Financial Risk
- Acharya, Viral, "Quest for Restoring Financial Stability in India", SAGE India Publishing, July 2020.
- Acharya, Viral, Bjorn Imbierowicz, Sascha Steffen and Daniel Teichmann. “Does the Lack of Financial Stability Impair the Transmission of Monetary Policy?” November 2015, revised November 2019, forthcoming, Journal of Financial Economics.
- Acharya, Viral and Arvind Krishnamurthy. "Capital Flow Management with Multiple Instruments," 2019, Central Banking, Analysis, and Economic Policies Book Series, in: Álvaro Aguirre & Markus Brunnermeier & Diego Saravia (ed.), Monetary Policy and Financial Stability: Transmission Mechanisms and Policy Implications, Edition 1, Volume 26, Chapter 6, pages 169-203, Central Bank of Chile.
- Acharya, Viral and Lasse Pedersen, “Economics with Market Liquidity Risk,” forthcoming, Critical Financial Review.
- Acharya, Viral, Tim Eisert, Christian Eufinger, and Christian Hirsch, “Whatever It Takes: The Real Effects of Unconventional Monetary Policy,” Review of Financial Studies, 2019, 32(9): 3366-3411.
- Adler, Barry with Vedran Capkun. “Debt-Equity Conflict and the Incidence of Secured Credit.” The Journal of Law and Economics. Volume 62, Number 3 (2020).
- Altman, Edward I., Maurizio Esentato, and Gabriele Sabato. "Assessing the credit worthiness of Italian SMEs and mini-bond issuers." Global Finance Journal 43 (2020): 100450.
- Altman, Edward I. “A fifty-year retrospective on credit risk models, the Altman Z-score family of models and their applications to financial markets and managerial strategies.” Journal of Credit Risk 14(4), 1–34.
- Altman, Edward I. “The Anatomy of Distressed Debt Markets.” Annual Review of Financial Economics. 2019. 11:21–37.
- Berner, Richard and Kathryn Judge, “The Data Standardization Challenge,” in Systemic Risk in the Financial Sector: Ten Years After the Great Crash, edited by Douglas W. Arner, Emilios Avgouleas, Danny Busch and Steven L. Schwarcz (CIGI Press, 2019)
- Berner, Richard, Kermit Schoenholtz, and Lawrence White, “Lowering the bar on financial regulation is fraught with risk,” American Banker, June 27, 2019.
- Berner, Richard, Kermit Schoenholtz, and Lawrence White, “Here’s how the SEC should decide if companies should report earnings only every 6 months,” MarketWatch, March 16, 2019.
- Dhar, V., and Weber, B., Digital Finance: Striking the Right Balance between Machine Intelligence and Human Decision-Making, Journal of Digital Banking, to appear.
- Engle, Robert, with Ahmet K. Karagozoglu, Asger Lunde, and Martin Klint Hansen, “News and Idiosyncratic Volatility: The Public Information Processing Hypothesis Journal of Financial Econometrics, Volume 19, Issue 1, Winter 2021, Pages 1–38.
- Engle, Robert, with Cavit Pakel, Neil Shephard, Kevin Sheppard, “Fitting Vast Dimensional Time-Varying Covariance Models,” Journal of Business & Economic Statistics (2020), 1-17.
- Engle, Robert, and Tianyue Ruan. "Measuring the probability of a financial crisis." Proceedings of the National Academy of Sciences 116.37 (2019): 18341-18346.
- Halaburda, Hanna with Tony Haitao Cui, Anindya Ghose, Raghuram Iyengar, Koen Pauwels, S. Sriram, Catherine Tucker and Sriramanwith Venkataraman. "Challenges in Omnichannel Marketing: Remedies and Future Research," , Journal of Marketing 85, no. 1 (2021): 103-120
- Halaburda, Hanna with Yannis Bakos and Christoph Mueller-Bloch, "When Permissioned Blockchains Deliver More Decentralization Than Permissionless," Communications of ACM 64 (February 2021): 20-22
- King, Lord Mervyn, “Monetary policy in a world of radical uncertainty,” Institute of International Monetary Research, January 2022
- King, Lord Mervyn, and John Kay, Radical Uncertainty: Decision-making beyond the Numbers, W.W. Norton 2020.
- King, Lord Mervyn, The End of Alchemy: Money, Banking and the Future of the Global Economy, W.W Norton and Company Inc., 2016.
- Kolm, PN and A Grealish. “Robo-Advisors Today and Tomorrow: Investment Advice Is Just an App Away,” The Journal of Wealth Management, Fall 2021.
- Kolm, PN and G Ekster. “Alternative Data in Investment Management: Usage, Challenges, and Valuation.” The Journal of Financial Data Science, Fall 2021.
- Kolm, PN and S Purushothaman. “Pricing and Systematic Trading of Municipal Bonds,” To appear in Journal of Financial Data Science, Winter 2022.
- Kolm, PN and JN Du, M Jin, PN Kolm, G Ritter, Y Wang, B Zhang. “Practical Applications of Deep Reinforcement Learning for Option Replication and Hedging,” Practical Applications 9 (1), 1-8 2021.
- Kolm, PN and G Ritter, J Simonian, “Black–Litterman and Beyond: The Bayesian Paradigm in Investment Management,” The Journal of Portfolio Management 47 (5), 91-113 4 2021.
- Kolm, PN and N Westray, “What Happened to the Rest? A Principled Approach to Clean-Up Costs in Algorithmic Trading,” appeared in Risk Magazine, Sept. 2021
- Kolm, PN and EL Peter Nystrup, “Feature selection in jump models,” Expert Systems with Applications 184, 115558 1* 2021.
- Kolm, Petter and Du, Jiayi, Muyang Jin, Gordon Ritter, Yixuan Wang, and Bofei Zhang, "Deep Reinforcement Learning for Option Replication and Hedging." The Journal of Financial Data Science (2020).
- Kolm, Petter and Gordon Ritter, “Dynamic Replication and Hedging: A Reinforcement Learning Approach,” The Journal of Financial Data Science. Winter 2019, 1 (1) 159-171.
- Ingo Walter, “Sense and Nonsense In ESG Ratings,” Journal of Law, Finance and Accounting, September 2020.
- Walter, Ingo with Clive Lipshitz. “Seeking Sustainability in American Public Employee Pension Systems,” Journal of Portfolio Management, October 2020.
- Walter, Ingo with Clive Lipshitz. “Public Pension Reform and the 49th Parallel: Lessons From Canada for the U.S.” Financial Institutions, Instruments and Markets, November 2020.
- Miller, Geoffrey Parsons, “The Law of Governance, Risk Management, and Compliance” (Wolters Kluwer 3d ed., 2020; 2d., 2017; 1st ed., 2014).
- Philippon, Thomas, Viral Acharya, Lasse Pedersen, and Matthew Richardson “Measuring Systemic Risk,” Review of Financial Studies, 2017.
- Pinedo, Michael with Yuqian Xu, Lingjiong Zhu. (2020) Operational Risk Management: A Stochastic Control Framework with Preventive and Corrective Controls. Operations Research 68(6):1804-1825.
- Pinedo, Michael with Baile Lu, Shuai Hao, and Yuqian Xu. (2021) Frontiers in Service Science: Fintech Operations—An Overview of Recent Developments and Future Research Directions. Service Science 13(1):19-35.
- Richardson, Matthew, "Regulating Wall Street: The Dodd-Frank Act," Economic Perspectives, Federal Reserve Bank of Chicago, 2012, 36: 85-97.
- Schoenholtz, Kermit, Stephen Cecchetti, Michael Feroli, Peter Hooper, and Anil Kashyap, "Deflating Inflation Expectations: The Implications of Inflation's Simple Dynamics". Presented at the US Monetary Policy Forum (March 2017).
- Stroebel, Johannes with Stefano Giglio, Matteo Maggiori, and Stephen Utkus. “Five Facts about Beliefs and Portfolios.” American Economic Review, forthcoming.
- Stroebel, Johannes with Michael Bailey, Drew Johnston, Theresa Kuchler, Dominic Russel, and Bogdan State. “The Determinants of Social Connectedness in Europe,” Forthcoming at Social Informatics, 2020.
- Stroebel, Johannes with Michael Bailey, Patrick Farrell, and Theresa Kuchler. “Social Connectedness in Urban Areas,” Journal of Urban Economics, 118 (103264), July 2020.
- Subrahmanyam Marti, with S.M. Bartram, J.Conrad and J. Lee. "Credit Default Swaps around the World: Investment and Financing Effects," Review of Financial Studies, forthcoming, 2021.
- Subrahmanyam Marti, with M. Arnold and M. Pelster. "Attention Triggers and Investors’ Risk-Taking,” Journal of Financial Economics, forthcoming, 2021.
- Subrahmanyam Marti, with R. Jankowitsch and G. Ottonello. "The New Rules of the Rating Game: Market Perception of Corporate Ratings," Review of Corporate Finance Studies, forthcoming, 2022.
- Subrahmanyam Marti, with M. Chan, J. Cherian, Z. Li, and Y. Shao "Clientele Effect in Sovereign Bonds: Evidence from Malaysia," Critical Finance Review, forthcoming, 2022.
- Subrahmanyam Marti, with A. Eisl, C. Ochs and J. Staghøj. "Sovereign Issuers, Incentives and Liquidity: An Event Study of the Danish Sovereign Bond Market," Journal of Banking and Finance, forthcoming, 2022.
- Subrahmanyam Marti, with S. Basak, D. Makarov, and A. Shapiro. "Security Design with Status Concerns," Journal of Economic Dynamics and Control, forthcoming.
- White, Lawrence J. “The Dead Hand of Cellophane and the Federal Google and Facebook Antitrust Cases: Market Delineation Will Be Crucial” The Antitrust Bulletin 2022, Vol. 67(1) 113–129.
- White, Lawrence J. "A “primarily property” presumption is—still—really needed for the IP/antitrust interface." Review of Industrial Organization 56, no. 4 (2020): 715-737
- Whitelaw, Robert, and Carpenter, Jennifer N., Fangzhou Lu, "The real value of China’s stock market." 2021, Journal of Financial Economics, Vol. 139, No. 3, pp. 679-696.
- Whitelaw, Robert, with Choi, Jaewon, Matthew Richardson. "On the interest rate sensitivity of corporate securities." 2021, Review of Asset Pricing Studies, forthcoming.
- Zin, Stanley, David K. Backus, and Axelle Ferriere, “Risk and Ambiguity in Models of Business Cycles,” Journal of Monetary Economics, January 2015 (Carnegie Rochester Conference on Public Policy).