Michael Y. Hayes

MSCI Inc.

Vice President

2100 Milvia St.

Berkeley, CA 94704

United States

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 11,151

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Top 11,151

in Total Papers Downloads

3,297

CITATIONS
Rank 21,901

SSRN RANKINGS

Top 21,901

in Total Papers Citations

13

Scholarly Papers (8)

1.

Extreme Risk Management

MSCI Barra Research Paper No. 2009-4
Number of pages: 16 Posted: 12 Feb 2009 Last Revised: 19 Feb 2009
University of California, Berkeley, MSCI Inc., MSCI Barra and University of Michigan, Stephen M. Ross School of Business
Downloads 1,241 (9,928)
Citation 2

Abstract:

risk management, quantitative extreme

2.

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
University of California, Berkeley, MSCI Inc., MSCI Barra and University of Michigan, Stephen M. Ross School of Business
Downloads 492 (38,433)
Citation 4

Abstract:

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

3.
Downloads 327 ( 71,408)
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 327 (70,885)
Citation 1

Abstract:

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.

Abstract:

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

4.

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 235 (98,372)
Citation 1

Abstract:

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

5.

Evaluating Risk Forecasts with Central Limits

Number of pages: 20 Posted: 29 Mar 2008 Last Revised: 11 Nov 2008
MSCI Inc., MSCI Barra, MSCI Inc., University of California, Berkeley and MSCI Inc.
Downloads 217 (104,977)
Citation 3

Abstract:

hyptothesis test, value at risk, expected shortfall

6.

Central Limits and Financial Risk

MSCI Barra Research Paper No. 2009-13
Number of pages: 14 Posted: 14 May 2009
MSCI Inc., MSCI Barra, MSCI Inc., University of California, Berkeley and MSCI Inc.
Downloads 208 (105,888)
Citation 2

Abstract:

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

7.

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 St. Gallen
Downloads 175 (120,513)

Abstract:

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

8.

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 155 (145,280)

Abstract:

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