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Dilip B. Madan

Dilip B. Madan


University of Maryland at College Park -- Department of Finance
Robert H. Smith School of Business
4409 Van Munching Hall
College Park, MD 20742
USA

  • Ph.D. in Economics (1971), University of Maryland and Ph.D. in Mathematics (1975), University of Maryland
  • Dilip Madan is Professor of Finance at the Robert H. Smith School of Business. He specializes in Mathematical Finance. He also serves as a consultant to Morgan Stanley, Caspian Capital LLC, and the FDIC. He is a founding member and immediate Past President of the Bachelier Finance Society, Co-Editor of Mathematical Finance and Associate Editor for the Journal of Credit Risk and Quantitative Finance. His work is dedicated to improving the quality of financial valuation models, enhancing the performance of investment strategies, and advancing the understanding and operation of efficient risk allocation in modern economies. Recent major contributions have appeared in Mathematical Finance, Finance and Stochastics, Quantitative Finance, Journal of Computational Finance, among other Journals.

 

Contact:   Email address secured by Enkoder.
Phone +1 (301) 405-2127
Fax +1 (301) 314-9157
e-mail

 

External links for Dilip B. Madan and his worksOfficial Page "Personal" Page
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Publications: that are posted on DefaultRisk.com

Credit Pricing

Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from empirically evaluating credit risk models
by Gurdip Bakshi of the University of Maryland,
Dilip Madan of the University of Maryland, and
Frank Xiaoling Zhang of the Federal Reserve Board of Governors
(179K PDF) -- 33 pages -- July 2006

A Two-Factor Hazard-Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads
by Dilip Madan of the University of Maryland, and
Haluk Unal of the University of Maryland
(401K PDF) -- 31 pages -- November 23, 1999

Madan, Dilip B. and Haluk Unal, " Pricing the Risks of Default", Review of Derivatives Research, (December 1998), Vol. 2, No. 2-3, pp 121-160.

Collateralized Debt Obligations

Break on Through to the Single Side
by Dilip Madan of the University of Maryland, and
Wim Schoutens of Katholieke Universiteit Leuven
(163K PDF) -- 20 pages -- July 26, 2007

Recovery Rates

Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates
by Gurdip Bakshi of the University of Maryland,
Dilip Madan of the University of Maryland, and
Frank Zhang of the Morgan Stanley
(875K PDF) -- 33 pages -- September 6, 2006

Pricing the Risk of Recovery in Default with Absolute Priority Rule Violation
by Haluk Unal of the University of Maryland,
Dilip Madan of the University of Maryland, and
Levent GŁntay of the University of Maryland
(200K PDF) -- 32 pages -- August 3, 2001

Books & Book Chapters:

Contemporary Quantitative Finance Contemporary Quantitative Finance
Eds. Carl Chiarella, Alexander Novikov
Springer, August 18, 2010, Hardcover, 440 pages
Encyclopedia of Quantitative Finance (4-Volume Set) Encyclopedia of Quantitative Finance (4-Volume Set)
Editor in Chief: Rama Cont
Wiley, (April 26, 2010), Hardcover, 2194 pages

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