Michael Imerman joined the Perella Department of Finance in 2012. Previously he was a Postdoctoral Research Associate at Princeton University. Professor Imerman taught for several years in the Rutgers Business School while pursuing his doctorate. His research and teaching interests include credit risk modeling, banking and financial institutions, risk management, and derivatives.
Dr. Imerman has presented his research internationally and has been invited to speak at the Federal Reserve, the SEC, and some of the most prestigious banking and risk management conferences. Before coming to academia, Imerman worked as an analyst on Wall Street supporting bond and credit derivative trading desks.
- "What does the volatility risk premium say about liquidity provision and demand for hedging tail risk?" with Jianqing Fan and Wei Dai, forthcoming, Journal of Business and Economics Statistics
- "Liquidity, Leverage, and Lehman: A Structural Analysis of Financial Institutions In Crists" with Ren-Raw Chen, N.K. Chidambaran, and Ben J. Sopranzetti, Journal of Banking and Finance, Vol. 45, pp. 117-139
- "Self-reporting under SEC Reg AB and transparency in securitization: evidence from loan-level disclosure of risk factors in RMBS deals" with Joseph R. Mason and Hong Lee, 2014, Journal of Risk Finance, Vol. 15(4), pp.334-384
- "Structural Credit Risk Models: Endogenous Versus Exogenous Default," Encyclopedia of Finance, 2nd Edition, 2013, C.F. Lee and Alice C. Lee, Eds.
- "When Enough is Not Enough: Structural Credit Risk Based Estimation of Bank Capital"
- "Is mathematics able to give insight into current questions in finance, economics and politics?" with Larry Shepp