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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Arbitrage Restrictions and Multi-Factor Models of the Term Structure of Interest Rates
TL;DR: In this paper, a no-arbitrage model of the term structure in which any two futures (as opposed to forward) rates act as factors is presented. But it is not valid to independently choose both the mean reversion, volatility and correlation parameters, contrary to the approach of some models in the literature.
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Lighting up the dark: Liquidity in the German corporate bond market
Yalin Gündüz,Giorgio Ottonello,Loriana Pelizzon,Loriana Pelizzon,Loriana Pelizzon,Michael Schneider,Michael Schneider,Marti G. Subrahmanyam +7 more
TL;DR: In this paper, the authors study the impact of transparency on liquidity in OTC markets and find that overall trading activity is much lower in the German market than in the U.S. They employ a unique regulatory dataset of transactions of German financial institutions from 2008 until 2014.
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The Controversy Over Executive Compensation
Edward I. Altman,George J. Benston,G. O. Bierwag,Marshall E. Blume,Richard A. Brealey,Willard T. Carleton,Andrew H. Chen,Elroy Dimson,Franklin R. Edwards,Robert A. Eisenbeis,Wayne E. Ferson,Mark J. Flannery,Charles Goodhart,Nils H. Hakansson,Kose John,Ed Kane,George G. Kaufman,Richard Herring,Alan Kraus,Dennis E. Logue,Stewart C. Myers,Stephen M. Schaefer,Eduardo S. Schwartz,Kenneth E. Scott,Lemma W. Senbet,William F. Sharpe,Jeremy J. Siegel,Seymour Smidt,Marti G. Subrahmanyam,James C. Van Horne,Ingo Walter,Richard R. West,J. Fred Weston +32 more
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A Two Factor No-Arbitrage Model of the Term Structure of Interest Rates
TL;DR: In this article, the authors derived a no-arbitrage model of the term structure in which any two futures rates act as factors and showed that the correlation of the factor rates is restricted by the no arbitrage conditions of the model.
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Corona and Financial Stability 2.0: Act jointly now, but also think about tomorrow
Arnoud W. A. Boot,Elena Carletti,Hans-Helmut Kotz,Jan Pieter Krahnen,Loriana Pelizzon,Marti G. Subrahmanyam +5 more
TL;DR: In this paper, the implications of the Coronavirus for financial stability in Europe are discussed and how to mitigate a systemic financial crisis that is propagating in slow motion, as we speak, and which was identified and diagnosed in the SAFE policy letter 782.