Publications
Publications
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- All HBS Web
(117,424)
- Faculty Publications (154)
- 2008
- Working Paper
New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability
By: Dale F. Gray, Robert C. Merton and Zvi Bodie
This paper proposes a new approach to improve the way central banks can analyze and manage the financial risks of a national economy. It is based on the modern theory and practice of contingent claims analysis (CCA), which is successfully used today at the level of... View Details
- December 2007
- Article
Applying Modern Risk Management to Equity and Credit Analysis
By: Robert C. Merton
Traditional conventions of accounting and actuarial science distort the valuation of capital risk in corporations with pension plans because under these conventions, pension assets and liabilities are not included in balance sheet calculations. The modern risk... View Details
- 2007
- Working Paper
New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability
By: Dale F. Gray, Robert C. Merton and Zvi Bodie
This paper proposes a new approach to improve the way central banks can analyze and manage the financial risks of a national economy. It is based on the modern theory and practice of contingent claims analysis (CCA), which is successfully used today at the level of... View Details
- Fourth Quarter 2007
- Article
Contingent Claims Approach to Measuring and Managing Sovereign Credit Risk
By: Dale . F. Gray, Robert C. Merton and Zvi Bodie
This paper proposes a new approach to measure, analyze, and manage sovereign risk based on the theory and practice of modern contingent claims analysis (CCA). The paper provides a new framework for adapting the CCA model to the sovereign balance sheet in a way that can... View Details
- winter 2006
- Article
Allocating Shareholder Capital to Pension Plans
By: Robert C. Merton
- 2006
- Working Paper
A New Framework for Analyzing and Managing Macrofinancial Risks of An Economy
By: Dale F. Gray, Robert C. Merton and Zvi Bodie
- July 2006
- Article
Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan?
By: Li Jin, Robert C. Merton and Zvi Bodie
- 2006
- Book
The Derivatives Sourcebook
By: Terence Lim, Andrew W. Lo, Robert C. Merton and Myron S. Scholes
Keywords: Books
- January 6, 2006
- Editorial
Made to Measure Is the Best Fit for Future Pensions
By: Roberto G. Mendoza and Robert C. Merton
- Article
A Proposal for Expensing Employee Compensatory Stock Options for Financial Reporting Purposes
By: Peter Hancock, Roberto G. Mendoza and Robert C. Merton
- February 2005
- Article
Swapping Your Country's Risks
By: Robert C. Merton
Keywords: Risk and Uncertainty
- First Quarter 2005
- Article
The Design of Financial Systems: Towards a Synthesis of Function and Structure
By: Robert C. Merton and Zvi Bodie
- 2004
- Working Paper
Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan?
By: Li Jin, Robert C. Merton and Zvi Bodie