User profiles for Barry Schachter
Barry SchachterGloria-Mundi, LLC Verified email at gloria-mundi.com Cited by 868 |
[PDF][PDF] Estimating value-at-risk with a precision measure by combining kernel estimation with historical simulation
JS Butler, B Schachter - Review of Derivatives Research, 1997 - academia.edu
In this paper we propose an alternative way to implement the historical simulation approach
to Value-at-Risk (VaR) measurement, employing a non-parametric kernel quantile estimator …
to Value-at-Risk (VaR) measurement, employing a non-parametric kernel quantile estimator …
Interday variations in volume, variance and participation of large speculators
EC Chang, JM Pinegar, B Schachter - Journal of Banking & Finance, 1997 - Elsevier
We use data uniquely available from the Commodity Futures Trading Commission (CFTC) to
document the intraweek trading patterns of large speculators in five futures markets. These …
document the intraweek trading patterns of large speculators in five futures markets. These …
Unbiased estimation of the Black/Scholes formula
JS Butler, B Schachter - Journal of Financial Economics, 1986 - Elsevier
The Black/Scholes model gives the price of an option as a function of the true variance rate
of the underlying stock and other parameters. Because the true variance rate is unobservable…
of the underlying stock and other parameters. Because the true variance rate is unobservable…
The investment decision: Estimation risk and risk adjusted discount rates
JS Butler, B Schachter - Financial Management, 1989 - JSTOR
All capital budgeting decisions are made in the presence of estimation risk. Ignoring this risk
in the RADR causes overvaluation of project cash flows. The existing theoretical literature is …
in the RADR causes overvaluation of project cash flows. The existing theoretical literature is …
Open interest in stock options around quarterly earnings announcements
B Schachter - Journal of Accounting Research, 1988 - JSTOR
In this paper I document the behavior of open interest in listed stock options around quarterly
earnings announcements. Using pooled time-series cross-section regressions, I find a …
earnings announcements. Using pooled time-series cross-section regressions, I find a …
Risk parity: Rewards, risks, and research opportunities
SR Thiagarajan, B Schachter - The Journal of Investing, 2011 - joi.pm-research.com
Mean–variance optimization has recently come under great criticism based on the poor
performance experienced by asset managers during the global financial crisis. In response, an …
performance experienced by asset managers during the global financial crisis. In response, an …
[PDF][PDF] Robust risk estimation and hedging: A reverse stress testing approach
…, A Novosyolov, D Satchkov, B Schachter - The Journal of …, 2015 - researchgate.net
Traditional risk modeling using Value-at-Risk (VaR) is widely viewed as ill equipped for
dealing with tail risks. As a result, scenario-based portfolio stress testing is increasingly being …
dealing with tail risks. As a result, scenario-based portfolio stress testing is increasingly being …
Derivatives regulation and financial management: lessons from Gibson greetings
J Overdahl, B Schachter - Financial Management, 1995 - JSTOR
M On April 19, 1994, Gibson Greetings, Inc.(Gibson), a manufacturer of seasonal cards,
wrapping paper, and related products with headquarters in Cincinnati, Ohio, filed an 8-K with the …
wrapping paper, and related products with headquarters in Cincinnati, Ohio, filed an 8-K with the …
[BOOK][B] How I Became a Quant: Insights from 25 of Wall Street's Elite
RR Lindsey, B Schachter - 2009 - books.google.com
Praise for How I Became a Quant" Led by two top-notch quants, Richard R. Lindsey and Barry
Schachter, How I Became a Quant details the quirky world of quantitative analysis through …
Schachter, How I Became a Quant details the quirky world of quantitative analysis through …
An analysis of the risk in discretely rebalanced option hedges and delta-based techniques
RP Robins, B Schachter - Management Science, 1994 - pubsonline.informs.org
The stochastic properties of discretely rebalanced option hedges have been studied
extensively beginning with Black and Scholes (1973). In each analysis hedges were “delta-neutral” …
extensively beginning with Black and Scholes (1973). In each analysis hedges were “delta-neutral” …