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Affine Point Processes and Portfolio Credit Risk
TLDR
This paper analyzes a family of multivariate point process models of correlated event timing whose arrival intensity is driven by an affine jump diffusion. Expand
Fixed points of polynomial maps. Part II. Fixed point portraits
— Douady, Hubbard and Branner have introduced the concept of a "limb" in the Mandelbrot set. A quadratic map f(z) = z + c belongs to the p/q-limb if and only if there exist q external rays of itsExpand
Thinking, Fast and Slow, by D. Kahneman
The very same biological machinery that enables us to reason also biases our judgments and slants us toward irrational behavior, leading to predictable human errors that may be impossible to correct.Expand
A Top-Down Approach to Multiname Credit
TLDR
A multiname credit derivative is a security that is tied to an underlying portfolio of corporate bonds and has payoffs that depend on the loss due to default in the portfolio. Expand
Pricing Credit from the Top Down with Affine Point Processes
A portfolio credit derivative is a contingent claim on the aggregate loss of a portfolio of credit sensitive securities. We develop an economically motivated and computationally tractable top downExpand
A Top-Down Approach to Multi-Name Credit
A multi-name credit derivative is a security that is tied to an underlying portfolio of corporate bonds and has payoffs that depend on the loss due to default in the portfolio. The value of aExpand
Will My Risk Parity Strategy Outperform?
We gauge the return-generating potential of four investment strategies: value weighted, 60/40 fixed mix, unlevered and levered risk parity. We have three main findings. First, even over periodsExpand
Market Implied Ratings
Recent high-profile defaults of investment grade bond issuers have demonstrated the weakness of conventional ratings in rapidly changing circumstances. We propose a simple method to deriveExpand
Sequential Defaults and Incomplete Information
We propose a multi-firm first-passage credit model in which investors have incomplete information. In this model, investors observe neither a firm's value nor its default barrier. The model accountsExpand
Catalan numbers and branched coverings by the Riemann sphere
We prove that the number of PGL(2, C) equivalence classes of degree d rational maps with a fixed branch set is generically equal to the “Catalan number” ϱ(d) = (1d)(2d−2d−1). Several (previouslyExpand
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