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Risk Management eJournal
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Showing Papers 1 - 50 of 8,452
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Incl. Electronic Paper Optimal Trading Rules Without Backtesting
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: September 29, 2014
Working Paper Series
26 downloads

Incl. Electronic Paper Volatility of Aggregate Volatility and Hedge Fund Returns
Vikas Agarwal , Yakup Eser Arisoy and Narayan Y. Naik
Georgia State University , Université Paris-Dauphine - DRM-CEREG and London Business School - Institute of Finance and Accounting
Date Posted: September 29, 2014
Working Paper Series
16 downloads

Incl. Electronic Paper Investor Composition and Return Approximation
International Journal of Management Research and Review (IJMRR), Vol. 4, Issue 3, March 2014
Amitesh Kapoor
Lovely Professional University
Date Posted: September 28, 2014
Accepted Paper Series
4 downloads

Incl. Electronic Paper From the Samuelson Volatility Effect to a Samuelson Correlation Effect: Evidence from Crude Oil Calendar Spread Options
Lorenz Schneider and Bertrand Tavin
EMLYON Business School and EMLYON Business School
Date Posted: September 27, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Liquidity Dynamics Around Jumps. The Evidence from the Warsaw Stock Exchange
Barbara Bedowska-Sojka
Poznan University of Economics - Faculty of Informatics and Electronic Economy
Date Posted: September 27, 2014
Working Paper Series
8 downloads

Incl. Fee Electronic Paper Admissibility of Generic Market Models of Forward Swap Rates
Mathematical Finance, Vol. 24, Issue 4, pp. 728-761, 2014
Libo Li and Marek Rutkowski
University of Sydney and University of Sydney - School of Mathematics and Statistics
Date Posted: September 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Arbitrage Bounds for Prices of Weighted Variance Swaps
Mathematical Finance, Vol. 24, Issue 4, pp. 821-854, 2014
Mark Davis , Jan Obłój and Vimal S Raval
Imperial College London , University of Oxford and Imperial College London - Department of Mathematics
Date Posted: September 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Closed Form Pricing Formulas for Discretely Sampled Generalized Variance Swaps
Mathematical Finance, Vol. 24, Issue 4, pp. 855-881, 2014
Wendong Zheng and Yue Kuen Kwok
Hong Kong University of Science & Technology - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Date Posted: September 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Liquidation in Limit Order Books with Controlled Intensity
Mathematical Finance, Vol. 24, Issue 4, pp. 627-650, 2014
Erhan Bayraktar and Michael Ludkovski
University of Michigan at Ann Arbor - Department of Mathematics and University of California, Santa Barbara
Date Posted: September 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Optimal Liquidation in a Limit Order Book for a Risk‐Averse Investor
Mathematical Finance, Vol. 24, Issue 4, pp. 696-727, 2014
Arne Løkka
London School of Economics & Political Science (LSE)
Date Posted: September 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Optimal Trade Execution and Price Manipulation in Order Books with Time‐Varying Liquidity
Mathematical Finance, Vol. 24, Issue 4, pp. 651-695, 2014
Antje Fruth , Torsten Schöneborn and Mikhail Urusov
Technical University Berlin , Deutsche Bank AG and University of Ulm - Department of Mathematics and Economics
Date Posted: September 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Pricing Swaptions Under Multifactor Gaussian HJM Models
Mathematical Finance, Vol. 24, Issue 4, pp. 762-789, 2014
João Pedro Vidal Nunes and Pedro Miguel Silva Prazeres
ISCTE Business School and Bank of Portugal
Date Posted: September 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Swaption Pricing in Affine and Other Models
Mathematical Finance, Vol. 24, Issue 4, pp. 790-820, 2014

Date Posted: September 24, 2014
Accepted Paper Series

Incl. Electronic Paper Efficient Versus Inefficient Hedging Strategies in the Presence of Financial and Longevity (Value at) Risk
Insurance: Mathematics and Economics, Vol. 55, 2014, Carlo Alberto Notebooks, n.308, October 2013
Luca Regis
IMT Institute for Advanced Studies
Date Posted: September 24, 2014
Working Paper Series
13 downloads

Detecting Superior Mutual Fund Managers: Evidence from Copycats
Review of Asset Pricing Studies, Forthcoming
Blake Phillips , Kuntara Pukthuanthong and P. Raghavendra Rau
University of Waterloo , University of Missouri, Columbia and University of Cambridge
Date Posted: September 24, 2014
Accepted Paper Series

Incl. Electronic Paper Capital Structure and Financial Flexibility: Expectations of Future Shocks
Costas Lambrinoudakis , Michael Neumann and George S. Skiadopoulos
University of Piraeus - Department of Banking and Financial Management , Queen Mary, University of London - School of Economics and Finance and University of Piraeus
Date Posted: September 21, 2014
Working Paper Series
18 downloads

Incl. Electronic Paper Political Uncertainty and Corporate Tax Avoidance: Evidence from National Elections around the World
Qingyuan Li , Edward L. Maydew , Richard H. Willis and Li Xu
Wuhan University - School of Economics and Management , University of North Carolina at Chapel Hill , Vanderbilt University - Owen Graduate School of Management and Washington State University
Date Posted: September 20, 2014
Working Paper Series
47 downloads

Incl. Electronic Paper Retirement Risk, Rising Equity Glidepaths, and Valuation-Based Asset Allocation
Michael E. Kitces and Wade D. Pfau
The Kitces Report & Nerd's Eye View and The American College
Date Posted: September 18, 2014
Working Paper Series
692 downloads

Incl. Electronic Paper The Mckesson Canada Decision: Further Guidance on the Transfer Pricing of Debt Factoring Arrangements
Transfer Pricing International Journal 2014, Forthcoming
Danny Beeton , Murray Clayson and Rupert Macey-Dare
Freshfields , Freshfields Bruckhaus Deringer - Freshfields Bruckhaus Deringer LLP and University of Oxford - Saint Cross College
Date Posted: September 17, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Risk Profiles for Re-Profiling the Sovereign Debt of Crisis Countries
The Wharton School Financial Institutions Centre Research Paper No. 14-14
Andrea Consiglio and Stavros A. Zenios
University of Palermo and University of Cyprus
Date Posted: September 17, 2014
Last Revised: September 19, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper Basel III, Ownership Concentration, Risk-Taking, and Capital Stability: Evidence from Asia
Pichaphop Chalermchatvichien , Seksak Jumreonwong and Pornsit Jiraporn
Bank of Thailand , Thammasat University and Pennsylvania State University - School of Graduate Professional Studies (SGPS)
Date Posted: September 15, 2014
Working Paper Series
35 downloads

Incl. Electronic Paper Analytic Approximation for Prices of American Options, Time-Dependent Settings, Proportional and Discrete Dividends: The Decoupled Volatility Framework
Yuriy Shkolnikov
Optimal Selection Ltd.
Date Posted: September 14, 2014
Working Paper Series
24 downloads

Incl. Electronic Paper Factor Structure in Commodity Futures Return and Volatility
Rotman School of Management Working Paper No. 2495779
Peter Christoffersen , Asger Lunde and Kasper Vinther Olesen
University of Toronto - Rotman School of Management , University of Aarhus - School of Economics and Management and CREATES
Date Posted: September 14, 2014
Working Paper Series
64 downloads

Incl. Electronic Paper Bank Liability Structure
Suresh M. Sundaresan and Zhenyu Wang
Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business
Date Posted: September 14, 2014
Last Revised: September 26, 2014
Working Paper Series
55 downloads

Incl. Electronic Paper The Expected Return of Fear
Ing-Haw Cheng
Dartmouth College - Tuck School of Business
Date Posted: September 13, 2014
Last Revised: September 30, 2014
Working Paper Series
119 downloads

Incl. Electronic Paper Does Aggregate Uncertainty Explain Size and Value Anomalies?
Sofiane Aboura and Yakup Eser Arisoy
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG) and Université Paris-Dauphine - DRM-CEREG
Date Posted: September 13, 2014
Working Paper Series
45 downloads

Transfer Pricing and 3 Group-Effect Risk Adjustments to Fair Market Comparators
Rupert Macey-Dare
University of Oxford - Saint Cross College
Date Posted: September 12, 2014
Working Paper Series

Incl. Electronic Paper Evaluación De Los Márgenes Requeridos En Un Mercado De Derivados De Energía Eléctrica (Evaluation of the Requiered Margins in a Derivates Electric Energy Market)
Center for Research in Economics and Finance (CIEF), Working Papers, No. 14-10
Kelly Maradey Angarita Sr. , Javier Pantoja and Alfredo Trespalacios
Universidad EAFIT , Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF) and Universidad EAFIT
Date Posted: September 12, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper Foreign Central Bank Activities in U.S. Futures Markets
Raymond P.H. Fishe , Michel A. Robe and Aaron Smith
University of Richmond - E. Claiborne Robins School of Business , American University - Kogod School of Business and University of California, Davis - Department of Agricultural and Resource Economics
Date Posted: September 12, 2014
Working Paper Series
16 downloads

Incl. Electronic Paper Is Risk Higher During Non-Trading Periods? Tail Risk Evidence from Overnight Market Returns
Christoph Riedel and Niklas Wagner
University of Passau and Passau University
Date Posted: September 12, 2014
Working Paper Series
24 downloads

Incl. Electronic Paper Do Stock Markets Price Ex-Ante Skewness? New Quantile Regression-Based Evidence
Kevin Aretz and Yakup Eser Arisoy
Manchester Business School and Université Paris-Dauphine - DRM-CEREG
Date Posted: September 11, 2014
Last Revised: September 12, 2014
Working Paper Series
60 downloads

Incl. Electronic Paper Real Options and Merchant Operations of Energy and Other Commodities
Nicola Secomandi and Duane J. Seppi, "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends® in Technology, Information and Operations Management 6, no. 3-4 (2014),
Nicola Secomandi and Duane J. Seppi
Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business
Date Posted: September 10, 2014
Accepted Paper Series
20 downloads

Quantitative Models for Financial Markets
Lambert Academic Publishing, October, 2014
Rossano Giandomenico
UBI Group
Date Posted: September 10, 2014
Last Revised: September 30, 2014
Accepted Paper Series

Incl. Electronic Paper Rogue Trading or Directional Hedging? Information Relevance Theory
Christian Kamtchueng
Barclays Capital
Date Posted: September 09, 2014
Working Paper Series
32 downloads

Incl. Electronic Paper Custom v. Standardized Risk Models
Zura Kakushadze and Jim Kyung-Soo Liew
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School
Date Posted: September 09, 2014
Working Paper Series
72 downloads

Government Crisis Response Programs and Bank Lending: Evidence from the Syndicated Corporate Credit Market During the 2007-2009 Financial Crisis
Deming Wu
Office of the Comptroller of the Currency
Date Posted: September 09, 2014
Last Revised: September 10, 2014
Working Paper Series

Incl. Electronic Paper Follow the Money: Compensation, Risk, and the Financial Crisis
Rock Center for Corporate Governance at Stanford University Closer Look Series: Topics, Issues and Controversies in Corporate Governance No. CGRP-43, Stanford University Graduate School of Business Research Paper No. 14-34
David F. Larcker , Gaizka Ormazabal , Brian Tayan and Daniel J. Taylor
Stanford University - Graduate School of Business , University of Navarra, IESE Business School , Stanford University - Graduate School of Business and University of Pennsylvania - The Wharton School
Date Posted: September 08, 2014
Working Paper Series
135 downloads

Incl. Electronic Paper Opening Discussion on Banking Sector Risk Exposures and Vulnerabilities from Virtual Currencies: An Operational Risk Perspective
Gareth William Peters , Ariane Chapelle and Efstathios Panayi
University College London - Department of Statistical Science , University College London - Department of Computer Science and University College London - Department of Statistical Science
Date Posted: September 06, 2014
Working Paper Series
28 downloads

Incl. Electronic Paper Bayesian Value at Risk Metric for Equity Portfolios
Eric Hendries , Jun Huang , Rachel Li , Xiao Li , Yiyang Qi , Helene Sajer , Stephen Michael Taylor and John Zerolis
Independent , Independent , Independent , Independent , CME Group , Independent , Morgan Stanley and Independent
Date Posted: September 05, 2014
Working Paper Series
50 downloads

Incl. Electronic Paper Reducing Model Risk via Positive and Negative Dependence Assumptions
Valeria Bignozzi , Giovanni Puccetti and Ludger Rüschendorf
School of Economics and Management , University of Florence - Department of Mathematics for Decisions and University of Freiburg
Date Posted: September 05, 2014
Working Paper Series
49 downloads

Incl. Electronic Paper Does Diversity of Bank Board Members Affect Performance and Risk? Evidence from an Emerging Market
Bowo Setiyono and Amine Tarazi
Université de Limoges, LAPE and Universite de Limoges, LAPE
Date Posted: September 04, 2014
Last Revised: September 05, 2014
Working Paper Series
21 downloads

Incl. Fee Electronic Paper The Carry Trade: Risks and Drawdowns
NBER Working Paper No. w20433
Kent D. Daniel , Robert J. Hodrick and Zhongjin Lu
Columbia Business School - Finance and Economics , Columbia Business School - Finance and Economics and University of Georgia - Department of Banking and Finance
Date Posted: September 03, 2014
Working Paper Series
13 downloads

Incl. Fee Electronic Paper Understanding Uncertainty Shocks and the Role of Black Swans
NBER Working Paper No. w20445
Anna Orlik and Laura Veldkamp
Board of Governors of the Federal Reserve System (FRB) and New York University - Stern School of Business
Date Posted: September 03, 2014
Working Paper Series
16 downloads

Incl. Electronic Paper Conditional Sharpe Ratios
Victor Chow and Christine W. Lai
West Virginia University and Yuan Ze University
Date Posted: September 02, 2014
Working Paper Series
52 downloads

Incl. Electronic Paper Commodity Risk Factors and the Cross-Section of Equity Returns
Chris Brooks , Adrián Fernández-Pérez , Joelle Miffre and Ogonna Nneji
University of Reading - ICMA Centre , Auckland University of Technology , EDHEC Business School and University of Reading - ICMA Centre
Date Posted: September 02, 2014
Working Paper Series
82 downloads

Incl. Electronic Paper An Indicator of Systemic Liquidity Risk in the Italian Financial Markets
Bank of Italy Occasional Paper No. 217
Eleonora Iachini and Stefano Nobili
Bank of Italy and Bank of Italy
Date Posted: September 02, 2014
Working Paper Series
32 downloads

Incl. Electronic Paper Foreign Exchange Rate Exposure and Corporate Policies
Yuliya Ivanova
University of Iowa - Department of Finance
Date Posted: September 01, 2014
Working Paper Series
40 downloads

Incl. Electronic Paper Does VIX Truly Measure Return Volatility?
Victor Chow , Wanjun Jiang and Jingrui Li
West Virginia University , Guang Hua School of Management, Peking University and West Virginia University
Date Posted: August 31, 2014
Last Revised: September 30, 2014
Working Paper Series
275 downloads

Incl. Electronic Paper Credit Default Swaps and Loss Given Default: Has the CDS Market Affected the Recovery Rates of U.S. Corporate Defaults?
Min Qi , Deming Wu and Hong Yan
Office of the Comptroller of the Currency - Credit Risk Analysis Division , Office of the Comptroller of the Currency and Shanghai Advanced Institute of Finance, and University of South Carolina
Date Posted: August 30, 2014
Working Paper Series
20 downloads

Incl. Electronic Paper Rebalancing Risk
Nicolas M Granger , Douglas Greenig , Campbell R. Harvey , Sandy Rattray and David Zou
Man Group , Independent , Duke University - Fuqua School of Business , AHL / Man Systematic Strategies and Man Group plc - AHL Man Systematic Strategies
Date Posted: August 30, 2014
Working Paper Series
787 downloads


 

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