Working Paper |
File Downloads |
Abstract Views |
Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
A general approach to integrated risk management with skewed, fat-tailed risks |
1 |
1 |
5 |
794 |
2 |
4 |
16 |
1,708 |
Asset Pricing Puzzles: Evidence from Options Markets |
0 |
0 |
0 |
155 |
0 |
0 |
0 |
534 |
Empirical Pricing Kernels |
0 |
0 |
1 |
515 |
0 |
1 |
2 |
1,199 |
Empirical Tests of Interest Rate Model Pricing Kernels |
0 |
0 |
0 |
199 |
0 |
0 |
0 |
565 |
GARCH Gamma |
0 |
1 |
4 |
1,156 |
0 |
1 |
6 |
3,070 |
Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models |
0 |
0 |
2 |
766 |
0 |
2 |
9 |
1,987 |
How do treasury dealers manage their positions? |
0 |
2 |
2 |
198 |
1 |
16 |
23 |
1,438 |
Implied Volatility Functions: A Reprise |
0 |
0 |
1 |
640 |
0 |
0 |
3 |
1,135 |
Nonparametric pricing of multivariate contingent claims |
0 |
0 |
0 |
344 |
0 |
0 |
6 |
863 |
Operational risk management at the Federal Reserve Bank of New York |
0 |
0 |
0 |
54 |
0 |
0 |
2 |
80 |
Option Hedging Using Empirical Pricing Kernels |
0 |
0 |
0 |
424 |
0 |
0 |
0 |
1,327 |
Option-Based Tests of Interest Rate Diffusion Functions |
0 |
0 |
0 |
74 |
0 |
0 |
0 |
364 |
Price discovery in the foreign currency futures and spot market |
0 |
0 |
3 |
370 |
1 |
1 |
9 |
1,584 |
Pricing Multivariate Contingent Claims Using Estimated Risk-neutral Density Functions |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
111 |
Pricing Multivariate Contingent Claims using Estimated Risk-neutral Density Functions |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
440 |
Semiparametric Pricing of Multivariate Contingent Claims |
0 |
0 |
0 |
199 |
0 |
0 |
0 |
432 |
Stock returns and volatility: pricing the short-run and long-run components of market risk |
0 |
0 |
3 |
551 |
0 |
0 |
13 |
1,729 |
Testing the Volatility Term Structure Using Option Hedging Criteria |
0 |
0 |
0 |
1 |
1 |
1 |
1 |
375 |
Testing the Volatility Term Structure using Option Hedging Criteria |
0 |
1 |
1 |
570 |
0 |
1 |
4 |
1,533 |
The effect of employee stock options on bank investment choice, borrowing, and capital |
0 |
0 |
0 |
161 |
0 |
0 |
2 |
751 |
The impact of CEO turnover on equity volatility |
0 |
0 |
2 |
351 |
1 |
2 |
15 |
1,359 |
Things That Have Never Happened Before Happen All the Time |
0 |
0 |
18 |
18 |
0 |
1 |
11 |
11 |
Thrive in Any Environment: Strengthening Resilience Through Risk Management |
0 |
0 |
0 |
13 |
0 |
0 |
1 |
25 |
Why do risk events occur? Insights from accident models: remarks at the 7th Annual Risk Americas 2018 Conference, New York City |
0 |
0 |
0 |
16 |
0 |
0 |
0 |
23 |
Total Working Papers |
1 |
5 |
42 |
7,572 |
6 |
30 |
124 |
22,643 |