Elena Goldman

Elena Goldman is a Professor of Finance and Economics at the Lubin School of Business at Pace University. Her research and teaching are in the fields of Financial Econometrics, Bayesian Econometrics, Risk Management, and International Finance. She currently serves on the Education Committee at the Professional Risk Managers' International Association. Goldman was a fellow at the Securities and Exchange Commission in 2016. She holds a Ph.D. in Economics from Rutgers University.

Articles by Elena Goldman

Original research

Procyclicality mitigation for initial margin models with asymmetric volatility

In this paper, we explore the procyclicality of initial margin requirements based on VaR volatility models.We suggest procyclicality can be reduced using a three-regime model rather than using ad hoc tools.

29 Apr 2020

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