Christopher C. Finger

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

8

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SSRN CITATIONS
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Top 42,646

in Total Papers Citations

3

CROSSREF CITATIONS

14

Scholarly Papers (8)

1.

Issues in the Pricing of Synthetic Cdos

Number of pages: 24 Posted: 06 Jan 2005
Christopher C. Finger
Board of Governors of the Federal Reserve System
Downloads 2,058 (9,101)
Citation 5

Abstract:

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Synthetic CDO, pricing models, credit correlation

2.

A Comparison of Stochastic Default Rate Models

RiskMetrics Group Working Paper 00-02
Number of pages: 34 Posted: 16 Oct 2000
Christopher C. Finger
Board of Governors of the Federal Reserve System
Downloads 947 (29,929)
Citation 14

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Credit risk, default rate, collateralized debt obligations

3.

Toward a Better Estimation of Wrong-Way Credit Exposure

Number of pages: 16 Posted: 21 Jan 2000
Christopher C. Finger
Board of Governors of the Federal Reserve System
Downloads 672 (47,905)
Citation 7

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4.

Creditmetrics and Constant Level of Risk (September 2010)

MSCI Barra Research Paper No. 2010-31
Number of pages: 12 Posted: 14 Nov 2010
Christopher C. Finger
Board of Governors of the Federal Reserve System
Downloads 370 (99,370)

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CreditMetrics Constant Level of Risk new Basel guidelines for setting trading book capital the Incremental Risk Charge IRC VaR model development model product benchmark

5.

Testing Hedges under the Standard Tranched Credit Model

RiskMetrics Journal, Vol. 9, No. 1, pp 3-30, 2009
Number of pages: 29 Posted: 10 Mar 2009
Christopher C. Finger
Board of Governors of the Federal Reserve System
Downloads 165 (220,819)

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6.

Riskmetrics Journal - Winter 2003

RiskMetrics Group Research, Vol. 3, No. 2, Winter 2002-2003
Number of pages: 68 Posted: 20 Dec 2009
Christopher C. Finger
Board of Governors of the Federal Reserve System
Downloads 146 (244,543)
Citation 5

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7.

Testing Hedges Under the Standard Tranched Credit Pricing Model

RiskMetrics Journal Vol. 9, No. 1, Winter 2009
Number of pages: 29 Posted: 02 Oct 2009
Christopher C. Finger
Board of Governors of the Federal Reserve System
Downloads 102 (317,996)

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8.

Better Ingredients

Journal of Credit Risk, Vol. 1, No. 3, Summer 2005
Posted: 14 Nov 2005
Christopher C. Finger and Robert Stamicar
Board of Governors of the Federal Reserve System and RiskMetrics Group

Abstract:

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Hull, Nelken and White (2005), Merton Model, historical equity volatility, leverage