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Risk Management eJournal
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Showing Papers 1 - 50 of 8,614
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Incl. Electronic Paper Legal and Regulatory Aspects of Enterprise Risk Management for Small and Medium-Sized Enterprises
Enterprise Risk Management for Small and Medium-Sized Enterprises (Society of Actuaries, 2015 Forthcoming)
Robert C. Bird and Stephen Park
University of Connecticut - School of Business and University of Connecticut - School of Business
Date Posted: December 15, 2014
Accepted Paper Series
7 downloads

Incl. Electronic Paper Estimating Beta
Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Fabian Hollstein and Marcel Prokopczuk
Leibniz University Hannover - Faculty of Economics and Management and Leibniz University Hannover - Faculty of Economics and Management
Date Posted: December 15, 2014
Accepted Paper Series
20 downloads

Incl. Electronic Paper Russian-Doll Risk Models
Zura Kakushadze
Quantigic Solutions LLC
Date Posted: December 15, 2014
Working Paper Series
15 downloads

Incl. Electronic Paper Contract as Automaton: The Computational Representation of Financial Agreements
Mark D. Flood and Oliver R. Goodenough
Office of Financial Research and Vermont Law School
Date Posted: December 15, 2014
Last Revised: December 17, 2014
Working Paper Series
16 downloads

Incl. Electronic Paper Regulatory Requirements and Their Implications for Bank Solvency, Liquidity and Interconnectedness Risks: Insights from Agent-Based Model Simulations
Jorge A. Chan-Lau
International Monetary Fund (IMF) - International Capital Markets Department
Date Posted: December 13, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Optimal Futures Trading in the Presence of Liquidity Risk
Nicholas Taylor
University of Bristol - School of Economics, Finance and Management
Date Posted: December 13, 2014
Last Revised: December 17, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper 'Individual' Scaling and Overall Evaluation of System Uncertainty
Modern Applied Science, Vol. 9, No. 3, pp. 34-45, 2015 Forthcoming
Evgeny Kuzmin
Ural State University of Economics
Date Posted: December 12, 2014
Accepted Paper Series
2 downloads

Incl. Electronic Paper Was the Cyprus Crisis Banking or Sovereign Debt?
Efrosyni Panayi and Stavros A. Zenios
University of Cyprus and University of Cyprus
Date Posted: December 12, 2014
Last Revised: December 15, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper Hypercube in the Kitchen: Reading a Menu of Active Investment Strategies
Boris Gnedenko and Igor Yelnik
ADG Capital Management LLP and ADG Capital Management LLP
Date Posted: December 12, 2014
Working Paper Series
45 downloads

Incl. Electronic Paper The Effect of Credit Risk on the Performance of Commercial Banks in Nigeria
Olawale Samuel Luqman
Olabisi Onabanjo University
Date Posted: December 11, 2014
Working Paper Series
16 downloads

Incl. Electronic Paper Optimal Trading and Shipping of Agricultural Commodities
Nicolas Merener , Ramiro Alberto Moyano Sr. , Nicolas E. Stier-Moses and Pablo Watfi
Universidad Torcuato Di Tella - School of Business , Universidad Torcuato Di Tella - School of Business , Columbia Business School - Decision Risk and Operations and Universidad Torcuato Di Tella - School of Business
Date Posted: December 10, 2014
Working Paper Series
17 downloads

Incl. Electronic Paper Strategic Risk Management: Scrambled Egg, the Failure of EGG Plc.
Patrick J. McConnell
Macquarie University, Applied Finance Centre
Date Posted: December 09, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Replication & XVA: The Unique Counting Approach
Alexandre Antonov and Andy McClelland
Numerix and Numerix
Date Posted: December 08, 2014
Working Paper Series
26 downloads

Incl. Electronic Paper Multiemployer Defined Benefit Pension Plans' Liability Spillovers: Important Connections in U.S. Unionized Industries
Barbara Chambers
University of Utah
Date Posted: December 07, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Does Derivatives Speculation Affect Liquidity Holdings?
Jiyoon Lee
University of Illinois at Urbana-Champaign
Date Posted: December 06, 2014
Working Paper Series
24 downloads

Incl. Electronic Paper Economic Uncertainty and Commodity Futures Volatility
Sumudu W. Watugala
University of Oxford - Said Business School
Date Posted: December 05, 2014
Last Revised: December 10, 2014
Working Paper Series
45 downloads

Incl. Electronic Paper The Effect of Credit Default Swaps on Risk Shifting
Chanatip Kitwiwattanachai and Jiyoon Lee
University of Connecticut and University of Illinois at Urbana-Champaign
Date Posted: December 05, 2014
Working Paper Series
20 downloads

Incl. Electronic Paper Learning Network Structure of Financial Institutions from CDS Data
Chanatip Kitwiwattanachai
University of Connecticut
Date Posted: December 04, 2014
Working Paper Series
10 downloads

Incl. Electronic Paper A Comparative Analysis of Liquidity Measures
Yuping Huang and Vasilios I. Sogiakas
University of Glasgow and University of Glasgow
Date Posted: December 03, 2014
Working Paper Series
67 downloads

Incl. Electronic Paper Accounting for Derivative Instruments and Hedging Activities
Journal of Financial Risk Management, 2014, 3, 151-165, DOI 10.4236/jfrm.2014.34013
Veliota Drakopoulou
Ashford University
Date Posted: December 03, 2014
Accepted Paper Series
36 downloads

Incl. Electronic Paper Dynamic Hedging of Longevity Risk: The Effect of Trading Frequency
Hong Li
Tilburg University - Center for Economic Research (CentER)
Date Posted: December 02, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Financial Management, Corporate Governance and Risk Management: A Feminist Perspective Using an Optimization Approach
Desi Adhariani , Robert Clift and Nick Sciulli
University of Indonesia , Victoria University and Victoria University
Date Posted: December 02, 2014
Working Paper Series
20 downloads

Incl. Electronic Paper Does Change in Information Environment Affect the Choice between Bank Debt and Public Debt?
Xu Li , Chen Lin and Xintong Zhan
University of Hong Kong , University of Hong Kong - Faculty of Business and Economics and Chinese University of Hong Kong
Date Posted: December 01, 2014
Working Paper Series
16 downloads

New Insights for Corporate Strategists from a Renowned Value Investor
Strategy & Leadership, Vol. 42, No. 6, pp. 29-36, 2014
Joseph Calandro Jr.
Fordham University - Gabelli Center for Global Security Analysis
Date Posted: December 01, 2014
Accepted Paper Series

Incl. Electronic Paper Asymptotic Behaviour of the Fractional Heston Model
Hamza Guennoun , Antoine Jacquier and Patrick Roome
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees , Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Date Posted: November 30, 2014
Working Paper Series
48 downloads

Incl. Electronic Paper Bayesian Model Choice of Grouped T-Copula
Methodology and Computing in Applied Probability 14(4), pp. 1097-1119, 2012, DOI 10.1007/s11009-011-9220-4
Xiaolin Luo and Pavel V. Shevchenko
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Date Posted: November 29, 2014
Accepted Paper Series
2 downloads

Incl. Electronic Paper Strategic Allocation to Less Liquid Assets
I-VW-HSG Trendmonitor 4-2014
Felix Schlumpf and Catalina Martínez Gutiérrez
Zurich Insurance Company Ltd and Zurich Insurance Compant Ltd
Date Posted: November 29, 2014
Last Revised: December 16, 2014
Accepted Paper Series
13 downloads

Incl. Electronic Paper Two Examples of Non Strictly Convex Large Deviations
Stefano De Marco , Antoine Jacquier and Patrick Roome
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees , Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Date Posted: November 28, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Crisis Performance of European Banks – Does Management Ownership Matter?
Bank of Finland Research Discussion Paper No. 28/2014
Hanna Westman
Bank of Finland
Date Posted: November 26, 2014
Working Paper Series
32 downloads

Incl. Electronic Paper The Shipping Crisis Starting in 2008: Could It Have Been Avoided?
Sebastian Opitz , Henry Seidel and Alexander Szimayer
University of Hamburg , University of Hamburg and University of Hamburg - Faculty of Economics and Business Administration
Date Posted: November 26, 2014
Last Revised: November 28, 2014
Working Paper Series
38 downloads

Incl. Electronic Paper A Level Dependent Proportional Strategy for Zero-Edge Games
Muhammed Bashiru
Independent
Date Posted: November 26, 2014
Working Paper Series
20 downloads

Incl. Electronic Paper Contagion of Sovereign Default Risk: The Role of Two Financial Frictions.
Jungjae Park
National University of Singapore - Economics Department
Date Posted: November 26, 2014
Last Revised: December 17, 2014
Working Paper Series
1 downloads

Incl. Electronic Paper Robust Option Pricing with Characteristic Functions and the B-Spline Order of Density Projection
Justin Lars Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Date Posted: November 25, 2014
Last Revised: December 16, 2014
Working Paper Series
53 downloads

Incl. Electronic Paper Counterparty Risk Reduction by the Optimal Netting of OTC Derivatives
Dominic O'Kane
EDHEC Risk Institute
Date Posted: November 25, 2014
Working Paper Series
19 downloads

Incl. Electronic Paper CVA and Wrong-Way Risk: A Model Comparison from a Measure Change Perspective
Frédéric D. Vrins
Louvain School of Management, Université catholique de Louvain
Date Posted: November 25, 2014
Working Paper Series
19 downloads

Contingent Capital Instruments for Large Financial Institutions: A Review of the Literature
Annual Review of Financial Economics, Vol. 6, pp. 225-240, 2014
Mark J. Flannery
University of Florida - Department of Finance, Insurance and Real Estate
Date Posted: November 25, 2014
Accepted Paper Series

Corporate Pension Plans
Annual Review of Financial Economics, Vol. 6, pp. 163-184, 2014
Joao F. Cocco
London Business School
Date Posted: November 25, 2014
Accepted Paper Series

Forward Rate Curve Smoothing
Annual Review of Financial Economics, Vol. 6, pp. 443-458, 2014
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: November 25, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Information Risk and the Cost of Capital
Journal of Risk and Insurance, Vol. 81, Issue 4, pp. 861-882, 2014
David L. Eckles , Martin Halek and Rongrong Zhang
Independent , University of Wisconsin - Madison - Department of Actuarial Science, Risk Management and Insurance and Georgia Southern University
Date Posted: November 25, 2014
Accepted Paper Series

Incl. Fee Electronic Paper The Effectiveness of Gap Insurance with Respect to Basis Risk in a Shareholder Value Maximization Setting
Journal of Risk and Insurance, Vol. 81, Issue 4, pp. 831-860, 2014
Nadine Gatzert and Ralf Kellner
Friedrich-Alexander-University of Erlangen-Nuremberg and University of Erlangen-Nuremberg
Date Posted: November 25, 2014
Accepted Paper Series

Incl. Fee Electronic Paper The Effect of Secondary Markets on Equity‐Linked Life Insurance with Surrender Guarantees
Journal of Risk and Insurance, Vol. 81, Issue 4, pp. 943-968, 2014
Christian Hilpert and Alexander Szimayer
University of Hamburg and University of Hamburg - Faculty of Economics and Business Administration
Date Posted: November 25, 2014
Accepted Paper Series

Incl. Electronic Paper The Impact of Liberalization and Environmental Policy On Financial Risk-Return Profiles of European Energy Utilities
USAEE Working Paper No. 14-183
Daniel J. Tulloch , Ivan Diaz-Rainey and I. M. Premachandra
University of Otago - School of Business , University of Otago - School of Business and University of Otago - Department of Accountancy and Finance
Date Posted: November 24, 2014
Working Paper Series
21 downloads

Anticipating Market Model Failure: Competitive Pressure and the Mortgage Backed Securities Market
Journal of Risk Management in Financial Institutions, Vol. 7, No. 2, March 2014
Jean Czerlinski Whitmore
Independent
Date Posted: November 24, 2014
Accepted Paper Series

Incl. Electronic Paper Probability and Pertinence
Adela Baho and Alain Ruttiens
Aix-Marseille School of Economics and ESCP Europe
Date Posted: November 24, 2014
Working Paper Series
15 downloads

Incl. Electronic Paper Dynamic Operational Risk: Modeling Dependence and Combining Different Sources of Information
The Journal of Operational Risk 4(2), pp. 69-104, 2009
Gareth William Peters , Pavel V. Shevchenko and Mario V. Wuthrich
University College London - Department of Statistical Science , Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and RiskLab, ETH Zurich
Date Posted: November 23, 2014
Accepted Paper Series
5 downloads

Incl. Electronic Paper Prospect Theory and Two Moment Model: The Firm Under Price Uncertainty
Dresden Discussion Paper in Economics No. 01/09
Udo Broll , Martin Egozcue and Wing-Keung Wong
Dresden University of Technology - Faculty of Economics and Business Management , Universidad de la Republica and Hong Kong Baptist University (HKBU)
Date Posted: November 23, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper An Analysis of Italian Bad Loans: Determinants, Forecasts and Transmission to the Real Economy
Alessandro Carboni and Andrea Carboni
University of Siena and University of Siena
Date Posted: November 22, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper Two Maxentropic Approaches to Determine the Probability Density of Compound Risk Losses
Erika Gomes-Gonçalves , Henryk Gzyl and Silvia Mayoral
Universidad Carlos III de Madrid - Department of Business Administration , IESA and Universidad Carlos III de Madrid
Date Posted: November 22, 2014
Working Paper Series
15 downloads

Incl. Electronic Paper Approximations of VAR as an Extreme Quantile of a Random Sum of Heavy-Tailed Random Variables
The Journal of Operational Risk, Forthcoming
Lincoln Hannah and Borek Puza
Sungard Financial Systems and Australian National University
Date Posted: November 22, 2014
Accepted Paper Series
15 downloads

Incl. Electronic Paper Linear Factor Models: Theory, Applications and Pitfalls
Attilio Meucci
SYMMYS
Date Posted: November 21, 2014
Last Revised: December 08, 2014
Working Paper Series
881 downloads


 

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