Risk Articles
Financial Shocks and Market Recoveries - 1970-2008 (2009)
To give context to the market meltdown of 2008, this piece reviews the causes and resolutions of the 30 major financial crises since 1970 that preceded the 2008 meltdown. (18 pages)
Option Formulas (2013)
A collection of all related formulas for four major option models. Provides the formulas for pricing, for all possible first derivatives, and for all possible second derivatives. (22 pages)
Credit Crisis Primer (2008)
Written at the height of the 2008 Credit Crisis, this piece provided clients perspective by reviewing the history and circumstances leading up to the Crisis. (14 pages)
A Guide to GARCH Estimation (1992)
A training guide I prepared for my research staff explaining time series models from simple autoregression through GARCH. (6 pages)
An Analysis of Equity Market Volatility (1996)
A review for our option overlay clients at the time on the major factors determining US Equity Market volatility in the previous year. (15 pages)
An Option Portfolio Optimization Program (1995)
A product development brief I wrote while Research Director for a derivatives firm detailing an optimization strategy to extract maximum time decay from a risk-controlled option portfolio. (8 pages)
An Empirical Look at Cash Bond Market Volatility (1994)
An empirical examination of the causal factors driving volatility in the US Treasury bond market. (8 pages)
The "Clumping" of Bond Market Volatility (1994)
A non-parametric test as to whether periods of bond market volatility tend to "clump together," as measured by frequency of large daily price swings. (3 pages)
A Return-Enhancing Overlay with Zero Correlation (1998)
An analysis of how uncorrelated binary choice models can be used to run a zero-correlation portfolio overlay. (25 pages)