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Volatility of the short rate in the rational lognormal model

Goldberg, Lisa - In: Finance and stochastics 2 (1998) 2, pp. 199-211

Persistent link: https://www.econbiz.de/10001235405

Credit risk modeling

Backshall, Tim; Giesecke, Kay; Goldberg, Lisa - In: The handbook of fixed income securities, (pp. 779-798). 2005

Persistent link: https://www.econbiz.de/10003054846

Forecasting default in the face of uncertainty

Giesecke, Kay; Goldberg, Lisa - In: The journal of derivatives : the official publication … 12 (2004) 1, pp. 11-25

Persistent link: https://www.econbiz.de/10002210953

Stochastic Intensity Models of Wrong Way Risk : Wrong Way CVA Need Not Exceed Independent CVA

Ghamami, Samim - 2019

Wrong way risk can be incorporated in Credit Value Adjustment (CVA) calculations in a reduced form model. Hull and White (2012) introduced a CVA model that captures wrong way risk by expressing the stochastic intensity of a counterparty's default time in terms of the financial institution's...

Persistent link: https://www.econbiz.de/10012905183

Tax-efficient diversification of a concentrated portfolio through margin and shorting

Goldberg, Lisa; Cai, Taotao; Selwitz, Harrison - In: The journal of beta investment strategies 13 (2022) 2, pp. 101-116

Persistent link: https://www.econbiz.de/10014233078

Is index concentration an inevitable consequence of market-capitalization weighting?

Goldberg, Lisa; Madhavan, Ananth Narayan; Selwitz, Harrison - In: Journal of investment management : JOIM 21 (2023) 2, pp. 50-71

Persistent link: https://www.econbiz.de/10014390410

Stochastic intensity models of wrong way risk : wrong way CVA need not exceed independent CVA

Ghamami, Samim; Goldberg, Lisa - In: The journal of derivatives : the official publication … 21 (2014) 3, pp. 24-35

Persistent link: https://www.econbiz.de/10010387688

Restoring value to minimum variance

Goldberg, Lisa; Leshem, Ran; Geddes, Patrick - In: Journal of investment management : JOIM 12 (2014) 2, pp. 32-39

Persistent link: https://www.econbiz.de/10010388909

Stochastic intensity models of wrong way risk : wrong way CVA need not exceed independent CVA

Ghamami, Samim; Goldberg, Lisa - 2014

Persistent link: https://www.econbiz.de/10010434045

A structural analysis of the default swap market : part 2 (relative value)

Goldberg, Lisa; Kamat, Rajnish; Kremer, Jason - In: Journal of investment management : JOIM 7 (2009) 2, pp. 4-22

Persistent link: https://www.econbiz.de/10003862666