Jessica James

Risk Advisory Group

Director

399 Park Avenue

New York, NY 10043

United States

SCHOLARLY PAPERS

2

DOWNLOADS

1,039

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (2)

1.

Copula Methods and the Analysis of Credit Risk

Number of pages: 31 Posted: 17 Sep 2007
David T. Hamilton, Jessica James and Nick Webber
Moody's Analytics, Risk Advisory Group and University of Warwick - Warwick Business School
Downloads 810 (29,960)
Citation 2

Abstract:

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credit risk management, default correlation, copula

2.

Volatility and the Cross-Section of Returns on FX Options

Number of pages: 48 Posted: 28 Mar 2017 Last Revised: 21 May 2019
City University London - Sir John Cass Business School, Risk Advisory Group, Bank of England and University of Wisconsin, Madison - Robert M. La Follette School of Public Affairs and Department of Economics
Downloads 229 (143,807)

Abstract:

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Options returns, implied volatility, straddles, foreign exchange