Posted: 16 Dec 2012 Last Revised: 04 Aug 2014
Robert M. Anderson, Stephen Bianchi and Lisa R. Goldberg
University of California, Berkeley - Department of Economics, University of California, Berkeley and University of California, Berkeley
Downloads 225 (134,974)

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Factor volatility, variance, statistical significance, leverage point, beta, OLS regression, median regression, t-statistic, incremental explanatory power, outlier, VIX, FVIX

32.

Identifying Broad and Narrow Financial Risk Factors with Convex Optimization

Number of pages: 27 Posted: 25 Jun 2016 Last Revised: 21 Aug 2016
Alexander Shkolnik, Lisa R. Goldberg and Jeffrey Bohn
University of California, Santa Barbara (UCSB), University of California, Berkeley and University of California, Berkeley - Center for Risk Management Research
Downloads 219 (138,554)

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financial risk factors, broad, narrow, convex optimization, low rank plus sparse decomposition, principal component analysis

33.

A Structural Analysis of the Default Swap Market - Part 2 (Relative Value)

Journal of Investment Management, Forthcoming
Number of pages: 29 Posted: 19 Aug 2008
Lisa R. Goldberg, Rajnish Kamat and Jason Kremer
University of California, Berkeley, affiliation not provided to SSRN and Global Key Advisors
Downloads 219 (138,554)

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CDS, implied spread, structural model, relative value, credit risk, default swap, iSpread, rich-cheap strategy, carry-neutral strategy, beta-neutral strategy, transaction costs, information ratio, structural credit model

34.

The Dispersion Bias

Number of pages: 34 Posted: 17 Nov 2017 Last Revised: 18 Feb 2018
Lisa R. Goldberg, Alex Papanicolaou and Alexander Shkolnik
University of California, Berkeley, University of California, Berkeley and University of California, Santa Barbara (UCSB)
Downloads 212 (142,894)

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Markowitz optimization, bias, sample covariance, shrinkage, random matrix theory

35.

Factor Tilts after Tax

Number of pages: 20 Posted: 15 Oct 2014
Lisa R. Goldberg and Ran Leshem
University of California, Berkeley and Aperio Group
Downloads 202 (149,509)
Citation 1

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factor tilt, taxes, tax alpha, factor alpha, tax-loss harvesting, wealth management, ultra-high net worth investors

36.

Analyzing the Extreme Risk of a U.S Corporate Bond Portfolio, November 2009

MSCI Barra Research Paper No. 2009-43
Number of pages: 9 Posted: 13 Feb 2010
Peter Chan, Lisa R. Goldberg, Michael Y. Hayes and Eric Tsang
MSCI Inc., University of California, Berkeley, MSCI Inc. and MSCI Inc.
Downloads 171 (173,935)

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Barra, Extreme Risk, BxR Model, Corporate Bond Portfolio, Forecast, xShortfall, xVaR

37.

Tax-Managed Factor Strategies

Forthcoming, Financial Analysts Journal
Number of pages: 20 Posted: 14 Jan 2019
Lisa R. Goldberg, Pete Hand and Taotao Cai
University of California, Berkeley, Aperio Group and Aperio Group
Downloads 147 (198,686)

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tax-managed investment, loss harvesting, tax alpha, rate differential, factor tilt, value, momentum, size, quality, minimum variance

38.

Building a Carbon-Free Equity Portfolio

Number of pages: 13 Posted: 16 Feb 2015
Patrick Geddes, Lisa R. Goldberg, Robert Tymoczko and Michael Branch
Aperio Group, University of California, Berkeley, Aperio Group and Aperio Group
Downloads 145 (199,836)
Citation 1

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Divestment, Endowment, Foundation, Individual Investor, New Institutional, Oil, Carbon-free, Energy, Utilities, Materials, Tracking Error

39.

Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA

Downloads 112 (243,646)
Citation 9

Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA

FEDS Working Paper 2014-54
Number of pages: 19 Posted: 13 Aug 2014
Samim Ghamami and Lisa R. Goldberg
and University of California, Berkeley
Downloads 112 (244,886)
Citation 9

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Credit value adjustment, stochastic intensity modeling, wrong way and right way risk, Basel III, counterparty credit risk

Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA

https://doi.org/10.3905/jod.2014.21.3.024
Posted: 20 May 2019
Samim Ghamami and Lisa R. Goldberg
and University of California, Berkeley
Downloads 0 (168,587)

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Credit Value Adjustment, Wrong Way Risk, Basel III CVA Capital Charges, Stochastic Intensity Modeling

40.

Market Turmoil, a Value Index, and the UK Telecoms Industry, March 2010

MSCI Barra Research Paper No. 2010-09
Number of pages: 11 Posted: 07 May 2010
Patrick Burke d'Orey and Lisa R. Goldberg
MSCI Inc. and University of California, Berkeley
Downloads 60 (354,695)

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Market Turmoil, Value Index, UK, Telecoms Industry, financial crisis, turnaround, MSCI, UK, Value Investable Market Index, MSCI, UK, Value, IMI, Barra, Extreme Risk, BxR model

41.

Better Betas

Number of pages: 12 Posted: 05 Dec 2018
Lisa R. Goldberg, Alex Papanicolaou and Alexander Shkolnik
University of California, Berkeley, University of California, Berkeley and University of California, Santa Barbara (UCSB)
Downloads 59 (357,645)

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PCA, Market betas, Dispersion, Factors, Markowitz portfolio, Minimum variance

42.

Extreme Shooters in the NBA

Number of pages: 14 Posted: 14 Jan 2019
Manav Kant and Lisa R. Goldberg
affiliation not provided to SSRN and University of California, Berkeley
Downloads 42 (414,507)

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hot hand, cold hand, extreme shooter, season average, distribution of game averages, p-value, binomial distribution, quantile

43.

Sustainable Investing and the Cross-Section of Maximum Drawdown

Number of pages: 27 Posted: 03 Jun 2019
Lisa R. Goldberg and Saad Mouti
University of California, Berkeley and Consortium for Data Analytics in Risk
Downloads 40 (422,111)

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Maximum Drawdown, Supervised Learning, The Cross-Section of Risk, Sustainable Investing, Linear Regression, Penalized Regression, Dimension Reduction, Random Forest, Gradient Boosting, Multi-Layer Perceptron

44.

Optimizing Value

Journal of Portfolio Management, Forthcoming, https://doi.org/10.3905/jpm.2016.42.2.077
Posted: 22 May 2019
Ran Leshem, Lisa R. Goldberg and Alan Cummings
Aperio Group, University of California, Berkeley and Aperio Group

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Value, book-to-price, earnings-to-price, blended value strategy, optimized strategy, rank-and-chop strategy, sector constraint, tracking error, turnover

45.

The Impact of Estimation Error on Latent Factor Model Forecasts of Portfolio Risk

Journal of Portfolio Management, Forthcoming, https://doi.org/10.3905/jpm.2017.43.5.147
Posted: 26 Jun 2016 Last Revised: 22 May 2019
Stephen Bianchi, Lisa R. Goldberg and Allan Rosenberg
University of California, Berkeley, University of California, Berkeley and State Steet Global Exchange

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estimation error, latent factor model, simulation, minimum variance portfolio, equally weighted portfolio, underforecast

46.

Allocating Assets in Climates of Extreme Risk: A New Paradigm for Stress Testing Portfolios

Financial Analysts Journal, Vol. 68, No. 2, 2012
Posted: 26 Mar 2012
Stacy Cuffe and Lisa R. Goldberg
MSCI Inc. and University of California, Berkeley

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Portfolio Management, Asset Allocation, Impact on Portfolio Returns, Economic Analysis and Capital Market Expectations, Macroeconomic Forecasts in Determining Asset Class/Security Return Expectations, Risk Management, Risk Management, Portfolio Risk Management

47.

A Structural Analysis of the Default Swap Market, Part 1 (Calibration)

Journal of Investment Management, Second Quarter 2009
Posted: 07 Oct 2008
Lisa R. Goldberg, Rajnish Kamat and Vijay Poduri
University of California, Berkeley, affiliation not provided to SSRN and Charles Schwab Investment Management

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Credit spread, structural model, risk factor, calibration parameter, firm value, firm leverage, distance to effective default, bounded influence estimation, inversion-minimization algorithm

48.

In Search of a Modigliani-Miller Economy

Journal of Investment Management, Vol. 2, No. 3, Third Quarter 2004
Posted: 16 Sep 2004
Lisa R. Goldberg and Kay Giesecke
University of California, Berkeley and Stanford University - Management Science & Engineering

Abstract:

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Credit risk, leverage ratio, incomplete information model, Modigliani-Miller theorem, Merton model

49.

Volatility of the Short Rate in the Rational Lognormal Model

Finance and Stochastics (1998)
Posted: 20 Apr 1998
Lisa R. Goldberg
University of California, Berkeley

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