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SSRN eLibrary Search Results
Risk Management eJournal
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Showing Papers 1 - 50 of 7,967
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Incl. Electronic Paper Financial Health Economics
Ralph S. J. Koijen , Tomas Philipson and Harald Uhlig
London Business School - Department of Finance , University of Chicago and University of Chicago - Department of Economics
Date Posted: April 20, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Modern Pension Fund Diversification
Marty Anderson , Shan Chen , James Hacking , Mark Lundin , Vaida Maleckaite , Ryan Parham , Mark Steed , Marc Lieberman and Allan Martin
Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Kutak Rock, LLP and Independent
Date Posted: April 19, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Does Earnings Management by Firms Making Mandatory Pension Contributions Pay Off?
Hieu V. Phan , Hinh Khieu and Joseph H. Golec
Michigan State University , University of Southern Indiana and University of Connecticut - Department of Finance
Date Posted: April 16, 2014
Working Paper Series
6 downloads

Incl. Fee Electronic Paper Credit Risk in the Euro Area
NBER Working Paper No. w20041
Simon Gilchrist and Benoît Mojon
Boston University - Department of Economics and Banque de France
Date Posted: April 14, 2014
Working Paper Series
5 downloads

Role of Derivatives in Corporate Risk Management
Shahid Mahmood
Edinburgh Napier University
Date Posted: April 14, 2014
Working Paper Series

Incl. Electronic Paper Josh Hardy and the #SaveJosh Army: How Corporate Risk Escalates and Accelerates Through Social Media
Rock Center for Corporate Governance at Stanford University Closer Look Series: Topics, Issues and Controversies in Corporate Governance and Leadership No. CGRP-40
David F. Larcker , Sarah M. Larcker and Brian Tayan
Stanford University - Graduate School of Business , Digitas Health and Stanford University - Graduate School of Business
Date Posted: April 13, 2014
Last Revised: April 17, 2014
Accepted Paper Series
28 downloads

Incl. Electronic Paper Earnings Management and Derivative Hedging with Fair Valuation: Evidence from the Effects of FAS 133
Jongmoo Jay Choi , Connie X. Mao and Arun Upadhyay
Temple University - Department of FinanceTemple University , Temple University - Fox School of Business and Management and University of Nevada, Reno
Date Posted: April 12, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper Nonparametric Tests for Constant Tail Dependence with an Application to Energy and Finance
Axel Bücher , Stefan Jäschke and Dominik Wied
Ruhr Universität Bochum , RWE Group - RWE Supply & Trading GmbH and TU Dortmund University
Date Posted: April 10, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Crowded Trades: An Overlooked Systemic Risk for Central Clearing Counterparties
Albert J. Menkveld
VU University Amsterdam
Date Posted: April 09, 2014
Working Paper Series
191 downloads

Incl. Electronic Paper Ending Over-Lending: Assessing Systemic Risk with Debt to Cash Flow
Bank of Finland Research Discussion Paper No. 11/2014
Bruce A. Ramsay and Peter Sarlin
Cascadia Monetary Research and Åbo Akademi University
Date Posted: April 09, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper Asset Liability Modelling and Pension Schemes: The Application of Robust Optimization to USS
ICMA Centre Discussion Paper
Emmanouil Platanakis and Charles Sutcliffe
University of Reading - ICMA Centre and University of Reading - ICMA Centre
Date Posted: April 09, 2014
Working Paper Series
33 downloads

Incl. Electronic Paper Relational Distance in Doxastic Finance: Local Risk, Revisited
Dane P. Rook
University of Oxford - Smith School of Enterprise and the Environment
Date Posted: April 08, 2014
Last Revised: April 17, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Enterprise Risk Management and Diversification Effects for Property and Casualty Insurance Companies
Jing Ai , Vickie L. Bajtelsmit and Tianyang Wang
University of Hawaii at Manoa - Shidler College of Business , Colorado State University - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate
Date Posted: April 08, 2014
Working Paper Series
6 downloads

Evidence on Hedging Effectiveness in Indian Derivatives Market
Asia-Pacific Financial Markets, Vol. 21, No.2, Pp. 121–131, May 2014, Forthcoming,
B. Prasanna Kumar and M. V. Supriya
Department of Social Science (Economics), Fakir Mohan University and Anna University, Chennai.
Date Posted: April 08, 2014
Accepted Paper Series

Incl. Electronic Paper Minimizing a 'Key Cause' of the 2008 Financial Crisis: Governance Failure
Shann Turnbull and Michael Pirson
International Institute for Self-Governance and Fordham University - Graduate School of Business Administration
Date Posted: April 05, 2014
Last Revised: April 06, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper Derivatives and Collateral: Balancing Remedies and Systemic Risk
University of Illinois Law Review, Forthcoming
Steven L. Schwarcz
Duke University - School of Law
Date Posted: April 03, 2014
Last Revised: April 17, 2014
Accepted Paper Series
35 downloads

Incl. Electronic Paper Might Supplementary Tethered Currencies Reduce Financial System Risks?
Shann Turnbull
International Institute for Self-Governance
Date Posted: April 03, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper How Firm Can Hedge from Currency Risk
China-USA Business Review, Vol. 11, No. 9, 1295-1306, 2012
Carmelo Intrisano
Università di Cassino e del Lazio Meridionale
Date Posted: April 02, 2014
Accepted Paper Series
22 downloads

Incl. Electronic Paper On a New Index of Riskiness: Theoretical Results And Some Applications
Marina R. Resta and Maria Erminia Marina
University of Genova and University of Genova
Date Posted: March 31, 2014
Working Paper Series
20 downloads

Incl. Electronic Paper How Might Corporate Charters Be Amended to Enhance Investor Returns?
Shann Turnbull
International Institute for Self-Governance
Date Posted: March 31, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper Omega Risk Model with Tax
Zhenyu Cui
Brooklyn College, CUNY
Date Posted: March 31, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Currency Hedging Policy
Richard O. Michaud
New Frontier Advisors
Date Posted: March 30, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper Stress Scenario Generation for Solvency and Risk Management
Marcus Christian Christiansen , Lars Frederik Brandt Henriksen , Kristian Juul Schomacker and Mogens Steffensen
University of Ulm - Department of Mathematics and Economics , University of Copenhagen , Edlund A/S and University of Copenhagen
Date Posted: March 30, 2014
Working Paper Series
37 downloads

Incl. Electronic Paper Do Firms Use Derivatives for Hedging or Non-Hedging Purposes? Evidence Based on SFAS 161 Disclosures
Hariom Manchiraju , Spencer Pierce and Swaminathan Sridharan
Indian School of Business (ISB), Hyderabad , Northwestern University - Kellogg School of Management and Northwestern University - Kellogg School of Management
Date Posted: March 28, 2014
Working Paper Series
62 downloads

Incl. Electronic Paper Analyzing the Bias in the Primal-Dual Upper Bound Method for Early Exercisable Derivatives: Bounds, Estimation and Removal
Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies
Date Posted: March 27, 2014
Working Paper Series
29 downloads

Incl. Electronic Paper Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
Tinbergen Institute Discussion Paper 14-039/III
Lukasz T. Gatarek , Lennart F. Hoogerheide and H. K. van Dijk
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) , Vrije Universiteit Amsterdam - Dept. of Econometrics and Tinbergen Institute
Date Posted: March 26, 2014
Working Paper Series
37 downloads

Incl. Electronic Paper The Equity Risk Premium and Pension Ambition: The Effect of Parameter Uncertainty
Alexander de Roode
Tilburg University - Center for Economic Research (CentER)
Date Posted: March 26, 2014
Working Paper Series
18 downloads

Incl. Electronic Paper Joint Calibration of SPX and VIX Option Surfaces: With Applications to Pricing and Hedging Equity and Volatility Linked Hybrid Notes.
Dilip B. Madan and Martijn Pistorius
University of Maryland - Robert H. Smith School of Business and Imperial College London
Date Posted: March 25, 2014
Working Paper Series
38 downloads

Incl. Electronic Paper Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models
Bank of Italy Temi di Discussione (Working Paper) No. 944
Michele Leonardo Bianchi , Frank J. Fabozzi and Svetlozar Rachev
Bank of Italy , EDHEC Business School and Stony Brook University
Date Posted: March 25, 2014
Working Paper Series
17 downloads

Incl. Electronic Paper Stress Tests of Credit Risks
Kilian Plank
University of Regensburg - Faculty of Business, Economics & Information Systems
Date Posted: March 24, 2014
Working Paper Series
69 downloads

Incl. Electronic Paper A Case-based Introduction to Bank Accounting for Derivatives
Dov Fischer
Brooklyn College - City University of New York (CUNY)
Date Posted: March 24, 2014
Last Revised: April 02, 2014
Working Paper Series
78 downloads

Incl. Electronic Paper Risk Control in Asset Management: Motives and Concepts
Thomas Dangl , Otto Randl and Josef Zechner
Vienna University of Technology , WU Vienna University of Economics and Business and Vienna University of Economics and Business
Date Posted: March 23, 2014
Working Paper Series
99 downloads

Chapter 24: Post-Crisis Investor Behavior: Experience Matters
Investor Behavior: The Psychology of Financial Planning and Investing. H. Kent Baker and Victor Ricciardi, editors, 439-455, Hoboken, NJ: John Wiley & Sons, Inc., 2014
Joseph V. Rizzi
Independent
Date Posted: March 23, 2014
Accepted Paper Series

Incl. Electronic Paper FARVaR
Charlie X. Cai , Minjoo Kim , Yongcheol Shin and Qi Zhang
Leeds University Business School , University of Glasgow , University of York (UK) - Department of Economics and Related Studies and University of Leeds - Leeds University Business School (LUBS)
Date Posted: March 23, 2014
Working Paper Series
30 downloads

Incl. Electronic Paper Is Idiosyncratic Volatility Risk Priced? Evidence from the Physical and Risk-Neutral Distributions
Ali Boloorforoosh
John Molson School of Business, Concordia University
Date Posted: March 21, 2014
Working Paper Series
34 downloads

Incl. Electronic Paper The Role of Covariance Matrix Forecasting Method in the Performance of Minimum-Variance Portfolios
Valeriy Zakamulin
University of Agder - Faculty of Economics
Date Posted: March 20, 2014
Working Paper Series
141 downloads

Incl. Electronic Paper Hedging and Firm Value: Measuring the Implications of Airline Hedging Programs
Adnan Anil Isin , Stanley B. Gyoshev and Kevin McMeeking
XFI Centre for Finance and Investment , XFI Centre for Finance and Investment - University of Exeter Business School and University of Exeter Business School - Department of Finance
Date Posted: March 18, 2014
Last Revised: April 08, 2014
Working Paper Series
31 downloads

Incl. Electronic Paper Liquidity Risk, Definition, Facts, Regulations, Measures and Perspectives
Giorgio Mori
Vontobel Bank AG
Date Posted: March 18, 2014
Working Paper Series
96 downloads

Applying the Enterprise Risk Management Process on a Fiber Board Manufacturing Industrial Group
Syed Hayat
Independent
Date Posted: March 17, 2014
Working Paper Series

Incl. Electronic Paper Управление рисками как особая практика регулирования миграционных потоков евразийского пространства (Risk-Management as a Specific Practice of Migratory Streams Regulation in Eurasia)
Вестник Поволжской академии государственной службы. 2013. No. 6 (39).,
Anna Fedorova and Elena Khoroltheva
Russian Presidential Academy of National Economy and Public Administration (RANEPA) and Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Date Posted: March 14, 2014
Accepted Paper Series
1 downloads

Incl. Electronic Paper Why Do Banks Practice Regulatory Arbitrage? Evidence from Usage of Trust Preferred Securities
Fisher College of Business Working Paper No. 2014-03-01, Charles A. Dice Center Working Paper No. 2014-01, Swiss Finance Institute Research Paper No. 14-21
Nicole M. Boyson , Rüdiger Fahlenbrach and Rene M. Stulz
Northeastern University - D’Amore-McKim School of Business , Ecole Polytechnique Fédérale de Lausanne and Ohio State University (OSU) - Department of Finance
Date Posted: March 13, 2014
Last Revised: April 04, 2014
Working Paper Series
49 downloads

Incl. Electronic Paper Supersize Them? Large Banks, Taxpayers and the Subsidies That Lay Between
U of Penn, Inst for Law & Econ Research Paper No. 14-16
Nizan Geslevich Packin
University of Pennsylvania Law School
Date Posted: March 12, 2014
Last Revised: March 27, 2014
Working Paper Series
144 downloads

Incl. Electronic Paper Downside Volatility Timing
Ingmar Nolte and Qi Xu
Lancaster University - Department of Accounting and Finance and University of Warwick - Warwick Business School
Date Posted: March 12, 2014
Working Paper Series
140 downloads

Incl. Electronic Paper Intrinsic Prices of Risk
Truc Le
ANZ Bank
Date Posted: March 12, 2014
Working Paper Series
40 downloads

Recursive Calculation of Ruin Probabilities at or Before Claim Instants for Non-Identically Distributed Claims
Anisoara Maria Raducan , Raluca Vernic and Gheorghita Zbaganu
Romanian Academy - Gh.Mihoc-C.Iacob Institute of Mathematical Statistics and Applied Mathematics , Ovidius University of Constanta and University of Bucharest - Faculty of Mathematics and Computer Science
Date Posted: March 09, 2014
Working Paper Series

Incl. Electronic Paper Measuring Portfolio Risk Under Partial Dependence Information
Carole Bernard , Michel Denuit and Steven Vanduffel
University of Waterloo , Catholic University of Louvain and Vrije Universiteit Brussel (Free University of Brussels)
Date Posted: March 09, 2014
Working Paper Series
51 downloads

Incl. Electronic Paper Dynamic Allocation Strategies for Absolute and Relative Loss Control
Daniel Mantilla-Garcia
Koris International
Date Posted: March 08, 2014
Last Revised: March 27, 2014
Working Paper Series
114 downloads

Incl. Electronic Paper Macro-Hedging of Portfolios of Assets
Alexander Denev
Royal Bank of Scotland (RBS)
Date Posted: March 07, 2014
Last Revised: March 17, 2014
Working Paper Series
83 downloads

Statistics and Quantitative Risk Management for Banking and Insurance
Annual Review of Statistics and Its Application, Vol. 1, Issue 1, pp. 493-514, 2014
Paul Embrechts and Marius Hofert
Swiss Federal Institute of Technology Zurich and ETH Zurich, RiskLab, Department of Mathematics
Date Posted: March 07, 2014
Accepted Paper Series

Incl. Electronic Paper On the Frequency of Drawdowns for Brownian Motion Processes
Journal of Applied Probability, Vol. 52, No. 1, 2015, Forthcoming
David Landriault , Bin Li and Hongzhong Zhang
University of Waterloo , University of Waterloo - Department of Statistics and Actuarial Science and Columbia University - Department of Statistics
Date Posted: March 07, 2014
Accepted Paper Series
27 downloads


 

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