Baltimore, MD 20036-1984
United States
Johns Hopkins University
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Integrating Capital Markets, Mortgages, Leverage, Financial Transformations
Credit Risk, Capital Markets, Collateralized Debt, Liquidity Assets
FinTech, Digital Transformation, FinTech Ecosystem, Financial Innovation, Technological Innovation, FinTech Revolution
asset-backed securities (ABS), credit ratings, collateral, default risk, securitization, securitisation
Financial Mathematics, Calculus, Machine Learning, Graph Theory, Supercomputing, Big Data
real-estate markets, property derivatives, balance guaranteed swaps
Portfolio allocation, Mean-variance analysis, Factor model, Asset pricing
Investment decisions, financial behavior, search and risk behavior, econometrics, sample selection
market crash, finance, theory, teaching finance
mean-variance analysis, Sharpe ratio, STARR ratio, Rachev ratio, Conditional value-at-risk, efficient frontier
Fat-tailed distribution, ARMA-GARCH, VaR. Backtesting, Marginal VaR, Risk Budgeting, Portfolio Optimization
Behavioral Finance, Rational Finance
tempered stable distribution, infinitely divisible distribution, value-at-risk, conditional value-at-risk, average value-at-risk
global financial crisis, investment, investment management
Active management, Collateralized loan obligations (CLOs), Market efficiency, Structured finance, Syndicated loans
Deep Learning, Neural Networks, Rectified Linear Unit, Sieve Estimators, Consistency, Rate of Convergence
single-index market model, alpha, beta, bull and bear markets, binary variables
Bitcoin price forecasting, sentiment analysis, deep learning, financial news, Bitcoin trading
Beta, random coefficient, point estimate
Rational Dynamic Asset Pricing Theory, Behavioral Finance, Prospect Theory Value Function, Probability Weighting Function, Mixed Subordinated Variance Gamma Process
environment markets, liquidity, financial frictions, fiduciary duties, Islamic finance, DB, defined benefits, manager selection, principal-agent, principal, agent
Bayesian estimation, Operational risk, Truncated data, Jeffreys’ prior
Rational Finance, Equity Premium Puzzle, Normal compound inverse Gaussian distribution
Single-index market model, mutual funds, binary variables, bull and bear markets, beta
pensions, insurance
heavy tailed distribution, tempered stable distribution, method of simulated quantiles
Fat-Tailed Distributions, Stable Distributions, Downside Risk, Average Value-at-Risk, Conditional Value-at-Risk, Risk Budgeting
Stock market participation, rational expectation, income shock, search behavior, saving behavior, sample selection
Statistical arbitrage, Jump-diffusion model, Compound Poisson process, Monte Carlo simulation
Interpretable machine learning, risk management, recovery rate, corporate bonds
Ornstein-Uhlenbeck processes, tempered stable distributions, tempered infinitely divisible distributions, integrated processes, acceptance-rejection sampling, maximum likelihood estimation
consumption growth, food consumption, separability
option pricing, hedging, Merton's jump diffusion model, stochastic volatility model, tail-loss ratio risk measure
Smooth monotone covariance, Regularization, Elliptical distributions
Probability Metrics, Stochastic Dominance, Dispersion Measure, Deviation Measure, Risk Measure, Benchmark-Tracking
volatility smile, option pricing, non-Gaussian Ornstein-Uhlenbeck processes, Lévy processes, tempered stable processes and distributions, stochastic volatility models, time-changed Lévy processes, GARCH model, filtered historical simulation, particle filter
arbitrage pricing theory, agency theory, binomial pricing model, economic theory, empirical research, equilibrium theory, factors, factor models, term structure of interest rates, finance education, financial economics, financial research, recovery theorem, risk-neutral pricing, Stephen Ross
foreign exchange option models, currency options, gainful early exercise, profit opportunities, exchange rate, international interest rates, international lending, trade financing
option pricing; mean-variance portfolio; binomial pricing trees; stochastic continuous diffusions
Behavioral finance; dynamic asset pricing models; Levy-stable distribution; normal compound inverse Gaussian distribution; variance-gamma-gamma distribution
Circular economy; Qualitative growth; Economic complexity; Sustainability; Decoupling of economic growth from the use of natural resources
Credit ratings, regulation, mortgage-backed securities
Single index market model, alpha, beta, bull market, bear market
financial leases, lease valuation, corporate taxation
Mergers & Acquisitions, Tax Evasion, Monopolization
competitive pressure, credit rating agencies, rating quality
optimal capital structure, static theory of capital structure
Jensen portfolio performance measure, return-generating model
tax-sheltered equity portfolio, tax-sheltered diversification, open-end investment fund
investment for retirement, pansion plan, tax-sheltered stock portfolio, growth vs. income stocks
investor sentiment, VIX, volatility
short-sale constraints, stock index futures; investor optimism
Factor Investing, Financial Economics, Quantitative Finance
Research methodology, quantitative finance, machine learning, psychology
tournaments, backtests, data abstraction, investment strategies forecasting, overfitting
convertible arbitrage, market efficiency, law of one price
investment policy, discretionary wealth, Markowitz optimization, higher moments, implied leverage, Bayesian investing, robust optimization
credit risk, recovery rates, machine learning, news-based analysis, high-dimensional
Econometrics, machine learning, data science
selection bias, multiple testing, false positive, machine learning, clustering
sin stocks, vice, quality, profitability, investment, asset pricing, 5-factor model
interest-rate model, SABR model, fixed-beta calibration method, hedging error, beta estimation, volatility cube, backbone, volatility smile
Quanto option pricing, L'evy process, stable and tempered stable process, subordinator
residential mortgage-backed securities, credit rating; credit rating agency
Residential mortgage-backed securities, Conforming mortgage-backed securities, Nonconforming mortgage-backed securities, Credit ratings, Securitization, Subprime mortgage crisis, Over-reliance hypothesis
Bayesian methods, hedge fund risk, value-at-risk, MCMC, stable distributions
Fat-Tailed Distributions, Tempered Stable Distributions, Extreme Value Theory, Student's T Distribution, Risk Measurement
Risk aversion, portfolio choice, investment risk, reward measure, diversification
Barrier option, up-and-out call option, Bienayme-Galton-Watson branching process, branching process in a random environment
growth stocks, shareholder effective capital gains tax, capital gains tax deferment, cost of capital, share valuation, payout policy
Portfolio Management: Asset Allocation, Equity Strategies
Debt investments, asset-backed securities (including mortgage-backed securities), bonds with embedded options, credit analysis, derivative instruments, debt derivatives
operational risk, capital modeling, stability of estimates, robust estimation, right-truncated distributions, bias corrected capital estimators, maximum likelihood estimation, quantile-distance estimators
real estate bubbles, housing market, explosive behavior, subprime crisis
