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SSRN eLibrary Search Results
Risk Management eJournal
3,294,201 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Showing Papers 1 - 50 of 9,073
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Incl. Electronic Paper Invariance, Existence and Uniqueness of Solutions of Nonlinear Valuation PDEs and FBSDEs Inclusive of Credit Risk, Collateral and Funding Costs
Damiano Brigo , Marco Francischello and Andrea Pallavicini
Imperial College London - Department of Mathematics , Imperial College London - Department of Mathematics and Banca IMI
Date Posted: June 02, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Network Centrality, Failure Prediction and Systemic Risk
Abalfazl Zareei
Universidad Carlos III de Madrid
Date Posted: June 02, 2015
Working Paper Series
3 downloads

Incl. Fee Electronic Paper Foreign Debt Usage in Non‐Financial Firms: A Horse Race between Operating and Accounting Exposure Hedging
European Financial Management, Vol. 21, Issue 3, pp. 590-611, 2015
Tom Aabo , Marianna Andryeyeva Hansen and Yaz Gulnur Muradoglu
Aarhus University , Novozymes A/S and Queen Mary University of London
Date Posted: June 02, 2015
Accepted Paper Series

Incl. Electronic Paper Risk Parity Portfolio: An Alternative for the Spanish Stock Market
Saul Sala Peñalver and Juan Carlos Matallin Saez
Universidad Jaume I and Universidad Jaume I
Date Posted: June 02, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper Analytical Approximation for the Distorted Expectations
Xianming Sun
Central South University
Date Posted: June 01, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper Intelligent Commodity Trading and Risk Management
Hilary Till
EDHEC Business School
Date Posted: May 31, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper The Highs and the Lows: A Theory of Credit Risk Assessment and Pricing Through the Business Cycle
Anjan V. Thakor
Washington University, Saint Louis - John M. Olin School of Business
Date Posted: May 31, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper Forecasting with VAR Models: Fat Tails and Stochastic Volatility
Bank of England Working Paper No. 528
Ching-Wai (Jeremy) Chiu , Haroon Mumtaz and Gabor Pinter
Bank of England , Queen Mary, University of London and Bank of England
Date Posted: May 31, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper Default Risk Premium in Credit and Equity Market: A New Approach for Structural Model Estimation
Alessandro Beber , Raffaele Corvino and Gianluca Fusai
Cass Business School , City University London - Sir John Cass Business School and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Date Posted: May 30, 2015
Working Paper Series
27 downloads

Incl. Electronic Paper Measurement of Systemic Risk in the Financial System
Naval Bharti Verma and Ajay Pandey
International Management Institute, New Delhi, India and Indian Institute of Management (IIM), Ahmedabad
Date Posted: May 30, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper The Most Dangerous Model: A Natural Benchmark for Assessing Model Risk
Society of Actuaries Monograph: Enterprise Risk Management Symposium, 2015
John A Major , Ruodu Wang and Micah G Woolstenhulme
Guy Carpenter & Company, LLC , University of Waterloo - Department of Statistics and Actuarial Science and Guy Carpenter & Company, LLC
Date Posted: May 30, 2015
Accepted Paper Series
9 downloads

Incl. Electronic Paper Tales of Tails and Their Removal in Real Estate Portfolios: Does Normality Prevent from Risk?
Michael Stein
University of Duisburg-Essen
Date Posted: May 30, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper The Econometrics of Networks: A Review
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 13/WP/2015
Daniel Felix Ahelegbey
Ca Foscari University of Venice - Department of Economics
Date Posted: May 30, 2015
Working Paper Series
18 downloads

Incl. Electronic Paper The 2012 Eurozone Crisis and the ECB's OMT Program: A Debt-Overhang Banking and Sovereign Crisis Interpretation
FRB of Cleveland Working Paper No. 15-09
Filippo Occhino
Federal Reserve Banks - Federal Reserve Bank of Cleveland
Date Posted: May 29, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper Enterprise Risk Management: A Study About the Level of ERM Implementation in Brazilian Companies Issuing ADRs
Jose L. B. Fernandes , Alberto S. Matsumoto , Raphael G Araujo and Ricardo Gonçalves Silva
Universidade Católica de Brasília , Universidade Católica de Brasília , Catholic University of Brazil (UCB) and Catholic University of Brazil (UCB)
Date Posted: May 29, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Fitting a Distribution to Value-at-Risk and Expected Shortfall, with an Application to Covered Bonds
Dirk Tasche
Bank of England - Prudential Regulation Authority
Date Posted: May 29, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Hedging and Speculative Pressures and the Transition of the Spot-Futures Relationship in Metal and Energy Markets
Jin Suk Park and Yukun Shi
Oxford Brookes University - Business School and Middlesex University
Date Posted: May 28, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper DARM and DALM, Generalized Portfolio Insurance for Asset Only and Asset Liability Approaches
Adina Grigoriu
Active Asset Allocation
Date Posted: May 28, 2015
Working Paper Series
25 downloads

Incl. Electronic Paper Challenges in Commodities Risk Management
Hilary Till
EDHEC Business School
Date Posted: May 28, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper How to Price Recovery Risk
CreditFlux, April 2015
Albert Cohen and Nick Costanzino
Michigan State University - Department of Mathematics and RiskLab - University of Toronto
Date Posted: May 27, 2015
Accepted Paper Series
18 downloads

Incl. Electronic Paper An Analysis of Australian Banks’ Operational Risk Events Using Evolutionary Techniques
Yifei Li , Neil Allan and John R. Evans
University of Wollongong - Sydney Business School , Systemic Consult Ltd and University of Wollongong - Sydney Business School
Date Posted: May 27, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper The Firm-Value Risk Model
John A Major
Guy Carpenter & Company, LLC
Date Posted: May 27, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Unifying Portfolio Diversification Measures Using Rao's Quadratic Entropy
CIRPEE Working Paper 15-08
Benoit Carmichael , Gilles Koumou and Kevin Moran
Laval University , Laval University - Département d'Économique and Laval University - Department of Economics
Date Posted: May 26, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper Non-Zero-Sum Stochastic Differential Reinsurance and Investment Games with Default Risk
Chao Deng , Xudong Zeng and Huiming Zhu
Hunan University - College of Business Adminstration , Shanghai University of Finance and Economics, School of Finance and Hunan University - College of Business Adminstration
Date Posted: May 26, 2015
Last Revised: May 27, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper Prioritization and Mutualization: Clearinghouses and the Redundancy of the Bankruptcy Safe Harbors
10 Brooklyn Journal of Corporate, Financial, and Commercial Law (2015), Forthcoming
Adam J. Levitin
Georgetown University Law Center
Date Posted: May 26, 2015
Accepted Paper Series
26 downloads

Incl. Electronic Paper Risk Decomposition for Fund Managers
R/Finance, Chicago, 2015
Matthew Francis Dixon
University of San Francisco - School of Management
Date Posted: May 25, 2015
Last Revised: June 01, 2015
Accepted Paper Series
16 downloads

How Relevant is the Capital Asset Pricing Model (CAPM) for Tests of Market Efficiency on the Nigerian Stock Exchange?
African Development Review, Forthcoming
Oghenovo A. Obrimah , Jacob Alabi and Blessing Chika Ugo-Harry II
Babcock University , Independent and Babcock University - Department of Bursary
Date Posted: May 24, 2015
Accepted Paper Series

Incl. Electronic Paper The Future of Empirical Finance
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: May 24, 2015
Last Revised: June 01, 2015
Working Paper Series
155 downloads

Incl. Electronic Paper FFDs: Reducing Systemic Credit Risk in the OTC Derivatives Market
James Kurt Dew
Tecnológico de Monterrey
Date Posted: May 23, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper On a Connection between Froot-Stein and the De Finetti Optimal Dividends Models
NBER Insurance Workshop, 2008
John A Major
Guy Carpenter & Company, LLC
Date Posted: May 23, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper An Enterprise Perspective of Performance Attribution: Introducing the Keel Model
Robert Brooks
University of Alabama - Department of Economics, Finance and Legal Studies
Date Posted: May 23, 2015
Working Paper Series
14 downloads

Incl. Electronic Paper Performance Evaluation of Banking Sector in BIST
Arda Olmezsoy
Sabanci University - School of Management
Date Posted: May 23, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper Mean and Risk Densities and Their Application to Risk Management
Weihao Choo and Piet De Jong
Macquarie University - Department of Applied Finance and Actuarial Studies and Macquarie University - Department of Applied Finance and Actuarial Studies
Date Posted: May 23, 2015
Working Paper Series
23 downloads

Incl. Electronic Paper When Is CDS Trading Innocuous?
Susan Chenyu Shan , Dragon Yongjun Tang and Hong Yan
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) , The University of Hong Kong - School of Economics and Finance and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Date Posted: May 22, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper The Changing Landscape of Sovereign Credit Risk
David T. Beers
Independent
Date Posted: May 22, 2015
Working Paper Series
20 downloads

Incl. Electronic Paper Analytic Formulas for Options in the Schwartz 97 Multifactor Framework with Added Regime Shifts
Amalia Christoforidou and Christian-Oliver Ewald
University of Glasgow - Adam Smith Business School and University of Glasgow
Date Posted: May 22, 2015
Working Paper Series
23 downloads

Incl. Electronic Paper What Drives Loss Given Default? Evidence From Commercial Real Estate Loans at Failed Banks
FDIC Center for Financial Research Paper No. 2015-03
Emily B. Johnston Ross and Lynn Shibut
Federal Deposit Insurance Corporation (FDIC) and U.S. Federal Deposit Insurance Corporation (FDIC)
Date Posted: May 20, 2015
Working Paper Series
54 downloads

Incl. Electronic Paper A Top-Down Approach to Stress-Testing Banks
FDIC Center for Financial Research Paper No. 2015-02
Oscar A. Mitnik
Federal Deposit Insurance Corporation (FDIC)
Date Posted: May 20, 2015
Working Paper Series
50 downloads

Incl. Electronic Paper Stochastic Volatility for Utility Maximisers - A Risk to Be Hedged?
Simon Ellersgaard Nielsen and Martin Jönsson
University of Copenhagen - Department of Mathematical Sciences and University of Copenhagen, Students
Date Posted: May 19, 2015
Working Paper Series
49 downloads

Incl. Fee Electronic Paper A Multivariate Model of Strategic Asset Allocation with Longevity Risk
CEPR Discussion Paper No. DP10595
Emilio Bisetti , Carlo A. Favero , Giacomo Nocera and Claudio Tebaldi
Carnegie Mellon University - David A. Tepper School of Business , Bocconi University - Department of Finance , Audencia Nantes School of Management and Bocconi University, IGIER and CAREFIN
Date Posted: May 19, 2015
Working Paper Series

Incl. Electronic Paper Will Islamic Banking Make the World Less Risky? An Empirical Analysis of Capital Structure, Risk Shifting and Financial Stability
Tinbergen Institute Discussion Paper 15-051/VI/DSF92
Moazzam Farooq , Sweder van Wijnbergen and Sajjad Zaheer
Tilburg University - CentER, European Banking Center (EBC) , Universiteit van Amsterdam and University of Amsterdam
Date Posted: May 19, 2015
Last Revised: June 02, 2015
Working Paper Series
38 downloads

Incl. Electronic Paper Rare Disaster Concerns Everywhere
George Gao and Zhaogang Song
Cornell University - Samuel Curtis Johnson Graduate School of Management and Board of Governors of the Federal Reserve System (FRB)
Date Posted: May 17, 2015
Working Paper Series
46 downloads

Incl. Electronic Paper Momentum and Markowitz: A Golden Combination
Wouter J. Keller , Adam Butler and Ilya Kipnis
Flex Capital BV , BPG and Associates and QuantStrat TradeR
Date Posted: May 16, 2015
Last Revised: May 22, 2015
Working Paper Series
669 downloads

Incl. Electronic Paper La Supervivencia Empresarial Ante Los Desequilibrios Financieros. Un Análisis Orientado Al Pronóstico Del Fracaso (The Odds of Surviving Financial Imbalances: A Bankruptcy - Focused Analysis)
Carlos Piñeiro-Sánchez , Pablo de Llano-Monelos and Manuel Rodríguez - López Sr.
University of Coruña - Finance and MIS Research Group (FYSIG) - Faculty of Business and Economics , University of Coruña - Faculty of Business and Economics and University of Coruña - Finance and MIS Research Group (fysig)
Date Posted: May 15, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Modelling Annuity Portfolios and Longevity Risk with Extended CreditRiskPlus
Jonas Hirz , Uwe Schmock and Pavel V. Shevchenko
TU Wien , TU Wien and Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Date Posted: May 15, 2015
Last Revised: May 29, 2015
Working Paper Series
26 downloads

Improved VAR Forecasts Using Extreme Value Theory with Realized GARCH Filter
Samit Paul and Prateek Sharma
Indian Institute of Management (IIM), Lucknow and Indian Institute of Management, Lucknow
Date Posted: May 15, 2015
Working Paper Series

Incl. Electronic Paper Closed-Form Option Pricing Formulas for Mean-Reverting Commodity Prices with Regime-Switching
Amalia Christoforidou and Christian-Oliver Ewald
University of Glasgow - Adam Smith Business School and University of Glasgow
Date Posted: May 15, 2015
Last Revised: May 21, 2015
Working Paper Series
43 downloads

Incl. Electronic Paper Rethinking the Building Blocks of the Enterprise Risk Management Model
Alain Ndedi and Mau Kelly Kingsly
Saint Monica University and Saint Monica University
Date Posted: May 15, 2015
Working Paper Series
18 downloads

Incl. Electronic Paper Interconnectedness of the Banking Sector as a Vulnerability to Crises
Michela Rancan , Peter Sarlin and Tuomas A. Peltonen
European University Institute , Hanken School of Economics and European Central Bank (ECB)
Date Posted: May 15, 2015
Working Paper Series
41 downloads

Incl. Electronic Paper An Efficient Algorithm Based on Eigenfunction Expansions for Some Optimal Timing Problems in Finance
Lingfei Li , Xianjun Qu and Gongqiu Zhang
The Chinese University of Hong Kong , Independent and The Chinese University of Hong Kong (CUHK)
Date Posted: May 14, 2015
Working Paper Series
22 downloads


 

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