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SSRN eLibrary Search Results
Risk Management eJournal
3,757,709 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Showing Papers 1 - 50 of 10,506
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1 2 3 4 ... 211 | Next >
   

Incl. Electronic Paper Credit Value Adjustment with Market-Implied Recovery
Pascal Francois and Weiyu Jiang
HEC Montreal - Department of Finance and affiliation not provided to SSRN
Date Posted: June 28, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper Does Financial Innovation Enhance or Inhibit Real Innovation?
Lora Dimitrova and Sapnoti K. Eswar
University of Exeter and University of Cincinnati
Date Posted: June 28, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper The New Hybrid Value at Risk Approach Based on the Extreme Value Theory
Estudios de Economia., Vol. 43, No. 1, 2016
Nikola Radivojevic , Milena Cvjetkovic and Saša Stepanov
Technical College of Applied Studies, Kragujevac , University of Novi Sad - Faculty of Technical Sciences and BAS, Belgrade
Date Posted: June 27, 2016
Accepted Paper Series
3 downloads

Incl. Electronic Paper The Impact of Estimation Error on Latent Factor Model Forecasts of Portfolio Risk
Journalof Portfolio Management, Forthcoming
Stephen W. Bianchi , Lisa R. Goldberg and Allan C. Rosenberg
University of California, Berkeley , University of California, Berkeley and State Steet Global Exchange
Date Posted: June 26, 2016
Accepted Paper Series
13 downloads

Incl. Electronic Paper Spread, Volatility, and Volume Relationship in Financial Markets and Market Maker's Profit Optimization
Jack Sarkissian
Algostox Trading
Date Posted: June 26, 2016
Working Paper Series
34 downloads

Incl. Electronic Paper Identifying Broad and Narrow Financial Risk Factors with Convex Optimization
Alexander Shkolnik , Lisa R. Goldberg and Jeffrey R Bohn
Stanford University - Management Science & Engineering , University of California, Berkeley and State Street Corporation
Date Posted: June 25, 2016
Working Paper Series
25 downloads

Incl. Electronic Paper Measuring Spot Variance Spillovers When (Co)Variances are Time-Varying - the Case of Multivariate GARCH Models
Matthias R. Fengler and Helmut Herwartz
University of St. Gallen - School of Economics and Political Science and University of Kiel - Institute of Statistics and Econometrics
Date Posted: June 25, 2016
Working Paper Series
2 downloads

Incl. Fee Electronic Paper What Is the Best Risk Measure in Practice? A Comparison of Standard Measures
Journal of Risk, Vol. 18, No. 2, 2015
Susanne Emmer , Marie Kratz and Dirk Tasche
ESSEC Business School , ESSEC Business School and Swiss Financial Market Supervisory Authority (FINMA)
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Nonnegative Risk Components
Journal of Risk, Vol. 18, No. 2, 2015
Jeremy C. Staum
Northwestern University - Department of Industrial Engineering and Management Sciences
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Does Bonus Deferral Reduce Risk-Taking?
Journal of Risk, Vol. 18, No. 2, 2015
Dietmar Leisen
University of Mainz - Department of Banking
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Historical Simulation with Component Weight and Ghosted Scenarios
Journal of Risk, Vol. 18, No. 1, 2015
Xinyi Liu
ASEAN+3 Macroeconomic Research (AMRO)
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Extreme Value Theory, Asset Ranking and Threshold Choice: A Practical Note on VAR Estimation
Journal of Risk, Vol. 18, No. 1, 2015
Benjamin R. Auer
University of Leipzig
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Bayesian Synthesis of Portfolio Credit Risk with Missing Ratings
Journal of Risk, Vol. 18, No. 1, 2015
Dror Parnes
University of South Florida
Date Posted: June 25, 2016
Accepted Paper Series

Recursive Profit-and-Loss Sharing
Journal of Risk, Vol. 17, No. 6, 2015
Walid Mansour , Med Ben and Almas Heshmati
King Abdulaziz University , Independent and Sogang University
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Impact of Model Risk on Capital Reserves: A Quantitative Analysis
Journal of Risk, Vol. 17, No. 5, 2015
Philip Bertram , Philipp Sibbertsen and Gerhard Stahl
Leibniz Universität Hannover , University of Hannover and European Union - Committee of the Regions
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Improved Estimation Methods for Value-at-Risk, Expected Shortfall and Risk Contributions with High Precision
Journal of Risk, Vol. 17, No. 5, 2015
Yukio Muromachi
Tokyo Metropolitan University
Date Posted: June 24, 2016
Accepted Paper Series

Arbitrage Theory: Quantitative Methods
Rossano Giandomenico
Independent
Date Posted: June 24, 2016
Working Paper Series

Incl. Fee Electronic Paper Nonmaturity Deposits and Banks’ Exposure to Interest Rate Risk: Issues Arising from the Basel Regulatory Framework
Journal of Risk, Vol. 17, No. 5, 2015
Rosa Cocozza , Domenico Curcio and Igor Gianfrancesco
University of Naples Federico II - Faculty of Economics , University of Naples Federico II and Banco di Desio e della Brianza
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Simple Normal Inverse Gaussian-Type Approach to Calculate Value-at-Risk Based on Realized Moments
Journal of Risk, Vol. 17, No. 4, 2015
Christian Lau
Martin Luther Universitat Halle Wittenberg
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Pricing and Hedging Quanto Options in Energy Markets
Journal of Energy Markets, Vol. 8, No. 1, 2015
Fred Espen Benth , Nina Lange and Tor Age Myklebust
University of Oslo - Department of Mathematics , Copenhagen Business School and Norwegian School of Economics (NHH)
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Electronic Paper Konsistente Stresstests in quotierenden Modellen (Consistent Stress Testing and Plain Vanilla Models)
André Miemiec and Sebastian Schlenkrich
d-fine GmbH and d-fine GmbH
Date Posted: June 23, 2016
Working Paper Series
14 downloads

Endogenous Trading in Credit Default Swaps
Marc Chesney , Delia Coculescu and Selim Gökay
University of Zurich - Swiss Banking Institute (ISB) , University of Zurich - Department of Banking and Finance and Technische Universität Berlin (TU Berlin)
Date Posted: June 23, 2016
Working Paper Series

Incl. Fee Electronic Paper Transform-Based Evaluation of Prices and Greeks of Lookback Options Driven by Lévy Processes
Journal of Computational Finance, Vol. 20, No. 2, 2016
Naser M Asghari and Michel Mandjes
University of Amsterdam and University of Amsterdam
Date Posted: June 23, 2016
Accepted Paper Series

Incl. Electronic Paper Deep Learning for Mortgage Risk
Justin Sirignano , Apaar Sadhwani and Kay Giesecke
Imperial College London - Department of Mathematics , Stanford University and Stanford University - Management Science & Engineering
Date Posted: June 23, 2016
Working Paper Series
64 downloads

Does Fair Value Accounting Exacerbate the Pro-Cyclicality of Bank Lending?
Journal of Accounting Research, Vol. 54, No. 1, 2016
Biqin Xie
Pennsylvania State University
Date Posted: June 23, 2016
Accepted Paper Series

Incl. Electronic Paper Solving Markowitz's Inefficiencies through MVD Frontier
Riccardo Brignone and Gianfranco Forte
Università degli Studi di Milano-Bicocca - Department of Business Administration, Finance, Management and Law and Università degli Studi di Milano-Bicocca - Department of Business Administration, Finance, Management and Law
Date Posted: June 22, 2016
Working Paper Series
46 downloads

Incl. Electronic Paper Debt Structure and Credit Ratings
BAFFI CAREFIN Centre Research Paper No. 2016-22
Mascia Bedendo and Linus Siming
Audencia Nantes School of Management and Bocconi University - Department of Finance
Date Posted: June 22, 2016
Working Paper Series
13 downloads

Incl. Electronic Paper The Impact of Credit Information Sharing on Interest Rates
University of St.Gallen, School of Finance Research Paper No. 2016/12
Thomas Gietzen
KfW Development Bank
Date Posted: June 22, 2016
Working Paper Series
8 downloads

Incl. Electronic Paper Loan Loss Provisions, Income Smoothing and Loan Growth: Evidence from Islamic Banks
Sigid Eko Pramono , Hilda Rosieta and Wahyoe Soedarmono
Bank Indonesia , University of Indonesia (UI) and Independent
Date Posted: June 21, 2016
Working Paper Series
9 downloads

Incorporating Forward-Looking Economic Information into Financial Downside Risk Prediction: A State-Dependent Approach
Lei Jiao , Qing Zhou , Yin Liao and Robert W. Faff
Xi'an Jiaotong University (XJTU) - Jinhe Center for Economic Research , UQ Business School, The University of Queensland , Queensland University of Technology and University of Queensland
Date Posted: June 21, 2016
Working Paper Series

Incl. Electronic Paper Asset Encumbrance, Bank Funding and Financial Fragility
Bundesbank Discussion Paper No. 17/2016
Toni Ahnert , Kartik Anand , Prasanna Gai and James T. E. Chapman
Deutsche Bundesbank , Australian National University (ANU) and Government of Canada - Bank of Canada
Date Posted: June 21, 2016
Working Paper Series

Incl. Electronic Paper Systemic Risk Regulation in Comparative Perspective
Cristie Ford
University of British Columbia Faculty of Law
Date Posted: June 21, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper How Central is Central Counterparty Clearing? A Deep Dive into a European Repo Market During the Crisis
Bundesbank Discussion Paper No. 14/2016
André Ebner , Falko Fecht and Alexander Schulz
Deutsche Bundesbank , Frankfurt School of Finance & Management and Deutsche Bundesbank
Date Posted: June 21, 2016
Working Paper Series
1 downloads

Incl. Electronic Paper The Joint Dynamics of Sovereign Ratings and Government Bond Yields
Bundesbank Discussion Paper No. 13/2016
Makram El-Shagi and Gregor von Schweinitz
Henan University and Halle Institute for Economic Research
Date Posted: June 21, 2016
Working Paper Series
1 downloads

Incl. Electronic Paper Credit Risk Interconnectedness: What Does the Market Really Know?
Bundesbank Discussion Paper No. 09/2016
Puriya Abbassi , Christian T. Brownlees , Christina Hans and Natalia Podlich
Deutsche Bundesbank , Universitat Pompeu Fabra - Department of Economics and Business , Universitat Pompeu Fabra - Department of Economics and Business and Deutsche Bundesbank
Date Posted: June 21, 2016
Working Paper Series
1 downloads

Incl. Electronic Paper Monetary Policy and the Asset Risk-Taking Channel
Bundesbank Discussion Paper No. 48/2015
Angela Abbate and Dominik Thaler
European University Institute - Economics Department (ECO) and European University Institute
Date Posted: June 21, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper Credit Risk Stress Testing and Copulas: Is the Gaussian Copula Better than its Reputation?
Bundesbank Discussion Paper No. 46/2015
Philipp Koziol , Carmen Schell and Meik Eckhardt
Deutsche Bundesbank , Deutsche Bundesbank and Deutsche Bundesbank
Date Posted: June 21, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Fundamentals Matter: Idiosyncratic Shocks and Interbank Relations
Bundesbank Discussion Paper No. 44/2015
Peter Bednarek , Valeriya Dinger and Natalja von Westernhagen
Deutsche Bundesbank , Universität Osnabrück and Deutsche Bundesbank
Date Posted: June 21, 2016
Working Paper Series
1 downloads

Incl. Electronic Paper Arbitraging the Basel Securitization Framework: Evidence from German Abs Investment
Bundesbank Discussion Paper No. 40/2015
Matthias Efing
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Date Posted: June 21, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper The Credit Quality Channel: Modeling Contagion in the Interbank Market
Bundesbank Discussion Paper No. 38/2015
Kilian Fink , Ulrich Krüger , Barbara Meller and Lui Hsian Wong
Goethe University Frankfurt , Deutsche Bundesbank , Deutsche Bundesbank and Deutsche Bundesbank
Date Posted: June 21, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper On the Exposure of Insurance Companies to Sovereign Risk: Portfolio Investments and Market Forces
Bundesbank Discussion Paper No. 34/2015
Robert Düll , Felix Koenig and Jana Ohls
Deutsche Bundesbank , London School of Economics & Political Science (LSE) and Deutsche Bundesbank
Date Posted: June 21, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper The Winner's Curse: Evidence on the Danger of Aggressive Credit Growth in Banking
Bundesbank Discussion Paper No. 32/2015
Thomas K. Kick , Thilo Pausch and Benedikt Ruprecht
Deutsche Bundesbank , Deutsche Bundesbank and Deutsche Bundesbank
Date Posted: June 21, 2016
Working Paper Series
1 downloads

Incl. Electronic Paper Out of Sight, Out of Mind? On the Risk of Sub-Custodian Structures
Bundesbank Discussion Paper No. 31/2015
Thomas Bernhard Droll , Natalia Podlich and Michael Wedow
Deutsche Bundesbank , Deutsche Bundesbank and University of Mainz - Faculty of Law and Economics
Date Posted: June 21, 2016
Working Paper Series
1 downloads

Incl. Electronic Paper A Macroeconomic Reverse Stress Test
Bundesbank Discussion Paper No. 30/2015
Peter Grundke and Kamil Pliszka
University Osnabrück, Chair of Banking and Finance and Deutsche Bundesbank
Date Posted: June 21, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Calculating Trading Book Capital: Is Risk Separation Appropriate?
Bundesbank Discussion Paper No. 19/2015
Peter Raupach
Deutsche Bundesbank - Research Department
Date Posted: June 21, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper Multinational Banks' Deleveraging in the Crisis Driven by Pre-Crisis Characteristics and Behavior
Bundesbank Discussion Paper No. 18/2015
Rainer Frey
Deutsche Bundesbank
Date Posted: June 21, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper Centrality-Based Capital Allocations
Bundesbank Discussion Paper No. 03/2015
Adrian Alter , Ben R. Craig and Peter Raupach
International Monetary Fund , Federal Reserve Bank of Cleveland and Deutsche Bundesbank - Research Department
Date Posted: June 21, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper A Network View on Interbank Market Freezes
Bundesbank Discussion Paper No. 44/2014
Silvia Gabrieli and Co-Pierre Georg
Banque de France and Deutsche Bundesbank
Date Posted: June 21, 2016
Working Paper Series
1 downloads

Incl. Electronic Paper Updating the Option Implied Probability of Default Methodology
Bundesbank Discussion Paper No. 43/2014
Johannes Vilsmeier
Deutsche Bundesbank
Date Posted: June 21, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Loan Loss Provisioning and Procyclicality: Evidence from an Expected Loss Model
Bundesbank Discussion Paper No. 39/2014
Christian Domikowsky , Sven Bornemann , Klaus Duellmann and Andreas Pfingsten
University of Muenster - Finance Center Muenster , University of Muenster - Finance Center Muenster , affiliation not provided to SSRN and University of Münster - Finance Center Münster
Date Posted: June 21, 2016
Working Paper Series
1 downloads


 

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