Quantitative methods
- More Than One Million Reasons to Lie about Structured FinanceJanet M. TavakoliThe Journal of Structured Finance April 2019, 25 (1) 8-20; DOI: https://doi.org/10.3905/jsf.2019.25.1.008
- Internal Capital Allocation at Financial InstitutionsSylvain RaynesThe Journal of Structured Finance April 2019, 25 (1) 21-30; DOI: https://doi.org/10.3905/jsf.2019.25.1.021
- Shouldn’t a Model “Know” Its Own ID?: Banks Can Significantly Improve Their Model Discipline by Embedding One Critical Piece of InformationJon R. HillThe Journal of Structured Finance October 2018, 24 (3) 89-98; DOI: https://doi.org/10.3905/jsf.2018.24.3.089
- Document Analysis Streamlined by Structure, Tagging, and Artificial IntelligenceEli LuzacThe Journal of Structured Finance January 2018, 23 (4) 42-46; DOI: https://doi.org/10.3905/jsf.2018.2018.1.061
- Much of Model Risk Does Not Come from Any ModelMartin GoldbergThe Journal of Structured Finance April 2017, 23 (1) 32-37; DOI: https://doi.org/10.3905/jsf.2017.23.1.032
- Reverse Engineering of Prepayment Functions and
the Potential Applications for MSRs and IOs ValuationCarlos E. Ortiz, Charles A. Stone and Anne ZissuThe Journal of Structured Finance October 2016, 22 (3) 45-54; DOI: https://doi.org/10.3905/jsf.2016.22.3.045 - The Myth of Diversification ReconsideredWilliam Kinlaw, Mark Kritzman, Sébastien Page and David TurkingtonThe Journal of Portfolio Management July 2021, 47 (8) 124-137; DOI: https://doi.org/10.3905/jpm.2021.1.273
- A Time-Series Analysis and Forecast of CAPEMarc FandettiThe Journal of Portfolio Management July 2021, 47 (8) 138-150; DOI: https://doi.org/10.3905/jpm.2021.1.265
- Volatility Targeting: It’s Complicated!George MylnikovThe Journal of Portfolio Management July 2021, 47 (8) 57-74; DOI: https://doi.org/10.3905/jpm.2021.1.258
- Firm-Specific Industries, Volatility, and Return: A Text-Based Network Industrial Classification ApproachHussein AbdohThe Journal of Portfolio Management July 2021, 47 (8) 184-196; DOI: https://doi.org/10.3905/jpm.2021.1.253
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