Sanjiv Ranjan Das

Santa Clara University -- Finance Department
Leavey  School of Business
208J Kenna Hall
500 El Camino Real
Santa Clara, CA  95053-0388
USA

• New York University, Ph.D in Finance, September 1994.
• Prior to joining the SCU faculty in 2000, Professor DAs taught at University of California, Berkeley, and Harvard Graduate School of Business. In addition, he worked as Vice President or Citibank N.A. Dr. Das's research interests include performance and regulation of mutual funds, portfolio choice, computational finance, and auction theory.

Publications: that are posted on DefaultRisk.com

Credit Modeling

Correlated Default Modeling with a Forest of Binomial Trees
by Santhosh Bandreddi of the University of California Berkeley,
Sanjiv Das of Santa Clara University, and
Rong Fan of Credit Suisse First Boston
(239K PDF) –- 34 pages -- April 6, 2006

Credit Derivatives

Accounting-Based versus Market-Based Cross-Sectional Models of CDS Spreads
by Sanjiv R. Das of Santa Clara University,
Paul Hanouna of Villanova University, and
Atulya Sarin of Santa Clara University
(531K PDF) -- 40 pages -- November 8, 2007

A Direct Approach to Arbitrage-Free Pricing of Credit Derivatives
by Sanjiv Ranjan Das of Harvard University, and
Rangarajan K. Sundaram of New York University
(307K PDF) -- 27 pages -- November 1998

Acharya, Viral V., Sanjiv Ranjan Das, and Rangarajan K. Sundaram.  "Pricing Credit Derivatives with Rating Transitions", Financial Analysts Journal, (May/June 2002), pp. 28-44.  [Abstract]

Das, Sanjiv Ranjan, "Credit Risk Derivatives", Journal of Derivatives, Vol. 2, No. 3, (Spring 1995), pp. 7-23.  [Abstract]

Credit Correlation

Common Failings: How Corporate Defaults are Correlated
by Sanjiv R. Das of Santa Clara University,
Darrell Duffie of Stanford University,
Nikunj Kapadia of the University of Massachusetts, Amherst, and
Leandro Saita of Lehman Brothers
(255K PDF) -– 26 pages -- February 2007

Correlated Default Risk
by Sanjiv R. Das of Santa Clara University
Laurence Freed of Bear Sterns,
Gary Geng of Amaranth Group, Inc., and
Nikunj Kapadia of the University of Massachusetts
(358K PDF) -- 43 pages -- October 2005

Correlated Default Processes: A Criterion-Based Copula Approach
by Sanjiv R. Das of Santa Clara University, and
Gary Geng of Gifford Fong Associates
(359K PDF) -- 37 pages -- February 2004

Das, Sanjiv R., Gifford Fong, and Gary Geng, "Impact of Correlated Default Risk on Credit Portfolios", The Journal of Fixed Income, Vol. 11, No. 3, (December 2001), pp. 9-19.  [Abstract]

Recovery Rates

Implied Recovery
by Sanjiv R. Das of Santa Clara University, and
Paul Hanouna of Villanova University
(476K PDF) –- 41 pages -- March 2007

Other

An Integrated Model for Hybrid Securities
by Sanjiv R. Das of Santa Clara University, and
Rangarajan K. Sundaram of New York University
(483K PDF) -- 32 pages -- October 2006

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