Dan Galai

Education

• Ph.D. University of Chicago, 1975

Publications

Books and Monographs

• Galai, D. and L. Hillel, 2003,The Business Plan Process, Technological Options Publishing (Hebrew), 160 pages, Third Edition. First Edition 1989, Second Edition 1992.
• Crouhy, M., Galai, D., & Mark, R. (forthcoming, May, 2000).Risk Management, McGraw-Hill.
• Galai, D.,Ruthenberg, D., Sarnat, M. & Schreiber, B. (1999).Risk Management and Regulation in Banking, Kluwer.
• Aviran, R. & Galai, D. (1996).Aspects of Short Selling, The Kassirer Institute (Hebrew).
• Bessis, J., Galai, D., Hillel, L. (1993).Business Plan, Edition Nathan (French).
• Galai, D. (1991).Options and Futures in the Israeli Financial Market(ed.) The Floersheimer Institute for Policy Studies, (Hebrew).
• Galai, D. & Hillel, L. (1989).The Business Plan Process, Tel Aviv: Technological Options Publishing, Second edition, Sept.1992, (Hebrew).
• Goldman, J., Galai, D. & Toren, N. (1977).Report on Government Supported Industrial Research Institutes, Jerusalem: Jerusalem Institute of Management.
• Galai, D. (1971).The Process of Decision Making in Investment in Research and Development: Case Study: The Pharmaceutical Industry in Israel, Council for Research and Development (Israel), (Hebrew).

Articles

• Galai, D., M. Crouhy and R. Mark, 2000, "One firm, One View",Risk (Enterprise- wide Risk Management Special Report). u>.
• Galai, D., M. Crouhy and R. Mark ,2001, "Model Selection for Operational Risk," in Advances inOperational Risk, Risk Books, pp. 163-197. u>.
• Galai, D., M. Crouhy and R. Mark, 2002, "Internal Risk Rating Systems", inM.K. Ong, ed., Credit Ratings, Methodologies, Rationale and Default Risk, Risk Books, pp. 369-390. u>.
• Galai, D. and Z. Wiener, 2003, "Government Support of Investment Projects in the Private Sector: A Micro-Economic Approach",Financial Management, 32:3, pp. 33-50. u>.
• Galai, D., M. Crouhy and R. Mark, "The Use of Internal Models: Comparison of the New Basel Credit Proposal with Available Internal Models for Credit Risk", inHal Scott ed., Capital Adequacy Beyond Basel: Banking, Securities and Insurance, Oxford University Press (forthcoming). u>.
• Brenner, M., Crouhy, M. & Galai, D. (2001). The Y2 Enigma, forthcoming in S. Figlewski (ed.),Kluwer.
• Crouhy, M. & Galai, D. (2000). Operational Risk, inProfessional's Handbook of Financial Risk Management, chapter 12, pp. 342- 376. Editors: Marc Lore and Lev Borodovsky, Butterworth-Heinemann.
• Crouhy, M., Galai, D. & Mark, R. (2000). The New Capital Adequacy Framework and the Need for Consistent Risk Measures for Financial Institutions, in L. Jacque (ed.),Financial Innovations and the Welfare of Nations, reprinted inthe Journal of Banking and Finance, 2000.
• Crouhy, M., Galai, D. & Mark, R. (2000). A Comparative Analysis of Current Credit Risk Models,Journal of Banking and Finance, Vol. 24, No. 1-2, (Jan. 2000), pp. 59- 117.
• Galai, D., Shapira, Z. & Venezia, I. (2000). Exclusive vs. Independent Agents: A Separating Equilibrium Approach,Journal of Economics Behavior and Organization.
• Crouhy, M., Galai, D. & Mark, R. (1999). Evaluating Credit Risk: An Option Pricing Approach,Risk Management and Regulation in Banking, Ch. 5 (ed., Galai, Ruthenberg, Sarnat and Schrieber), Kluwer Publishers (1999), pp. 99- 114.
• Crouhy, M., Galai, D. & Mark, R. (1999). A Comparison between the BIS 'Standardized Approach' and the 'Internal Models Approach', inRisk Management and Regulation in Banking, chapter 4, 65- 98, (Editors: Galai, Ruthenberg, Sarnat and Schreiber), Kluwer Publishers, 1999.
• Crouhy, M., Galai, D. & Mark, R. (1998). The New 1998 Regulatory Framework for Capital Adequacy: Standardized Approach vs. Internal Models',Net Exposure (The Electronic Journal of Financial Risk), Issue 4 (Jan. 1998), also reprinted inRisk Management and Analysis-Measuring and Modelling Financial Risk(ed. by C. Alexander), John Wiley & Sons (1998), pp. 1–37.
• Crouhy, M., Galai, D. & Mark, R. (1998). Credit Risk Revisted,Risk(Credit Risk Supplement), (March, 1998), pp. 40–44, also reprinted inCredit Risk: Models and Management(ed. By I. Shimko), Risk Book (1999).
• Crouhy, M., Galai, D. & Mark, R. (1998). Model Risk,Journal of Financial Engineering, (1998), Vol. 7 (3/4), pp.267- 288, reprinted inModel Risk: Concepts, Calibration and Pricing, (ed. R. Gibson), Risk Book, 2000, pp. 17- 31.
• Crouhy, M., Galai, D. & Mark, R. (1998). Key Steps in Building Consistent Operational Risk Measurement and Management, Ch. 3 inOperational Risk and Financial Institutions, Risk Books (1998), pp. 45- 62.
• Aviram, R. & Galai, D. (1998). Economic Aspects of Short Selling,Bank of Israel Review of Banking(in Hebrew).
• Galai, D. (1998). Taxes, M-M Propositions and Government's Implicit Cost of Capital in Investment Projects in the Private Sector,European Financial Management, Vol. 4, No. 2 (July 1998).
• Brenner, M. & Galai, D. (1997). Options on Volatility, inOption Embedded Bonds, I. Nelken (ed.), Irwin Professional Publishing, pp.273–286.
• Bensoussan, A., Crouhy, M. & Galai, D. (1997). Black-Scholes Appproximation of Complex Option Values: The Cases of European Compound Call Options and Equity Warrants, inOption Embedded Bonds, I. Nelken (ed.) Irwin Professional Publishing, pp. 127–154.
• Aviram, R. & Galai, D. (1997). Tax Aspect of Short Selling,Tax Quarterly(Hebrew).
• Crouhy, M., Galai, D. & Mark, R. (1997). What's in the Name,Risk(Nov. 1997).
• Aviram, R. & Galai, D. (1996). Accounting Aspects of Short Selling,Roeh Ha'Heshbon(Hebrew), pp. 636–645.
• Galai, D. & Levy, H. K. (1996). Behavior of Stock Prices on the Tel-Aviv Stock Exchange: Comparison of the Distribution of Daily Rates of Return Among Different Days 1986-7,Bank of Israel Economic Review, (Hebrew), Vol. 69 (May, 1995), pp. 75–91, English translation appeared inBank of Israel Economic Review, 69, pp. 71–87.
• Crouhy, M. & Galai, D. (1995). Hedging with a Volatility Term Structure,The Journal of Derivatives(Spring, 1995), pp. 45–52.
• Bensoussan, A., Crouhy, M. & Galai, D. (1995). Stochastic Equity Volatility Related to the Leverage Effect II: Valuation of European Equity Options and Warrants,Applied Mathematical Finance, Vol. 2, pp. 43-59.
• Galai, D. & Ilan, Y. (1995). Economic Evaluation of Remuneration from Patents and Technology Transfers,International Review of Financial Analysis, Vol. 4, No. 2, pp.85–99.
• Bensoussan, A., Crouhy, M. & Galai, D. (1995). Black-Scholes Approximation of Warrant Prices,Advances in Futures and Options Research, pp. 1–14.
• Bensoussan, A., Crouhy, M. & Galai, D. (1994). Stochastic Volatility Related to the Leverage Effect I: Equity Volatility Behavior,Applied Mathematical Finance, Vol. 1, No. 1 (1994) pp. 63-85.
• Bensoussan, A., Crouhy, M. & Galai, D. (1994). Stochastic Equity Volatility and the Capital Structure of the Firm,Philosophical Transactions of the Royal Society of London, Series A. Vol. 347, pp. 531–541.
• Crouhy, M. & Galai, D. (1994). The Interaction Between the Financial and Investment Decisions of the Firm: The Case of Issuing Warrants in a Levered Firm,Journal of Banking and Finance, Vol. 18, pp. 861-880.
• Bagley, C., Galai, D. & Hauser, S. (1993). Predicting the Value of Foreign Currency Call Option with Constant Elasticity of Variance Diffusion Process,The International Review of Financial Analysis, Vol. 2.
• Galai, D. (1993). The Social Welfare Aspects and Market Inpact of Options Trading: The Lessons for Israel,Bank of Israel Review of Banking, Vol. 11, (Feb. 1993), pp. 55–64.
• Brenner, M. & Galai, D. (1993). Hedging Volatility in Foreign Currencies,The Journal of Derivatives. Vol. 1, No. 1 (Fall, 1993) pp. 53–59.
• Crouhy, M. & Galai, D. (1992). The Settlement Day Effect in the French Bourse,Journal of Financial Services Research, (1992), pp. 417–439.
• Galai, D. & Sarnat, M. (1992). The Case for Capital Reform in Israel,The Economic Review, (Hebrew), Vol. 154 (Dec., 1992), pp. 288–304.
• Galai, D. (1991). Inferring Volatility from Option PricesFinance, Vol. 12, No.1 (June, 1991) pp. 45-64.
• Crouhy, M. & Galai, D. (1991). Common Errors in the Valuation of Warrants and Options on Firms with Warrants,Financial Analysts Journal, pp. 89–90.
• Crouhy, M. & Galai, D. (1991). Warrant Valuation and Equity Volatility,Advances in Futures and Options Research, Vol. 5, pp. 203–215.
• Crouhy, M. & Galai, D. (1991). A Contingent Claim Analysis of a Regulated Depository Institution,Journal of Banking and Finance, Vol. 15, pp. 73-90.
• Galai, D. (1990). Comments on Optimal Replication of Contingent Claims under Transaction Costs',The Review of Futures Markets, Vol. 8, No.2.
• Galai, D. (1989). Financial Innovations: A Survey of New Financial Instruments in Foreign Currency Market,The Economic Quarterly, pp. 243-251, Oct. 1989 (Hebrew).
• Galai, D. (1989). A Note on Equilibrium Warrant Pricing Models and Accounting for Executives Stock Options',Journal of Accounting Research, Vol. 27, No. 2, (Autumn, 1989), pp. 263-265.
• Brenner, M. & Galai, D. (1989). New Financial Instruments for Hedging Changes in Volatility,Financial Analysts Journal, (July/August 1989) pp. 61-65.
• Galai, D. (1989). Testing the Arbitrage Conditions for Option Pricing - A Survey,Financial Markets and Portfolio Management, pp. 16-27.
• Galai, D. (1988). Corporate Income Taxes and the Valuation of Claims on the Corporation,Research in Finance, Vol. 7, pp. 75-90.
• Brenner, M. & Galai, D. (1987). On the Prediction of the Implied Standard Deviation,Advances in Futures and Options Research, Vol. 2, pp. 167-177.
• Galai, D. (1987). A Renewed Proposal for the Bank Shares Arrangement,Quarterly Banking Review, Vol. 26, No. 101 (Hebrew) September 1987, pp. 90-92 and 130-133.
• Brenner, M. & Galai, D. (1986). Implied Interest Rates,Journal of Business, (July, 1986), pp. 493-507.
• Crouhy, M. & Galai, D. (1986). An Economic Assessment of Capital Requirements in the Banking Industry,Journal of Banking and Finance(June, 1986), pp. 231–241.
• Galai, D. (1985). A Proposal for the Frozen Bank Shares,Quarterly Banking Review, Vol. 24, No. 94 (Hebrew) (November, 1985), pp. 54-60.
• Brenner, M. & Galai, D. (1985). The Capital Market and the Stock Exchange in Israel, The Economic Quarterly (Hebrew) (Dec. 1985), pp. 354–360.
• Brenner, M. & Galai, D. (1984). A Note on Measuring the Risk of Common Stocks Implied by Options Prices,Journal of Financial and Quantitative Analysis(December 1984), pp. 403–412.
• Brenner, M. & Galai, D. (1984). Macro Economic Aspects of the Bank Shares' Crises,The Economic Quarterly, (Hebrew) (February 1984), pp. 909-914.
• Galai, D., Geske, R. (1984). Option Performance Measurement,Journal of Portfolio Management,pp. 42-46.
• Brenner, M. & Galai, D. (1984). The Effect of Inflation on the Rate of Return on Common Stocks in an Inflation Intensive Capital Market: The Israeli Case 1965-1979, in E. Marcus (ed.),Inflation Through the Ages: Economic, Social, Psychological and Historical Aspects, Brooklyn College Press.
• Copeland, T. & Galai, D. (1983). Information Effects on the Bid-Ask Spread,Journal of Finance, Dec. 1983, pp. 1453-69.
• Galai, D. (1983). The Valuation of Optional Bonds and Estimation of the Long-Term Nominal Interest Rate in Israel from 1966 to 1971,Bank of Israel Review of Banking, (May 1983), pp. 25-41.
• Galai, D. (1983). Survey of Empirical Testing of Option Pricing Models, inOption Pricing: Theory and Applications, Brenner, M. (ed.), Lexington-Heath, (Mass.), pp. 45-80.
• Galai, D. (1983). Pricing of Optional Bonds,Journal of Banking and Finance, Vol. 7, pp. 323–337.
• Galai, D. (1983). The Components of the Return From Hedging Options Against Stocks,The Journal of Business, Vol. 56, No. 1 (January 1983), pp. 45-54.
• Galai, D. (1982). The Effect of Inflation on Stock Yields, 1965-1979 (Update),Bank of Israel Economic Review, No. 53 (May 1982).
• Galai, D. (1980). The Perceived Bottlenecks in Developing Science-Based Industries in Israel,R&D Management, (June 1980), pp. 119-123.
• Brenner, M. & Galai, D. (1979). The Effect of Inflation on the Rate on Common Stocks in Israel: 1965-1974,Bank of Israel Economic Review, Vol. 48-49 (January 1979) (Hebrew and English).
• Galai, D. (1979). A Proposal for Indexes for Traded Call Options,Journal of Finance, Vol. 34, No. 5 (December 1979), pp. 1157-1172.
• Galai, D. (1979). A Convexity Test for Traded Options,Quarterly Review of Business and Economics, Vol. 19, No. 2 (Summer 1979), pp. 83-90.
• Bachrach, B. & Galai, D. (1979). The Risk-Return Relationship and Stock Prices,Journal of Financial and Quantitative Analysis, Vol. 14, No. 2 (June 1979), pp. 421-441.
• Brenner, M. & Galai, D. (1978). The Empirical Relationship Between Inflation and Financial Assets' Returns in an Inflation Intensive Capital Market, in Sarnat, M. (ed.)Inflation and Capital Markets, Ballinger, Cambridge, Ma, pp. 3-35.
• Galai, D. (1978). Empirical Tests of Boundary Conditions for CBOE Options,Journal of Financial Economics, Vol 6, pp. 187-211.
• Brenner, M. & Galai, D. (1978). The Determinants of the Return on Index Bonds,Journal of Banking and Finance, Vol. 2 (June 1978), pp. 47-64.
• Galai, D. & Toren, N. (1978). The Determinants of the Potential Effectiveness of Government Supported Industrial Research Institutes,Research Policy, Vol. 7 (1978), pp. 362-382.
• Schneller, M. & Galai, D. (1978). Pricing of Warrants and the Value of the Firm,Journal of Finance, Vol. 33, No. 5 (December 1978), pp. 1333-1342.
• Galai, D. (1978). The Value of Future Contingent Obligation: The Case of the Obligation of The First International Bank of Israel' to Merav's Stockholders,Economic Quarterly(Hebrew), (April 1978), pp. 140-146.
• Galai, D. (1978). On the Boness and Black-Scholes Models for Valuation of Call Options,Journal of Financial and Quantitative Analysis, March 1978, pp. 15-27.
• Galai, D. (1977). Characterization of Options,Journal of Banking and Finance, Vol. 1, No. 4, (December 1977),pp. 373-85.
• Galai, D. (1977). Test of Market Efficiency of the Chicago Board Options Exchange,Journal of Business, Vol. 50, No. 2, (April 1977), pp. 167-197.
• Galai, D. (1976). Policy Implications of Full-Loss-Offset Capital Gains Tax on Forward Contracts,Journal of Political Economy, Vol. 84, No. 6, (December 1976), pp. 1313-1318.
• Galai, D. & Masulis, R. (1976). The Option Pricing Model and the Risk Factor of Stock,Journal of Financial Economics, Vol. 3, No. 1-2, (January-March 1976), pp. 53-81. Reprinted in Lee, C.F. (ed.)Financial Analysis and Planning, Addison Wesley, 1983.
• Galai, D. (1975). A Note on Cord's Method of Allocating Funds to Investment Projects,Management Science/Application, (August 1975), pp. 1466-70.
• Galai, D. & Gould, J. (1974). Transaction Costs and the Relationship Between Put and Call Prices,Journal of Financial Economics, Vol. 1, No. 2, (June 1974), pp. 105-129.