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Category Archives: Publications and Papers
Detailed Contents for Quantitative Risk Management
Here is a detailed table-of-contents for my book Quantitative Risk Management – for some obscure reason the book was published without a detailed table-of-contents. Quantitative Risk Management A Practical Guide to Financial Risk Thomas S. Coleman Detailed Contents as formatted … Continue reading
Posted in Publications and Papers
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Quantitative Risk Management
Published by Wiley in May 2012, this book presents a road map for tactical and strategic decision-making designed to control risk and capitalize on opportunities, covering the techniques and tools used to measure and monitor risk. These techniques and tools … Continue reading
A Practical Guide to Risk Management
Published by the Research Foundation of the CFA Institute in July 2011, this monograph challenges the conventional wisdom that “risk management” is or ever should be delegated to a separate department. Good managers have always known that managing risk is … Continue reading
A Guide to Duration, DV01, and Yield Curve Risk Transformations
Yield curve risk and sensitivities (DV01s) can be measured with respect to different variables: forward rates, par rates, zero yields, or others. This paper describes a simple method for transforming sensitivities between alternate representations and provides examples. The benefit of … Continue reading
Posted in Publications and Papers, Risk Management, Valuation and Modeling
Tagged Working Paper
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Probability, Expected Utility, and the Ellsberg Paradox
The Ellsberg paradox is often cited as evidence for unknowable “ambiguity” versus computable “risk”, and a refutation of expected utility maximization and “subjective” or “belief-type” probabilities. I have concluded the paradox is not convincing. The results can be explained by … Continue reading
Employment and Unemployment Flows
This is the summary of a 45-page paper (.pdf) available for download at SSRN SUMMARY Unemployment in the U.S. has risen dramatically since the start of the recession in December 2007, going from about 6.8 million people in May 2007 … Continue reading
Managing a Sovereign Wealth Fund: A View from Practitioners
This chapter, co-authored with D. Darcet and M. du Jeu, is in Economics of Sovereign Wealth Funds: Issues for Policymakers, ed. U. S. Das, A. Mazarei, H. van der Hoorn, published by the IMF.
A Primer on Credit Default Swaps
What is a CDS? How does a CDS behave in response to changes in the markets? How does one value a CDS? What is the risk? This primer aims to answer these questions for plain-vanilla single-name CDS, showing that a … Continue reading
Estimating The Correlation Of Non-Contemporaneous Time-Series
This paper examines the statistical problem of estimating the correlation of non-contemporaneous time-series observations such as daily returns for the FTSE and S&P500 stock indexes. A December 2007 .pdf version is available on SSRN, and there is an abridged version.
A Practical Guide To Bonds And Swaps
This manual provides a practical introduction to the fixed income capital markets. It is intended to provide the practical, institutional aspects of the markets together with the fundamental concepts used in today’s capital markets. In line with their ubiquity throughout … Continue reading