Below are the titles of my 27 quant-risk papers posted on SSRN, based mostly on work I did with colleagues at Bloomberg when I was head risk quant.
The papers are organized by topic; the last paper that was posted is labeled #1 etc. Abstracts and full-paper downloads available free on SSRN here:
https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=566347 - over 2,500 downloads so far.
Two of my papers (on correlations) are available from the PRMIA Risk Library here:
https://prmia.org/Public/News/Learning_Opportunity_Risk_Library.aspx?WebsiteKey=e0a57874-c04b-476a-827d-2bbc348e6b08
A paper on financial crises and Reggeon Field Theory (RFT) entitled The Reggeon Field Theory, Describing Financial Markets in Crises, and Predicting Crises, Geoffrey Chew Memorial Volume (World Scientific, March 2021) here https://worldscientific.com/worldscibooks/10.1142/11815 . The paper is sourced from Chapter 46 of my book and my three crises/RFT papers (below). Geoff Chew was my PhD physics advisor at UC Berkeley.
The second 2016 edition of my book Quantitative Finance and Risk Management, A Physicist's Approach, published by World Scientific, is here: https://www.worldscientific.com/worldscibooks/10.1142/9003 . The book contains theory and practical applications with case studies and quant stories, and covers risk management in Fixed income, Equities, and FX - from basic nuts-and-bolts to advanced including exotics. Model risk, systems risk, and data risk are included. The book also contains my original work in Path integrals and options, the Macro-Micro trend risk model, Advanced stressed VAR with fat-tail vols and stressed correlations, Crises and the Reggeon Field Theory, plus Psychology and models.
Finally, the 2nd edition of the book has a long chapter on Climate Change Risk Management. I believe climate change is the next risk-management frontier, with substantial job opportunities going forward.
My Bloomberg Carbon Clock paper is here: https://www.bloomberg.com/graphics/carbon-clock/ with colleagues: A Forecast for CO2 Levels is here: https://www.bloomberg.com/graphics/carbon-clock/BLOOMBERG-CARBON-CLOCK-TECHNICAL-WORKING-PAPER.pdf - the math behind the carbon clock with both a trend and seasonal CO2 oscillations uses SSA and a "wavelet".
I am the Editor of the forthcoming World Scientific Encyclopedia of Climate Change (May 2021) - for the Table of Contents see here: https://www.worldscientific.com/page/encyclopedia-of-climate-change . The World Scientific publisher page is here: https://www.worldscientific.com/worldscibooks/10.1142/11526#t=aboutBook . The Encyclopedia is based on over 100 case studies understandable to the general public, including students. The Encyclopedia focus is Climate Change and: Finance, Economics, Policy - and contains many related areas.
Here is my Climate Portal website http://climate.trunity.org/
Finally, my climate talks and docs are here: https://www.scribd.com/search?content_type=documents&page=1&query=jan%20dash&language=1 . The video of my in-depth Oct. 2020 talk at the Gabelli Business School, Fordham U., Climate Change Risk Management - Risk and Opportunity, is here: https://www.youtube.com/watch?v=tzFv32oxX5g&feature=youtu.be&t=1s and the presentation is here: https://www.scribd.com/document/483283600/DASH-Parts123-Climate-Risk-Opportunity-Fordham-Oct2020
N.b. I retired from quant finance / risk management in March 2018, after a 30 year career.
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DASH QUANT-RISK PAPERS ON SSRN
https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=566347
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Value At Risk papers
1.
Speeding Up VAR with Smart Monte Carlo
Number of pages: 34 Posted: 01 Mar 2018
Jan Dash and Xinchong Zhang
Bloomberg LP and Bloomberg L.P.
9.
Nearest Neighbor Technique for a Positive Definite Correlation Matrix in Advanced Stressed VAR
Number of pages: 7 Posted: 13 Jul 2016 Last Revised: 22 Nov 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
16.
HYVAR (Hybrid VAR): HVAR Mixed with MC-HVAR
Number of pages: 8 Posted: 12 Jul 2016 Last Revised: 14 Feb 2017
Jan Dash and Mario Bondioli
Bloomberg LP and Bloomberg L.P.
Noise-Reduced Correlations and SSA papers
2.
Introduction to Noise-Reduced Correlations Using Singular Spectrum Analysis
Number of pages: 12 Posted: 30 Aug 2017
Jan Dash, Xipei Yang, Mario Bondioli and Harvey J. Stein
Bloomberg LP, Bloomberg L.P., Bloomberg L.P. and Bloomberg L.P.
22.
Noise-Reduced Correlations, the Signal to Noise Ratio, and SSA
Number of pages: 21 Posted: 11 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
23.
SSA, Random Matrix Theory, and Noise-Reduced Correlations
Number of pages: 19 Posted: 11 Jul 2016 Last Revised: 20 Sep 2016
Jan Dash, Xipei Yang, Mario Bondioli and Harvey J. Stein
Bloomberg LP, Bloomberg L.P., Bloomberg L.P. and Bloomberg L.P.
24.
Stable Reduced-Noise 'Macro' SSA - Based Correlations for Long-Term Counterparty Risk Management
Number of pages: 18 Posted: 11 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash, Xipei Yang, Harvey J. Stein and Mario Bondioli
Bloomberg LP, Bloomberg L.P., Bloomberg L.P. and Bloomberg L.P.
MSSA and Data Cleaning papers
5.
MSSA vs. Multivariate Regularized Expectation Maximization for Data Cleaning
Number of pages: 22 Posted: 20 Jul 2016
Jan Dash and Yan Zhang
Bloomberg LP and Bloomberg LP
6.
Data Spike Cleaning with MSSA
Number of pages: 16 Posted: 20 Jul 2016 Last Revised: 11 Nov 2016
Jan Dash and Yan Zhang
Bloomberg LP and Bloomberg LP
7.
Cleaning Data with Real-World Updating Using MSSA
Number of pages: 14 Posted: 20 Jul 2016
Jan Dash and Yan Zhang
Bloomberg LP and Bloomberg LP
17.
Cleaning Financial Data Using SSA and MSSA
Number of pages: 30 Posted: 12 Jul 2016 Last Revised: 17 Sep 2016
Jan Dash and Yan Zhang
Bloomberg LP and Bloomberg LP
Crises, Critical Exponents, and Reggeon Field Theory papers
4.
Predicting Equity Crises, Critical Exponents, and Earthquakes - II
Number of pages: 46 Posted: 21 Jul 2016 Last Revised: 17 Sep 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
19.
Describing Crises with a Critical Exponent of the Reggeon Field Theory
Number of pages: 11 Posted: 12 Jul 2016 Last Revised: 17 Sep 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
26.
Market Crises, Earthquakes, and the Reggeon Field Theory
Number of pages: 22 Posted: 07 Jun 2013
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Idiosyncratic Risk papers
3.
Advanced Idiosyncratic Risk and Multi-Factor Models – Short Version
Number of pages: 19 Posted: 01 Feb 2017
Jan Dash and Mario Bondioli
Bloomberg LP and Bloomberg L.P.
25.
Advanced Idiosyncratic Risk and Multi-Factor Models
Number of pages: 24 Posted: 07 Apr 2015 Last Revised: 02 Feb 2017
Jan Dash and Mario Bondioli
Bloomberg LP and Bloomberg L.P.
Macro-Micro Model and SSA papers
13.
The Macro-Micro Model, Trends vs. Noise, and SSA - I
Number of pages: 12 Posted: 13 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash, Xipei Yang and Mario Bondioli
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
14.
Macro-Micro, Trends vs. Noise, and SSA - II
Number of pages: 27 Posted: 12 Jul 2016 Last Revised: 17 Sep 2016
Jan Dash, Xipei Yang and Mario Bondioli
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Smart Monte Carlo papers
10.
Smart Monte Carlo, Path Integrals, and American Options
Number of pages: 19 Posted: 13 Jul 2016 Last Revised: 17 Sep 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
11.
Path Integrals and Smart Monte Carlo - II
Number of pages: 40 Posted: 13 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
12.
Path Integrals and Smart Monte Carlo - I
Number of pages: 16 Posted: 13 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
More Quant-Risk papers
8.
Path Integrals and Greeks
Number of pages: 10 Posted: 17 Jul 2016 Last Revised: 02 Feb 2017
Jan Dash
Bloomberg LP
15.
Risk Tails and General Orthonormal Polynomials
Number of pages: 12 Posted: 12 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash, Harvey J. Stein and Mario Bondioli
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
18.
A Distressed Bond Model
Number of pages: 9 Posted: 12 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash, Xipei Yang and Stan Maydan
Bloomberg LP, Bloomberg L.P. and Bloomberg LP
20.
Analytic Solution to the Two Dimension Merton Model
Number of pages: 12 Posted: 12 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash, Mario Bondioli and Harvey J. Stein
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
21.
Non-Leading Eigenvalue Distributions, RMT, and Correlations
Number of pages: 16 Posted: 11 Jul 2016 Last Revised: 20 Sep 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
27.
Psychology, Stock/FX Trading, and Option Prices
Journal of Behavioral Finance, published
Number of pages: 36 Posted: 27 Jan 2012 Last Revised: 21 Apr 2014
Alan Beilis, Jan Dash and Jacqueline Volkman Wise
affiliation not provided to SSRN, Bloomberg LP and Temple University
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