M
Marti G. Subrahmanyam
Researcher at New York University
Publications - 210
Citations - 8295
Marti G. Subrahmanyam is an academic researcher from New York University. The author has contributed to research in topics: Market liquidity & Credit risk. The author has an hindex of 52, co-authored 202 publications receiving 7641 citations. Previous affiliations of Marti G. Subrahmanyam include New York University Shanghai & Indian Institute of Management Ahmedabad.
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Idiosyncratic risk, sharing rules, and the theory of risk bearing
TL;DR: In this article, an agent chooses state-dependent shares of aggregate marketable income (a sharing rule) to provide a partial hedge against the idiosyncratic risk, where the agent's utility function exhibits positive, decreasing absolute risk aversion and prudence.
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Credit Risk and the Pricing of Japanese Yen Interest Rate Swaps
TL;DR: In this article, the authors investigated the pricing of Japanese yen interest rate swaps during the period 1990-96 and obtained measures of the spreads of the swap rates over comparable Japanese Government Bonds (JGBs) for different maturities and analyzed the relationship between the swap spreads and credit risk variables.
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The risk of a currency swap: a multivariate‐binomial methodology
TL;DR: The proposed methodology provides a fast and flexible alternative to Monte-Carlo simulation of the swap value and the distributions of value produced by the method can be employed to assist with both market and credit risk management.
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Scarcity and Spotlight Effects on Liquidity: Quantitative Easing in Japan
TL;DR: In this article, the authors investigated the determinants of the term structures of bond yield and market liquidity in the context of the Quantitative Easing (QE) programs implemented by the Bank of Japan.
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Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk
TL;DR: In this paper, the demand for state contingent claims in the presence of a zero-mean, non-hedgeable background risk is considered and the conditions for standard risk aversion: positive, declining absolute risk aversion and prudence are necessary and sufficient for generalized risk aversion.