Thomas Coleman

University of Chicago - Harris School of Public Policy

Executive Director, Center for Economic Policy

1155 East 60th Street

Chicago, IL 60637

United States

Close Mountain Advisors LLC

19 Davenport Ave.

Unit B

Greenwich, CT 06830

United States

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 5,230

SSRN RANKINGS

Top 5,230

in Total Papers Downloads

9,607

SSRN CITATIONS

4

CROSSREF CITATIONS

6

Scholarly Papers (15)

1.

A Guide to Duration, DV01, and Yield Curve Risk Transformations

Number of pages: 29 Posted: 01 Jan 2011 Last Revised: 23 Jan 2011
Thomas Coleman
University of Chicago - Harris School of Public Policy
Downloads 3,900 (2,968)
Citation 1

Abstract:

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DV01, Duration, Key Rate Duration, Interest Rate Risk, Yield Curve Risk, Dollar Duration, Modified Duration, Partial DV01

2.

A Practical Guide to Risk Management (A Summary)

Research Foundation of CFA Institute Monograph, 2012
Number of pages: 9 Posted: 15 Jun 2013
Thomas Coleman
University of Chicago - Harris School of Public Policy
Downloads 1,455 (15,109)

Abstract:

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risk management, Research Foundation of CFA Institute, Coleman

3.

A Primer on Credit Default Swaps (CDS)

Number of pages: 11 Posted: 20 Feb 2010 Last Revised: 04 Oct 2010
Thomas Coleman
University of Chicago - Harris School of Public Policy
Downloads 901 (30,849)
Citation 1

Abstract:

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Credit default swap, CDS, valuation, risk

4.

Causality in the Time of Cholera: John Snow As a Prototype for Causal Inference

Number of pages: 86 Posted: 30 Oct 2018 Last Revised: 15 Mar 2019
Thomas Coleman
University of Chicago - Harris School of Public Policy
Downloads 750 (39,651)
Citation 3

Abstract:

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John Snow, Cholera, Causal Inference, Epidemiology, Statistical Methodology, History of Science

5.

Fitting Forward Rates to Market Data

Number of pages: 36 Posted: 26 Jun 2007
Thomas Coleman
University of Chicago - Harris School of Public Policy
Downloads 607 (52,589)
Citation 1

Abstract:

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Forward Curve, Forward Rates, Yield Curve, Term Structure of Interest Rates

6.

A Practical Guide to Bonds and Swaps

Number of pages: 52 Posted: 17 Feb 2010
Thomas Coleman
University of Chicago - Harris School of Public Policy
Downloads 547 (59,933)
Citation 1

Abstract:

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Bond, Swap, Market-to-Market, Risk

7.

Estimating the Correlation of Non-Contemporaneous Time-Series

Number of pages: 42 Posted: 15 Jun 2007 Last Revised: 08 Sep 2008
Thomas Coleman
University of Chicago - Harris School of Public Policy
Downloads 337 (106,521)
Citation 1

Abstract:

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Covariance, Correlation, Asynchronous Trading, Non-synchronous Trading, Closing-Time Problem

8.

Swap Valuation with Dual Curves - Approximations

Number of pages: 11 Posted: 14 Mar 2017
Thomas Coleman
University of Chicago - Harris School of Public Policy
Downloads 318 (113,528)

Abstract:

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Swap Valuation Dual-Curve OIS

9.

Probability, Expected Utility, and the Ellsberg Paradox

Number of pages: 16 Posted: 27 Feb 2011 Last Revised: 24 May 2011
Thomas Coleman
University of Chicago - Harris School of Public Policy
Downloads 290 (125,192)
Citation 1

Abstract:

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Probability, Expected Utility, Risk, Ambiguity

10.

How Precision of the Sharpe Ratio Improves With Monthly Data

Number of pages: 42 Posted: 27 Apr 2017 Last Revised: 24 Jan 2018
Thomas Coleman
University of Chicago - Harris School of Public Policy
Downloads 120 (275,234)

Abstract:

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Sharpe, Sharpe Ratio, sampling distribution, non-central Student-t, small-sample distribution, large-sample distribution, asymptotic distribution, confidence interval

11.

Financial Risk Measurement and Joint Extreme Events: The Normal, Student-T, and Mixture of Normals

Number of pages: 22 Posted: 17 May 2014
Thomas Coleman
University of Chicago - Harris School of Public Policy
Downloads 109 (294,559)

Abstract:

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Risk management, extreme events, fat tails, fait-tailed distribution, extreme value theory

12.

Cyclical Employment and Unemployment Flows in the U.S.

Number of pages: 45 Posted: 23 Aug 2010 Last Revised: 26 Aug 2010
Thomas Coleman
University of Chicago - Harris School of Public Policy
Downloads 109 (294,559)

Abstract:

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Job flows, employment fluctuations, labor force, employment dynamics, worker flows

13.

A Dynamic Model of Labor Supply Under Uncertainty

Number of pages: 49 Posted: 02 Apr 2008
Thomas Coleman
University of Chicago - Harris School of Public Policy
Downloads 80 (358,669)
Citation 1

Abstract:

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Three-state model, Labor supply, Unemployment, Aggregation

14.

John Snow, Cholera, and South London Reconsidered

Number of pages: 35 Posted: 05 Dec 2020
Thomas Coleman
University of Chicago - Harris School of Public Policy
Downloads 72 (380,746)

Abstract:

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John Snow, Cholera, Causal Inference, Epidemiology, Statistical Methodology, History of Science

15.

A Note on 'Rethinking John Snow’s South London study: A Bayesian evaluation and recalculation'

Number of pages: 16 Posted: 06 Aug 2020 Last Revised: 21 Sep 2020
Thomas Coleman
University of Chicago - Harris School of Public Policy
Downloads 12 (665,774)
Citation 1

Abstract:

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John Snow, Cholera, Causal Inference, Epidemiology, Statistical Methodology, History of Science