Gary Geng

Amaranth Advisors llc

Greenwich, CT 06831

United States

SCHOLARLY PAPERS

3

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SSRN CITATIONS
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Top 24,455

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22

CROSSREF CITATIONS

17

Scholarly Papers (3)

1.

Correlated Default Risk

EFA 2003 Annual Conference Paper No. 928; AFA 2003 Washington, DC Meetings
Number of pages: 45 Posted: 23 Sep 2002
Santa Clara University - Leavey School of Business, Moody's Investors Service, Amaranth Advisors llc and University of Massachusetts Amherst - Department of Finance
Downloads 921 (30,805)
Citation 53

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Correlated Default Processes: A Criterion-Based Copula Approach

Number of pages: 37 Posted: 07 Mar 2004
Sanjiv Ranjan Das and Gary Geng
Santa Clara University - Leavey School of Business and Amaranth Advisors llc
Downloads 678 (46,239)
Citation 6

Abstract:

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copula, tail-dependence, default

Correlated Default Processes: A Criterion-Based Copula Approach

Journal of Investment Management, Vol. 2, No. 2, Second Quarter 2004
Posted: 26 Jul 2004
Sanjiv Ranjan Das and Gary Geng
Santa Clara University - Leavey School of Business and Amaranth Advisors llc

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Correlated default, copulas, tail dependence

3.

Bayesian Migration in Credit Ratings Based on Probabilities of Default

Journal of Fixed Income, 2002
Posted: 10 Mar 2011 Last Revised: 25 Sep 2015
Sanjiv Ranjan Das, Rong Fan and Gary Geng
Santa Clara University - Leavey School of Business, Gifford Fong Associates and Amaranth Advisors llc

Abstract:

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