Details about Joshua Rosenberg

Access statistics for papers by Joshua Rosenberg.

Last updated 2024-04-25. Update your information in the RePEc Author Service.

Short-id: pro389

Working Papers

2022

1. Things That Have Never Happened Before Happen All the Time
   Speech, Federal Reserve Bank of New York

2019

2. Thrive in Any Environment: Strengthening Resilience Through Risk Management
   Speech, Federal Reserve Bank of New York

2018

3. Why do risk events occur? Insights from accident models: remarks at the 7th Annual Risk Americas 2018 Conference, New York City
   Speech, Federal Reserve Bank of New York

2016

4. Operational risk management at the Federal Reserve Bank of New York
   Speech, Federal Reserve Bank of New York

2007

5. How do treasury dealers manage their positions?
   Staff Reports, Federal Reserve Bank of New York View citations (15)
6. The effect of employee stock options on bank investment choice, borrowing, and capital
   Staff Reports, Federal Reserve Bank of New York View citations (18)

2006

7. Price discovery in the foreign currency futures and spot market
   Staff Reports, Federal Reserve Bank of New York View citations (10)
8. Stock returns and volatility: pricing the short-run and long-run components of market risk
   Staff Reports, Federal Reserve Bank of New York View citations (49)

2004

9. A general approach to integrated risk management with skewed, fat-tailed risks
   Staff Reports, Federal Reserve Bank of New York View citations (23)
   See also Journal Article A general approach to integrated risk management with skewed, fat-tailed risks, Journal of Financial Economics, Elsevier (2006) View citations (120) (2006)

2003

10. Nonparametric pricing of multivariate contingent claims
    Staff Reports, Federal Reserve Bank of New York View citations (32)
11. The impact of CEO turnover on equity volatility
    Staff Reports, Federal Reserve Bank of New York View citations (6)
    See also Journal Article The Impact of CEO Turnover on Equity Volatility, The Journal of Business, University of Chicago Press (2005) View citations (66) (2005)

2000

12. Asset Pricing Puzzles: Evidence from Options Markets
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (3)
13. Empirical Pricing Kernels
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (38)
    See also Journal Article Empirical pricing kernels, Journal of Financial Economics, Elsevier (2002) View citations (281) (2002)

1999

14. Empirical Tests of Interest Rate Model Pricing Kernels
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (2)
15. Implied Volatility Functions: A Reprise
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (18)
16. Option-Based Tests of Interest Rate Diffusion Functions
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-
17. Semiparametric Pricing of Multivariate Contingent Claims
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (25)

1998

18. Testing the Volatility Term Structure using Option Hedging Criteria
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (13)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1966)

1997

19. Option Hedging Using Empirical Pricing Kernels
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
20. Pricing Multivariate Contingent Claims using Estimated Risk-neutral Density Functions
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-
    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 (1)
    See also Journal Article Pricing multivariate contingent claims using estimated risk-neutral density functions, Journal of International Money and Finance, Elsevier (1998) View citations (23) (1998)

1995

21. GARCH Gamma
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)

1994

22. Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)

Journal Articles

2008

1. Signal or noise? Implications of the term premium for recession forecasting
   Economic Policy Review, 2008, 14, (Jul), 1-11 View citations (12)

2006

2. A general approach to integrated risk management with skewed, fat-tailed risks
   Journal of Financial Economics, 2006, 79, (3), 569-614 View citations (120)
   See also Working Paper A general approach to integrated risk management with skewed, fat-tailed risks, Staff Reports (2004) View citations (23) (2004)

2005

3. Stock returns and volatility: pricing the long-run and short-run components of market risk
   Proceedings, 2005 View citations (2)
4. The Impact of CEO Turnover on Equity Volatility
   The Journal of Business, 2005, 78, (5), 1779-1808 View citations (66)
   See also Working Paper The impact of CEO turnover on equity volatility, Staff Reports (2003) View citations (6) (2003)

2002

5. Empirical pricing kernels
   Journal of Financial Economics, 2002, 64, (3), 341-372 View citations (281)
   See also Working Paper Empirical Pricing Kernels, New York University, Leonard N. Stern School Finance Department Working Paper Seires (2000) View citations (38) (2000)

1998

6. Pricing multivariate contingent claims using estimated risk-neutral density functions
   Journal of International Money and Finance, 1998, 17, (2), 229-247 View citations (23)
   See also Working Paper Pricing Multivariate Contingent Claims using Estimated Risk-neutral Density Functions, New York University, Leonard N. Stern School Finance Department Working Paper Seires (1997) (1997)