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Faculty - Peter Ritchken

Kenneth Walter Haber Professor
Professor, Banking and Finance

Ph.D., Case Western Reserve University, 1981
M.S., University of Cape Town, 1977
B.S., University of Cape Town, 1974
B.S., University of Cape Town, 1973

What determines prices and volatility in capital markets? How do firms manage market risk, interest rate risk, credit risk and operational risk? Why should firms use derivatives? These kinds of questions are at the heart of Peter Ritchken’s studies and teaching. In his search for answers, his work includes asset pricing models, pricing interest rate and credit derivatives, modeling volatility, and studying banking regulation.

Interests

Teaching

Risk Management; Derivatives; Fixed Income, Mortgage and Credit Markets; Mathematical Finance; Investment Management; Real Options; Quantitative Finance.

Research

Fixed Income and Term Structure Models; Risk Management in Financial Markets; Contingent Claims Valuation; Real Options; Risk Management in Supply Chains; Credit Risk management, Capital Structture

Selected Publications

  • Babich, V., Li, H., Ritchken, P. H., Wang, Y. (2012). Contracting with Asymmetric Demand Information in Supply Chains (vol. 217, issue 2, pp. 333-341). European Journal of Operational Research.
  • Haubrich, J., Pennacchi, G., Ritchken, P. H. (2011). Inflation Expectations, Real Rates, and Risk Premia: Evidence from Inflation Swaps Review of Financial Studies .
  • Ritchken, P. H., Berndt, A., Sun, Z., , . (2010). On Correlation and Default Clustering in Credit Markets Review of Financial Studies .
  • Ritchken, P. H. (2010). On Correlation Effects and Systemic Risk in Credit Markets (vol. 23, issue 1, pp. 2680-2729). Review of Financial Studies .
  • Ritchken, P. H., Duan, J., Sun, Z. (2006). Approximating GARCH-Jump models, Jump Diffusion Processes and Option Pricing (pp. 21-52). Mathematical Finance.
  • Ritchken, P. H., Krishnan, C., Thomson, J. On Forecasting Credit Spreads Journal of Financial Intermediation .
  • Ritchken, P. H., Petkova, R., Krishnan, C. Pricing of Correlation Risk

Academic and Professional Activities

  • Faculty Advisor, GARP Faculty Director , 2010 - Present

Awards

  • WSOM Teaching Excellence Award, WSOM. (2011).