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Sanjiv Ranjan Das
Santa Clara University -- Finance Department
Leavey School of Business
208J Kenna Hall
500 El Camino Drive
Santa Clara, CA 95053-0388
USA - New York University, Ph.D in Finance, September 1994.
- Prior to joining the SCU faculty in 2000, Professor DAs taught at University of California, Berkeley, and Harvard Graduate School of Business. In addition, he worked as Vice President or Citibank N.A. Dr. Das's research interests include performance and regulation of mutual funds, portfolio choice, computational finance, and auction theory.
| Contact: | | Email address secured by Enkoder. | | Phone | +1 (408) 554-2776 | | Fax | +1 (419) 791-5347 &
+1 (408) 554-4029 | | e-mail |
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Publications: that are posted on DefaultRisk.com Credit Modeling Correlated Default Modeling with a Forest of Binomial Trees
by Santhosh Bandreddi of the University of California, Berkeley,
Sanjiv Das of Santa Clara University, and
Rong Fan of Credit Suisse First Boston
(239K PDF) -- 34 pages -- April 6, 2006 Credit Derivatives Did CDS Trading Improve the Market for Corporate Bonds
by Sanjiv Das of Santa Clara University,
Madhu Kalimipalli of Wilfrid Laurier University, and
Subhankar Nayak of Wilfrid Laurier University
August 24, 2011 Accounting-Based versus Market-Based Cross-Sectional Models of CDS Spreads
by Sanjiv R. Das of Santa Clara University,
Paul Hanouna of Villanova University, and
Atulya Sarin of Santa Clara University
(380K PDF) -- 12 pages -- April 2009 A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives
by Sanjiv Ranjan Das of Harvard University, and
Rangarajan K. Sundaram of New York University
(307K PDF) -- 27 pages -- November 1998 Acharya, Viral V., Sanjiv Ranjan Das, and Rangarajan K. Sundaram. " Pricing Credit Derivatives with Rating Transitions", Financial Analysts Journal, Vol. 58, No. 3, (May/June 2002), pp. 28-44. Das, Sanjiv Ranjan, " Credit Risk Derivatives", Journal of Derivatives, Vol. 2, No. 3, (Spring 1995), pp. 7-23. Credit Correlation Common Failings: How Corporate Defaults are Correlated
by Sanjiv R. Das of Santa Clara University,
Darrell Duffie of Stanford University,
Nikunj Kapadia of the University of Massachusetts, Amherst, and
Leandro Saita of Lehman Brothers
(255K PDF) -- 26 pages -- February 2007 Correlated Default Risk
by Sanjiv R. Das of Santa Clara University
Laurence Freed of Bear Sterns,
Gary Geng of Amaranth Group, Inc., and
Nikunj Kapadia of the University of Massachusetts
(803K PDF) -- 26 pages -- September 2006 Correlated Default Processes: A Criterion-Based Copula Approach
by Sanjiv R. Das of Santa Clara University, and
Gary Geng of Gifford Fong Associates
(359K PDF) -- 37 pages -- February 2004 Das, Sanjiv R., Gifford Fong, and Gary Geng, " Impact of Correlated Default Risk on Credit Portfolios", Journal of Fixed Income, Vol. 11, No. 3, (December 2001), pp. 9-19. Recovery Rates Implied Recovery
by Sanjiv R. Das of Santa Clara University, and
Paul Hanouna of Villanova University
(2,286K PDF) -- 33 pages -- May 2, 2009 Liquidity Hedging Credit: Equity liquidity matters
by Sanjiv R. Das of Santa Clara University, and
Paul Hanouna of Villanova University
(209K PDF) -- 12 pages -- January 2009 Other Credit An Integrated Model for Hybrid Securities
by Sanjiv R. Das of Santa Clara University, and
Rangarajan K. Sundaram of New York University
(274K PDF) -- 17 pages -- October 2007 Books & Book Chapters: [Home] [Credit Researchers] [Top Ten Most Prolific]
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