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, The Journal of Computational Finance, among other Journals.
| Contact: | | Email address secured by Enkoder. |
| Phone | +1 (301) 405-2127 |
| Fax | +1 (301) 314-9157 |
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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 Zhang of the Federal Reserve Board of Governors
(371K PDF) -- 37 pages -- December 16, 2004
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. [Abstract]
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 APR Violation
by Haluk Unal of the University of Maryland,
Dilip Madan of the University of Maryland, and
Levent Güntay of the University of Maryland
(500K PDF) -- 41 pages -- August 3, 2001
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