Center for Risk Management Research Working Papers
20192019-1: Samim Ghamami and Paul Glasserman, "Collateralized Networks"
2018-01: Konstantin Magin, "Infinite Horizon CCAPM with Stochastic Taxation and Monetary Policy" Revised from the Center for Risk Management Research Working Paper 2016-01
2018-02: Konstantin Magin, "Infinite Horizon CCAPM with Stochastic Taxation and Monetary Policy" Revised from the Center for Risk Management Research Working Paper 2018-01
2017-01: Hyung Cheol Kang, Robert M. Anderson, Kyong Shik Eom, and Sang Koo Kang, "Controlling shareholders’ value, long-run firm value and short-term performance"
2017-02: Konstantin Magin, "Equilibrium Comparative Statics in Finite Horizon Finance Economies with Stochastic Taxation" Revised from the Center for Risk Management Research Working Paper 2016-03
2017-04: Konstantin Magin, "Comparative Statics of Equilibria with Respect to Stochastic Tax Rates" Revised from the Center for Risk Management Research Working Papers 2016-03 and 2017-02
2016-04: Jong-Ho Park, Ki Beom Binh, and Kyong Shik Eom, "The effect of listing switches from a growth market to a main board: An alternative perspective" Published in Emerging Markets Review Volume 29, December 2016, Pages 246–273 (PDF of article)
2016-05: Samim Ghamami and Paul Glasserman, "Does OTC Derivatives Reform Incentivize Central Clearing?" Forthcoming, Journal of Financial Intermediation, 2016 OFR Working paper.
2016-06: Kyong Shik Eom, Jangkoo Kang, and Kyung Yoon Kwon, "PIN, Adjusted PIN, and PSOS: Difference of Opinion in the Korean Stock Market"
2015-03: Enrico G. De Giorgi and Ola Mahmoud, "Diversification Preferences in the Theory of Choice"
2015-05: Yuri Gorodnichenko and Michael Weber, "Are Sticky Prices Costly? Evidence from the Stock Market"
2015-07: Peter Carr and Samim Ghamami, "Derivatives Pricing under Bilateral Counterparty Risk" Finance and Economics Discussion Series 2015-026. Board of Governors of the Federal Reserve System, and UC Berkeley Center for Risk Management Research Working paper.
2015-08: Markus Pelger, "Large-Dimensional Factor Modeling Based on High-Frequency Observations"
2015-09: Markus Pelger, "Understanding Systematic Risk: A High-Frequency Approach"
2014-03: Lisa R. Goldberg, Ola Mahmoud, "On a Convex Measure of Drawdown Risk" Revised as “Drawdown: From Practice to Theory and Back Again,” September, 2016
2013-07: Nan Chen, Paul Glasserman, Behzad Nouri, Markus Pelger, "Contingent Capital, Tail Risk, and Debt-Induced Collapse"
2013-11: Gordon Rausser, William Balson, Reid Stevens, "Centralized Clearing for Over-the-Counter Derivatives"
2013-13: An Chen, Markus Pelger, "How Relative Compensation can lead to Herding Behavior"
Coleman Fung Risk Management Research Center Working Papers
2013-01: Robert M. Anderson, Stephen W. Bianchi, Lisa R. Goldberg, "In Search of a Statistically Valid Volatility Risk Factor" (revised from working paper # 2012-10)
2013-04: Konstantin Magin, "Equity Risk Premium and Insecure Property Rights" (revised from working paper # 2009-01)
2013-06: Martin Lettau, Matteo Maggiori, Michael Weber, "Conditional Risk Premia in Currency Markets and Other Asset Classes"
2012-03: Livia Chitu, Barry Eichengreen, Arnaud Mehl, "When did the dollar overtake sterling as the leading international currency? Evidence from the bond markets"
2012-07: Samim Ghamami, Sheldon M. Ross, "Improving the Asmussen – Kroese Type Simulation Estimators" Journal of Applied Probability, vol. 49, no. 4, pp. 1188-1193, 2012.
2012-08: Samim Ghamami, Sheldon M. Ross, "Improving the Normalized Importance Sampling Estimator" Probability in the Engineering and Informational Sciences, vol. 26, no. 4, pp. 567-572, 2012.
2012-10: Robert M Anderson, Stephen Bianchi, Lisa R. Goldberg,, "A Comment on “The Cross-Section of Volatility and Expected Returns”: The Statistical Significance of FVIX is Driven by a Single Outlier" (revised working paper # 2013-01)
2012-13: Ying-Ju Chen, Mingcherng, "Self-Enforcing Clawback Provisions in Executive Compensation"
2010-01: Boris Albul, Dwight M. Jaffee, Alexei Tchistyi, "Contingent Convertible Bonds and Capital Structure Decisions"
2010-02: Josh Lerner, Ulrike Malmendier, "Contractibility and the Design of Research Agreements"
2009-04: Pauli Murto, and Marko Tervio, "Exit Options and Dividend Policy under Liquidity Constraints"
2009-05: David Ahn, Syngjoo Choi, Douglas Gale, and Shachar Kariv, "Estimating Ambinguity Aversion in a Portfolio Choice Experiment"
2009-07: Ulrike Malmendier and Stefan Nagel, "Depression Babies: Do Macroeconomic Experiences Affect Risk – Taking?"
2008-02: Konstantin Magin, "Is The Potential For High Investor Leverage A Threat To Social Security Privatization?"
2008-04: Yongheon Lee, Shmuel S. Oren, "An Equilibrium Pricing Model for Weather Derivatives in a Multi-commodity Setting"
2008-05: Yongheon Lee, Shmuel S. Oren, "A Multi-Period Equilibrium Pricing Model of Weather Derivatives"
2007-01: Xin Guo and Pascal Tomecek, "Connections between Singular Control and Optimal Switching"
2007-04: Xin Guo, Philip Kaminsky, Pascal Tomecek and M. Yuen, "Optimal Spot Market Inventory Strategies in the Presence of Cost and Price Risk"
2007-05: Xin Guo and Pascal Tomecek, "A Class of Singular Control Problems and the Smooth Fit Principle"
2007-07: Roger Craine, Vance L. Martin, "International Monetary Policy Surprise Spillovers"
2007-08: Severin Borenstein, Meghan Busse, and Ryan Kellogg, "Principal-agent incentives, excess caution, and market inefficiency: Evidence from utility regulation"