Details about Sanjiv Ranjan Das

Access statistics for papers by Sanjiv Ranjan Das.

Last updated 2023-03-12. Update your information in the RePEc Author Service.

Short-id: pda527

Working Papers

2018

1. Bank Regulation, Network Topology, and Systemic Risk: Evidence from the Great Depression
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
   Also in CESifo Working Paper Series, CESifo (2018) View citations (4)

2006

2. Common Failings: How Corporate Defaults are Correlated
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
   See also Journal Article Common Failings: How Corporate Defaults Are Correlated, Journal of Finance, American Finance Association (2007) View citations (261) (2007)

2002

3. Pricing Credit Derivatives with Rating Transitions
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (17)
4. Systemic Risk and International Portfolio Choice
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)

1999

5. Fee Speech: Signalling and the Regulation of Mutual Fund Fees
   New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (1)

1998

6. A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
7. A Direct Approach to Arbitrage-Free Pricing of Derivatives
   New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (6)
8. Fee Speech: Adverse Selection and the Regulation of Mutual Funds
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
9. Of Smiles and Smirks: A Term-Structure Perspective
   New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (5)
   See also Journal Article Of Smiles and Smirks: A Term Structure Perspective, Journal of Financial and Quantitative Analysis, Cambridge University Press (1999) View citations (145) (1999)
10. On the Regulation of Fee Structures in Mutual Funds
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
11. Poisson-Guassian Processes and the Bond Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
12. The Regulation of Fee Structures in Mutual Funds: A Theoretical Analysis
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (4)

1997

13. An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (1)
14. Auction Theory: A Summary with Applications to Treasury Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
15. Average Interest
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
16. Taming the Skew: Higher-Order Moments in Modeling Asset Price Processes in Finance
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
17. The Central Tendency: A Second Factor in Bond Yields
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1996) View citations (2)
    See also Journal Article The Central Tendency: A Second Factor In Bond Yields, The Review of Economics and Statistics, MIT Press (1998) View citations (81) (1998)

Journal Articles

2023

1. Digitization and data frames for card index records
   Explorations in Economic History, 2023, 87, (C)

2022

2. Banking networks, systemic risk, and the credit cycle in emerging markets
   Journal of International Financial Markets, Institutions and Money, 2022, 80, (C) View citations (2)
3. Dynamic optimization for multi-goals wealth management
   Journal of Banking & Finance, 2022, 140, (C)

2021

4. Combining Investment and Tax Strategies for Optimizing Lifetime Solvency under Uncertain Returns and Mortality
   JRFM, 2021, 14, (7), 1-25

2020

5. The Fast and the Curious: VC Drift
   Journal of Financial Services Research, 2020, 57, (1), 69-113
6. Venture Capital Communities
   Journal of Financial and Quantitative Analysis, 2020, 55, (2), 621-651 View citations (11)

2019

7. The future of fintech
   Financial Management, 2019, 48, (4), 981-1007 View citations (22)

2015

8. Credit spreads with dynamic debt
   Journal of Banking & Finance, 2015, 50, (C), 121-140 View citations (2)

2013

9. Options and structured products in behavioral portfolios
   Journal of Economic Dynamics and Control, 2013, 37, (1), 137-153 View citations (28)
10. Strategic loan modification: An options-based response to strategic default
    Journal of Banking & Finance, 2013, 37, (2), 636-647 View citations (8)

2012

11. The Principal Principle
    Journal of Financial and Quantitative Analysis, 2012, 47, (6), 1215-1246 View citations (5)

2011

12. Polishing diamonds in the rough: The sources of syndicated venture performance
    Journal of Financial Intermediation, 2011, 20, (2), 199-230 View citations (17)

2010

13. Credit default swaps – Financial innovation or financial dysfunction?
    Financial Stability Review, 2010, (14), 45-53 View citations (4)
14. Portfolio Optimization with Mental Accounts
    Journal of Financial and Quantitative Analysis, 2010, 45, (2), 311-334 View citations (67)
15. The Long and Short of It: Why Are Stocks with Shorter Runs Preferred?
    Journal of Consumer Research, 2010, 36, (6), 964-982 View citations (12)

2009

16. Accounting-based versus market-based cross-sectional models of CDS spreads
    Journal of Banking & Finance, 2009, 33, (4), 719-730 View citations (68)
17. Hedging credit: Equity liquidity matters
    Journal of Financial Intermediation, 2009, 18, (1), 112-123 View citations (34)
18. Implied recovery
    Journal of Economic Dynamics and Control, 2009, 33, (11), 1837-1857 View citations (22)
19. Options on portfolios with higher-order moments
    Finance Research Letters, 2009, 6, (3), 122-129 View citations (4)

2007

20. An Integrated Model for Hybrid Securities
    Management Science, 2007, 53, (9), 1439-1451 View citations (20)
21. Basel II: Correlation Related Issues
    Journal of Financial Services Research, 2007, 32, (1), 17-38 View citations (9)
22. Common Failings: How Corporate Defaults Are Correlated
    Journal of Finance, 2007, 62, (1), 93-117 View citations (261)
    See also Working Paper Common Failings: How Corporate Defaults are Correlated, NBER Working Papers (2006) View citations (7) (2006)
23. Yahoo! for Amazon: Sentiment Extraction from Small Talk on the Web
    Management Science, 2007, 53, (9), 1375-1388 View citations (264)

2006

24. A simple approach for pricing equity options with Markov switching state variables
    Quantitative Finance, 2006, 6, (2), 95-105 View citations (14)

2005

25. The Firm's Management of Social Interactions
    Marketing Letters, 2005, 16, (3), 415-428 View citations (72)
26. eInformation: A Clinical Study of Investor Discussion and Sentiment
    Financial Management, 2005, 34, (3) View citations (23)

2002

27. Fee Speech: Signaling, Risk-Sharing, and the Impact of Fee Structures on Investor Welfare
    The Review of Financial Studies, 2002, 15, (5), 1465-1497 View citations (50)
28. The surprise element: jumps in interest rates
    Journal of Econometrics, 2002, 106, (1), 27-65 View citations (168)

2000

29. A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives
    Management Science, 2000, 46, (1), 46-62 View citations (24)

1999

30. A theory of banking structure
    Journal of Banking & Finance, 1999, 23, (6), 863-895 View citations (17)
31. A theory of optimal timing and selectivity
    Journal of Economic Dynamics and Control, 1999, 23, (7), 929-965
32. Of Smiles and Smirks: A Term Structure Perspective
    Journal of Financial and Quantitative Analysis, 1999, 34, (2), 211-239 View citations (145)
    See also Working Paper Of Smiles and Smirks: A Term-Structure Perspective, New York University, Leonard N. Stern School Finance Department Working Paper Seires (1998) View citations (5) (1998)

1998

33. A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model
    Journal of Economic Dynamics and Control, 1998, 23, (3), 333-369 View citations (1)
34. The Central Tendency: A Second Factor In Bond Yields
    The Review of Economics and Statistics, 1998, 80, (1), 62-72 View citations (81)
    See also Working Paper The Central Tendency: A Second Factor in Bond Yields, NBER Working Papers (1997) View citations (2) (1997)

1997

35. Macroeconomic implications of search theory for the labour market
    Applied Economics Letters, 1997, 4, (12), 719-723

Chapters

2019

1. Annex – presentations
   A chapter in The use of big data analytics and artificial intelligence in central banking, 2019, vol. 50
2. Machine Learning: Classification and Clustering
   A chapter in The use of big data analytics and artificial intelligence in central banking, 2019, vol. 50