Coleman Fung Risk Management Research Center Working Papers 2006-2013
The Center for Risk Management Research was established on July 1, 2013 as the successor to the Coleman Fung Risk Management Research Center. We are grateful for the generous support of Coleman Fung, founder of Open Link Financial, Inc. over the period 2007-2013, which permitted the establishment of the Center.
The Center focuses on the management of risk within the context of financial markets, including equity, commodity and fixed income markets, and derivatives on those markets. The Center's goal is to address the most important and pressing issues in risk management and portfolio management. This means fostering outstanding research, drawing on the best ideas and practices from the academic and practitioner communities, and collaborating with top individuals from both backgrounds. Research at the Center will be an interdisciplinary effort involving graduate students and researchers from a broad array of disciplines, including economics, statistics, finance, engineering, computer science and mathematics. It will seek to publish in the leading academic and practitioner journals, and to elevate the practice of risk management.
There are 52 publications in this collection, published between 2006 and 2013. Showing 1 - 50.
Anderson, Robert M.; Bianchi, Stephen W.; Goldberg, Lisa R.: In Search of a Statistically Valid Volatility Risk Factor, 2013
Ghamami, Samim; Zhang, Bo: Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement, 2013
Ghamami, Samim: Review of "Counterparty Credit Risk by Jon Gregory", 2013
Goldberg, Lisa R.; Mahmoud, Ola: Risk Without Return, 2013
Lettau, Martin; Maggiori, Matteo; Weber, Michael: Conditional Risk Premia in Currency Markets and Other Asset Classes, 2013
Magin, Konstantin: Equity Risk Premium and Insecure Property Right, 2013
Obstfeld, Maurice: Finance at Center Stage: Some Lessons of the Euro Crisis, 2013
Anderson, Robert M.; Bianchi, Stephen W.; Goldberg, Lisa R.: A Comment on \The Cross-Section of Volatility and Expected Returns": The Statistical Signi, 2012
Anderson, Robert M.; Bianchi, Stephen W.; Goldberg, Lisa R.: Will My Risk Parity Strategy Outperform?, 2012
Andrade, Eduardo B.; Odean, Terrance; Lin, Shengle: Bubbling with Excitement: An Experiment, 2012
Chen, Ying-Ju; Deng, Mingcherng: Self-Enforcing Clawback Provisions in Executive Compensation, 2012
Chitu, Liva; Eichengreen, Barry; Mehl, Arnaud: When did the dollar overtake sterling as the leading international currency? Evidence from the bond markets (revised), 2012
Edelstein, Robert; Magin, Konstantin: The Equity Risk Premium Puzzle: A Resolution –The Case for Real Estate, 2012
Ghamami, Samim; Ross, Sheldon M.: Improving the Asmussen-Kroese Type Simulation Estimators, 2012
Ghamami, Samim; Ross, Sheldon M.: Improving the Normalized Importance Sampling Estimator, 2012
Ghamami, Samim; Goldberg, Lisa R.: Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA, 2012
Goldberg, Lisa R.; Hayes, Michael Y.; Mahmoud, Ola: Minimizing Shortfall (revised), 2012
Goldberg, Lisa R.: Review of Daniel Kahneman's "Thinking, Fast and Slow", 2012
Pelger, Markus: Contingent Convertible Bonds: Pricing, Dilution, 2012
Shelef, Orie: Incentive Thresholds, Risk-Taking, and Performance. Evidence from Hedge Funds, 2012
Anderson, Robert M.; Bianchi, Stephen W.; Goldberg, Lisa R.: Will My Risk Parity Strategy Outperform?, 2011
Cuff, Stacy L.; Goldberg, Lisa R.: Allocating Assests in Climates of Extreme Risk, 2011
Cuffe, Stacy L.; Goldberg, Lisa R.: Allocating Assets in Climates of Extreme Risk, 2011
Goldberg, Lisa R.; Hayes, Michael Y.; Mahmoud, Ola: Minimizing Shortfall, 2011
Gourinchas, Pierre-Olivier; Obstfeld, Maurice: Stories of the Twentieth Century for the Twenty-First, 2011
Albul, Boris; Jaffee, Dwight M.; Tchistyi, Alexei: Contingent Convertible Bonds and Capital Structure Decisions, 2010
Albul, Boris; Jaffee, Dwight M.; Tchistyi, Alexei: Contingent Convertible Bonds and Capital Structure Decisions, 2010
Chen, An; Pelger, Markus; Sandmann, Klaus: New Performance - Vested Stock Option Themes, 2010
Craine, Roger; Martin, Vance L: Interest Rate Conundrum, 2009
Craine, Roger; Martin, Vance L.: The Interest Rate Conundrum, 2009
Kariv, Shachar; Choi, Syngjoo; Gale, Douglas; Ahn, David: Estimating Ambiguity Aversion in a Portfolio Choice Experiment, 2009
Lim, A.E.B.; Shanthikumar, J.G.; Vahn, G.-Y.: Fragility of CVaR in portfolio optimization, 2009
Magin, Konstantin: Equity Risk Premium and Insecure Property Rights, 2009
Malmendier, Ulrike; Shanthikumar, Devin M.: Do Security Analysts Speak In Two Tongues?, 2009
Murto, Pauli; Terviö, Marko: Exit Options and Dividend Policy under Liquidity Constraints, 2009
Obstfelt, Maurice: Lenders of Last Resort in a Globalized World, 2009
DeLong, J. Bradford; Magin, Konstantin: The U.S. Equity Return Premium: Past, Present and Future, 2008
DeLong, J. Bradford; Magin, Konstantin A.: The U.S. Equity Return Premium: Past, Present and Future, 2008
Kariv, Shachar; Zame, William R.: Piercing the Veil of Ignorance, 2008
Lee, Yongheon; Oren, Shmuel S.: An Equilibrium Pricing Model for Weather Derivatives in a Multi-commodity Setting, 2008
Lee, Yongheon; Oren, Shmuel S.: A Multi-period Equilibrium Pricing Model of Weather Derivatives, 2008
Lerner, Josh; Malmendier, Ulrike: Contractibility and the Design of Research Agreements, 2008
Magin, Konstantin: Is The Potential For High Investor Leverage A Threat To Social Security Privatization?, 2008
Magin, Konstantin: Is The Potential For High Investor Leverage A Threat To Social Security Privatization?∗, 2008
Anderson, Robert M.; Raimondo, Roberto C.: Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets, 2007
Anderson, Robert M.; Eom, Kyong Shik; Hahn, Sang Buhm; Park, Jong-Ho: Stock Return Autocorrelation is Not Spurious, 2007
Borenstein, Severin; Busse, Meghan; Kellog, Ryan: Principle-agent Incentives, Excess Caution, and Market Inefficiency: Evidence from Utility Regulation, 2007
Craine, Roger; Martin, Vance L.: International Monetary Policy Surprise Spillovers, 2007
Guo, Xin; Tomecek, Pascal: A Class of Singular Control Problems and the Smooth Fit Principle, 2007
Guo, Xin; Tomecek, Pascal: Connections Between Singular Control and Optimal Switching, 2007
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