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JWD
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Jan DASH: Quant-risk papers SSRN/PRMIA; Crises/RFT; Book; BBG CarbonClock; Climate Encyclo; Climate Portal; Climate CARO

September 18th, 2018, 9:41 pm

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 2,000 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 new paper on financial crises and Reggeon Field Theory (RFT)  entitled The Reggeon Field Theory, Describing Financial Markets in Crises, and Predicting Crises will appear in a memorial volume for my physics PhD advisor Geoffrey Chew, to be published by World Scientific. The paper is sourced from Chapter 46 of my book and my three crises/RFT papers (see below).

The second edition of my book Quantitative Finance and Risk Management, A Physicist's Approach is here: https://www.worldscientific.com/worldscibooks/10.1142/9003 . The book treats a variety of finance/risk topics, and has a long chapter on Climate Change Risk Management. I believe climate change is the next risk-management frontier, with substantial job opportunities. 

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 (2020) - for contributors and content 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 contains 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. 

Finally, here is my Climate Portal website http://climate.trunity.org/

N.b. I retired from quant finance / risk management in March 2018. 
---------------- 

DASH QUANT-RISK PAPERS ON SSRN

https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=566347

-----------------
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 YangMario 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 YangMario 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 YangHarvey 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  
 
 --------------- 
Last edited by JWD on September 13th, 2020, 2:58 pm, edited 26 times in total.
Jan Dash, PhD

Editor, World Scientific Encyclopedia of Climate Change:
https://www.worldscientific.com/page/en ... ate-change

Book:
http://www.worldscientific.com/doi/abs/ ... 71241_0053
 
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JWD
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Posts: 1311
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Re: Jan DASH - My quant-risk papers on SSRN, PRMIA, Bloomberg Carbon Clock, Book 2nd Ed, Climate Encyclopedia

October 5th, 2019, 12:55 am

See https://www.worldscientific.com/page/encyclopedia-of-climate-change  and https://www.worldscientific.com/worldscibooks/10.1142/11526#t=aboutBook 

World Scientific
ENCYCLOPEDIA OF CLIMATE CHANGE

Case Studies of Climate Risk, Action, and Opportunity


Jan W Dash, Editor

(Forthcoming in 2020)

The Climate Change Encyclopedia is useful for climate change, our outstanding risk and survival issue, requiring action and providing opportunity. Primary-source expert authors write in a unique case-study structure that enables the Encyclopedia to be approachable, informational, and motivational for the public. The key focus areas are Climate Change and Finance, Economics, and Policy, with many other related climate categories included. The over 100 case studies provide realistic and interesting views of climate change, based on authors' published papers, reports, and books, plus climate-related activities of organizations, and selected topics. Authors are scientists, faith leaders, heads of organizations, business leaders, and many others.

CONTENTS

Volume 1: Climate Change: Overview, Finance, Action, Mitigation, Business, Youth, Health, Faith, the Arts, Education, Consensus, Conferences
Volume 2: Climate Change: Economics, Justice, Morality, Food, Technology, Science, Adaptation, Law
Volume 3: Climate Change: Policy, Impacts, Risk Management, Renewable Energy, Electricity, Transportation


CONTRIBUTORS
List of contributors and details of content: see https://www.worldscientific.com/page/encyclopedia-of-climate-change

Last edited by JWD on September 7th, 2020, 11:05 am, edited 3 times in total.
Jan Dash, PhD

Editor, World Scientific Encyclopedia of Climate Change:
https://www.worldscientific.com/page/en ... ate-change

Book:
http://www.worldscientific.com/doi/abs/ ... 71241_0053
 
User avatar
Collector
Posts: 4722
Joined: August 21st, 2001, 12:37 pm

Re: Jan DASH - My quant-risk papers on SSRN, PRMIA, Bloomberg Carbon Clock, Book 2nd Ed, Climate Encyclopedia

October 5th, 2019, 11:36 am

Interesting!  is the statistical distribution in the many tests climate research is based on discussed much in The Climate Change Encyclopedia ?

" In that particular issue, we observed a misuse of significance tests in about three-quarters of the articles; a randomly selected issue published 10 years 

Significance Tests in Climate ScienceAmbaum, American Meteorological Society
 
"We tested a recent, randomly selected issue of the Journal of Climate for at least one instance in each article of misusing a significance test to quantify the validity of some physical hypothesis. The Journal of Climate was not selected because it is prone to include such errors, but because it can safely be considered to be one of the top journals in climate science."

Climatology of Non-Gaussian Atmospheric Statistics Perron and Sura

“A common assumption in the earth sciences is the Gaussianity of data over time. “ "From the results presented here, it is evident that Gaussianity is actually quite rare in the atmosphere. In fact, for daily observations, non-Gaussian statistics are the norm and not an exception. “

"At this point, it is important to note and realize that we only have a very rudimentary physical understanding of why we see the global patterns presented here. In fact, we do not have a fully developed theory of non-Gaussian statistics in the atmosphere. "

 

We deal with very complex systems, and more focus should possibly be put on making more robust (adaptive) systems?
 
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JWD
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Posts: 1311
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Re: Jan DASH: Quant-risk papers SSRN/PRMIA; Crises/RFT; Book; BBG CarbonClock; Climate CARO; Climate Encyclo; Climate Po

September 13th, 2020, 2:57 pm

CLIMATE CARO (Climate Change Academy of Risk and Opportunity)
I believe business will develop a high demand for a new profession: Climate Change Risk and Opportunity Officers. These people will need to know traditional risk management, climate change, and various related topics. I founded a non-profit organization Climate CARO to help persuade universities to offer a MS-level degree for students to meet this upcoming demand. My paper is here:  https://www.scribd.com/document/450633237/Guidelines-for-Competencies-of-Climate-Change-Risk-and-Opportunity-Officers; my talk is here: Talk on Climate CARO
Jan Dash, PhD

Editor, World Scientific Encyclopedia of Climate Change:
https://www.worldscientific.com/page/en ... ate-change

Book:
http://www.worldscientific.com/doi/abs/ ... 71241_0053
 
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Alan
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Joined: December 19th, 2001, 4:01 am
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Re: Jan DASH - My quant-risk papers on SSRN, PRMIA, Bloomberg Carbon Clock, Book 2nd Ed, Climate Encyclopedia

September 16th, 2020, 6:09 pm


World Scientific
ENCYCLOPEDIA OF CLIMATE CHANGE

Case Studies of Climate Risk, Action, and Opportunity


Jan W Dash, Editor


Hey Jan,

First, congratulations on this major project.

Then, an honest question. What is the business case for this encyclopedia from the publisher's point of view? Looking at the contributions, I will guess it's 1000+ pages over three volumes and will retail for many hundreds of dollars. So, is it library sales?
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