Center for Risk Management Research Working Papers

 

2017

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

2016

2016-01: Konstantin Magin, "Infinite Horizon CCAPM with Stochastic Taxation and Monetary Policy"

2016-02: Robert H. Edelstein and Konstantin Magin, "Examining US REITs Pricing Bubbles: An Application of the CCAPM with Stochastic Taxation and Money Supply"

2016-03: Konstantin Magin, "Comparative Statics in Finite Horizon Finance Economies with Stochastic Taxation"

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?"

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

2015-01: Konstantin Magin, "Hedging Against Tax Rate Uncertainty: Tax Rate Swaps"

2015-02: Robert H. Edelstein and Konstantin Magin, "Stochastic Taxation and REITS Pricing Bubbles: A Statistical Analysis"

2015-03: Enrico G. De Giorgi and Ola Mahmoud, "Diversification Preferences in the Theory of Choice"

2015-04: Ola Mahmoud, "The Temporal Dimension of Drawdown"

2015-05: Yuri Gorodnichenko and Michael Weber, "Are Sticky Prices Costly? Evidence from the Stock Market"

2015-06: Samim Ghamami, "Static Models of Central Counterparty Risk"

2015-07: Peter Carr and Samim Ghamami, "Derivatives Pricing under Bilateral Counterparty Risk"

2015-08: Markus Pelger, "Large-Dimensional Factor Modeling Based on High-Frequency Observations"

2015-09: Markus Pelger, "Understanding Systematic Risk: A High-Frequency Approach"

2015-10: Konstantin Magin, "Generic Existence of Equilibria in Finite Horizon Finance Economies with Stochastic Taxation"

2014

2014-01: Samim Ghamami, "Static Models of Central Counterparty Risk" Revised Version February February 27, 2014

2014-02: Robert M. Anderson, Stephen W. Bianchi, Lisa R. Goldberg, "Determinants of Levered Portfolio Return" Earlier versions of this paper circulated under the title ‘The Decision to Lever.'”

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

2014-04: Raymond C. W. Leung, "Continuous-Time Principal-Agent Problem with Drift and Stochastic Volatility Control: With Applications to Delegated Portfolio Management"

2014-05: Robert M. Anderson, Stephen W. Bianchi, Lisa R. Goldberg, "In Search of Statistically Valid Risk Factors" Revised from working paper #2013-01

2014-06: Robert H. Edelstein, Konstantin Magin, "Identifying REITs Asset-pricing Bubbles: A Modified CCAPM Approach"

2013

2013-01: Robert M. Anderson, Stephen W. Bianchi, Lisa R. Goldberg, "The Decision to Lever" Revised Version July 26, 2013 Revised Working Paper #2013-09,Revised Version March 23, 2014

2013-02: Syngjoo Choi, Shachar Kariv, Wieland, Dan Silverman, "Who Is (More) Rational?"

2013-03: Maurice Obstfeld, "On Keeping Your Powder Dry: Fiscal Foundations of Financial and Price Stability"

2013-04: Samim Ghamami, Bo Zhang, "Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement"

2013-05: reviewed by Lisa R. Goldberg, "The Signal and the Noise by Nate Silver"

2013-07: Nan Chen, Paul Glasserman, Behzad Nouri, Markus Pelger, "Contingent Capital, Tail Risk, and Debt-Induced Collapse"

2013-08: Markus Pelger, "There are no predictable jumps in arbitrage-free markets"

2013-09:  Robert M. Anderson, Stephen W. Bianchi, Lisa R. Goldberg, "The Decision to Lever" (revised from working paper #2013-01)

2013-10: William Balson, Gordon Rausser, "Pretrade and Risk-based Clearing: A Case Study of American International Group’s Super Senior CDS Portfolio 2005- 2008"

2013-11: Gordon Rausser, William Balson, Reid Stevens, "Centralized Clearing for Over-the-Counter Derivatives"

2013-12: Lisa Goldberg, Ran Leshem, Patrick Geddes, "Restoring Value to Minimum Variance"

2013-13: An Chen, Markus Pelger, "How Relative Compensation can lead to Herding Behavior"

Coleman Fung Risk Management Research Center Working Papers
2013

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)

2013-02: Samim Ghamami, Bo Zhang, "Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement"

2013-03: Lisa R. Goldberg, Ola Mahmoud, "Risk Without Return"

2013-04: Konstantin Magin, "Equity Risk Premium and Insecure Property Rights" (revised from working paper # 2009-01)

2013-05: Maurice Obstfeld, "Finance at Center Stage: Some Lessons of the Euro Crisis"

2013-06: Martin Lettau, Matteo Maggiori, Michael Weber, "Conditional Risk Premia in Currency Markets and Other Asset Classes"

2013-07: reviewed by Samim Ghamami, "Counterparty Credit Risk by Jon Gregory"

2012

2012-01: Robert M. Anderson, Stephen W. Bianchi, Lisa R. Goldberg, "Will My Risk Parity Strategy Outperform?" (revised from working paper #2011-04)

2012-02: Markus Pelger, "Contingent Convertible Bonds: Pricing, Dilution Costs and Efficient Regulation"

2012-03: Livia Chitu, Barry Eichengreen, Arnaud Mehl, "When did the dollar overtake sterling as the leading international currency? Evidence from the bond markets"

2012-04: Robert Edelstein, Konstantin Magin, "The Equity Risk Premium Puzzle: A Resolution – The Case for Real Estate"

2012-05: Lisa R. Goldberg, Michael Y Hayes, Ola Mahmoud, "Minimizing Shortfall" (revised from working paper # 2011-01)

2012-06: reviewed by Lisa R. Goldberg, "Thinking, Fast, and Slow by Daniel Kahneman"

2012-07: Samim Ghamami, Sheldon M. Ross, "Improving the Asmussen – Kroese Type Simulation Estimators"

2012-08: Samim Ghamami, Sheldon M. Ross, "Improving the Normalized Importance Sampling Estimator"

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)

2012-11: Eduardo B. Andrade, Terrance Odean, Shengle Lin, "Bubbling with Excitement: An Experiment"

2012-12: Orie Shelef, "Incentive Thresholds, Risk-Taking, and Performance. Evidence from Hedge Funds"

2012-13: Ying-Ju Chen, Mingcherng, "Self-Enforcing Clawback Provisions in Executive Compensation"

2011

2011-01: Lisa R. Goldberg, Micahel Y. Hayes, Ola Mahmoud, "Minimizing Shortfall" (revised July 2012, working paper #2012-05)

2011-02: Stacy L. Cuffe, Lisa R. Goldberg, "Allocating Assets in Climates of Extreme Risk"

2011-03: Pierre-Olivier Gourinchas, Maurice Obstfeld, "Stories of the Twentieth Century for the Twenty-First"

2011-04: Robert M. Anderson, Stephen W. Bianchi, Lisa R. Goldberg, "Will My Risk Parity Strategy Outperform?" (revised March 2012, working paper # 2012 -01)

2010

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"

2010-03: Ulrike Malmendier, Devin Shanthikumar, "Do Security Analysts Speak in Two Tongues?"

2010-04: An Chen, Markus Pelger, Klaus Sandmann, "New Performance – Vested Stock Option Schemes"

2010-05: Konstantin Magin, "The Pricing of “Troubled” Assets"

2009

2009-01: Konstantin Magin, "Equity Risk Premium and Insecure Property" (revised February 11, 2013, working paper # 2013-04)

2009-02: Roger Craine, "Interest Rate Conundrum" (revised from working paper # 2008-03), forthcoming B.E. Journal of Macroeconomics

2009-03: Maurice Obstfeld, "Lenders of Last Resort in a Globalized World"

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"

2009-06: Shachar Kariv and Willian R. Zame, "Piercing the Veil of Ignorance"

2009-07: Ulrike Malmendier and Stefan Nagel, "Depression Babies: Do Macroeconomic Experiences Affect Risk – Taking?"

2009-08: A.E.B. Lim, J.G. Shanthikumar, and G. Y. Vahn, "Fragility of CVar in portfolio optimization"

2008

2008-01: J. Bradford DeLong, Konstantin Magin, "The U.S. Equity Return Premium: Past, Present and Future"

2008-02: Konstantin Magin, "Is The Potential For High Investor Leverage A Threat To Social Security Privatization?"

2008-03: Roger Craine, Vance L. Martin, "The Interest Rate Conundrum" (revised Jan.2009, working paper # 2009 -02)

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

2007-01: Xin Guo and Pascal Tomecek, "Connections between Singular Control and Optimal Switching"

2007-02: Robert M. Anderson and Roberto Raimondo, "Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets"

2007-03: Robert M. Anderson, Kyong Shik Eom, Sang Buhm Hahn and Jong-Ho Park, "Stock Return Autocorrelation is Not Spurious" (Revised Version 5/26/08)

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"

2007-06: Robert M. Anderson, "Time-Varying Risk Premia and Stock Return Autocorrelation"

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"