Moise, Claudia
Assistant Professor of Banking & Finance
Case Western Reserve University
Weatherhead School of Management
10900 Euclid Avenue, 365 Peter B. Lewis Bldg
Cleveland, OH 44106
tel.: 216-368-4778
fax: 216-368-6249
e-mail: claudia.moise@case.edu
http://faculty.weatherhead.case.edu/moise/
Vita
Education:
- PhD in Finance and Econometrics, University of Chicago
Booth School of Business, 2006
- MBA in Analytical Finance and Econometrics, University
of Chicago Booth School of Business, 2005
- MS in Statistics, University of South Carolina, 1997
- MS in Mathematics (Stochastic Calculus), University of
Bucharest, Romania, 1991
- BS in Mathematics, University of Bucharest, Romania,
1990
- Education Program Abroad (International Finance and
Banking), Institute for Advanced Studies and The University of Technology,
Vienna, Austria, Fall 1994
Research Interests:
- Empirical Asset Pricing
- Market Microstructure
- Financial Econometrics
- Banking
Business Experience:
- PGA Funds, CBOT, Chicago, IL
- Fixed Income Quantitative Research Department at
Deutsche Bank / Zurich Scudder Inc., Chicago, IL
- Analytical Consulting and Testing Department at Information
Resources Inc., Chicago, IL
- Research and Computing Department at Abbott Labs,
Chicago, IL
- Economic Research Department at the National Commission
for Statistics, Bucharest, Romania
Manuscripts Under Review:
- Volatility Pricing in the Stock and Treasury Markets
- The Joint Pricing of Volatility and Liquidity (with
Jeff Russell
-
Intensity of Volatility Linkages in Islamic and Conventional Markets (with Shumi Akhtar, Maria Jahromi, and Kose John)
- Myopic Extrapolation, Price Momentum, and Price Reversal (with Long Chen and Shelly Zhao)
Working Papers:
- Banks and Financial Crises
- Short Sells and the Financial Crisis (with Ekkehart Boehmer)
- Stochastic Volatility Risk and the Size Anomaly
Permanent Working Paper:
- Is Market Volatility Priced?, 2002
Work in Progress:
- Volatility and Systemic Risk
-
Market Volatility Surprises (with Mark Grinblatt)