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SSRN eLibrary Search Results
Risk Management eJournal
3,190,995 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Showing Papers 1 - 50 of 8,871
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Incl. Electronic Paper A Value Based Cohort Index for Longevity Risk Management
UNSW Business School Research Paper No. 2015ACTL02
Yang Chang and Michael Sherris
School of Risk and Actuarial Studies, ARC Center of Excellence in Population Ageing Research (CEPAR) and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Date Posted: February 26, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Working Capital Management, the Credit Crisis, and Hedging Strategies: Canadian Evidence
Robert L. Kieschnick and Wendy Rotenberg
University of Texas at Dallas and University of Toronto - Rotman School of Management
Date Posted: February 26, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper Treasury Yields and Credit Spread Dynamics: A Regime-Switching Approach
Dimitris A. Georgoutsos and Thomas I. Kounitis
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Accounting and Finance
Date Posted: February 25, 2015
Working Paper Series
7 downloads

Incl. Electronic Paper Output Growth and Financial Distress
John Nkwoma Inekwe
Monash University
Date Posted: February 25, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper Motivating Informed Decisions
Documento CEDE No. 2015-08
Andres Zambrano
Universidad de los Andes, Colombia
Date Posted: February 24, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Are Eurozone Banks Undercapitalized? A Stress Testing Approach to Financial Stability
Dennis Kahlert and Niklas Wagner
Passau University and Passau University
Date Posted: February 24, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper Analogy Based Valuation of Currency Options
Hammad Siddiqi
University of Queensland
Date Posted: February 24, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper Contour Map of Estimation Error for Expected Shortfall
Imre Kondor , Fabio Caccioli , Gabor Papp and Matteo Marsili
Parmenides Foundation , University College London - Financial Computing and Analytics Group, Department of Computer Science , Eötvös Loránd University and Abdus Salam International Centre Theoretical Physics (ICTP)
Date Posted: February 23, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper Debt, Hedging, and Human Capital
FRB Atlanta Working Paper No. 2005-30
Stephen D. Smith and Larry D. Wall
(Deceased) and Federal Reserve Bank of Atlanta - Research Department
Date Posted: February 23, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper Derivatives and Corporate Risk Management: Participation and Volume Decisions in the Insurance Industry
FRB Atlanta Working Paper No. 97-12
J. David Cummins , Richard D. Phillips and Stephen D. Smith
Temple University - Risk Management & Insurance & Actuarial Science , Georgia State University and (Deceased)
Date Posted: February 23, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper The CAPM Strikes Back? An Investment Model with Disasters
Hang Bai , Kewei Hou , Howard Kung and Lu Zhang
Ohio State University (OSU) - Fisher College of Business , Ohio State University (OSU) - Department of Finance , London Business School and Ohio State University - Fisher College of Business
Date Posted: February 23, 2015
Working Paper Series
14 downloads

Incl. Fee Electronic Paper Systemic Risk and the Macroeconomy: An Empirical Evaluation
NBER Working Paper No. w20963
Stefano Giglio , Bryan T. Kelly and Seth Pruitt
University of Chicago - Booth School of Business , University of Chicago - Booth School of Business and Arizona State University (ASU) - Finance Department
Date Posted: February 23, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper Central Counterparties: Addressing Their Too Important to Fail Nature
IMF Working Paper No. 15/21
Froukelien Wendt
International Monetary Fund (IMF)
Date Posted: February 23, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper Portfolio Insurance with Adaptive Protection (PIWAP)
François Soupé , Thomas Heckel and Raul Leote de Carvalho
THEAM, BNP Paribas Investment Partners , BNP Paribas Asset Management and BNP Paribas Investment Partners
Date Posted: February 22, 2015
Working Paper Series
22 downloads

Incl. Electronic Paper How to Stress Test Benchmark Relative Portfolios
Daniel Satchkov
RiXtrema Inc.
Date Posted: February 22, 2015
Working Paper Series
11 downloads

Incl. Fee Electronic Paper An OLG Model for Optimal Investment and Insurance Decisions
Journal of Risk and Insurance, Vol. 82, Issue 1, pp. 149-172, 2015
Bingqing Li , Pu Liao and Jingfeng Xu
Nankai University - School of Economics , Nankai University - School of Economics and Central University of Finance and Economics (CUFE)
Date Posted: February 21, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Lender Exposure and Effort in the Syndicated Loan Market
Journal of Risk and Insurance, Vol. 82, Issue 1, pp. 205-252, 2015
Nada Mora
Federal Reserve Banks - Federal Reserve Bank of Richmond
Date Posted: February 21, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Longevity Selection and Liabilities in Public Sector Pension Funds
Journal of Risk and Insurance, Vol. 82, Issue 1, pp. 33-64, 2015
Joelle H. Fong , John Piggott and Michael Sherris
SIM University , University of New South Wales (UNSW) - Australian School of Business, School of Economics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Date Posted: February 21, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Nonexclusivity, Linear Pricing, and Annuity Market Screening
Journal of Risk and Insurance, Vol. 82, Issue 1, pp. 1-32, 2015
Casey Rothschild
Wellesley College
Date Posted: February 21, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Solvency Analysis and Prediction in Property–Casualty Insurance: Incorporating Economic and Market Predictors
Journal of Risk and Insurance, Vol. 82, Issue 1, pp. 97-124, 2015
Li Zhang and Norma Nielson
Saint Cloud State University - G. R. Herberger College of Business and University of Calgary
Date Posted: February 21, 2015
Accepted Paper Series

Incl. Electronic Paper Creditor Control Rights and Firm Cash Holdings
FMA, 2013
Bill B. Francis , Xian Sun and Qiang Wu
Rensselaer Polytechnic Institute (RPI) - Lally School of Management , Johns Hopkins University - Carey Business School and Rensselaer Polytechnic Institute (RPI) - Lally School of Management
Date Posted: February 21, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper The Real Effects of Credit Default Swaps
Andras Danis and Andrea Gamba
Georgia Institute of Technology and University of Warwick - Finance Group
Date Posted: February 20, 2015
Working Paper Series
27 downloads

Incl. Electronic Paper A Tale of Two Vintages: Credit Limit Management Before and After the CARD Act and Great Recession
FRB of Philadelphia - Payment Cards Center Discussion Paper No. 15-01
Larry Santucci
Federal Reserve Bank of Philadelphia
Date Posted: February 19, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper Predicting Market Risk with Density Combination: An Introduction
David Ardia and Jeremy Kolly
Laval University - Département de Finance et Assurance and Laval University - Finance, Insurance and Real Estate Department
Date Posted: February 19, 2015
Last Revised: February 20, 2015
Working Paper Series
21 downloads

Incl. Electronic Paper Downside Risk Neutral Probabilities
Pierre Chaigneau and Louis Eeckhoudt
HEC Montreal and Facultes Universitaires Catholiques de Mons (FUCAM)
Date Posted: February 19, 2015
Last Revised: February 21, 2015
Working Paper Series
13 downloads

Incl. Electronic Paper The Fundamental Theorem of Derivative Trading - Exposition, Extensions, and Experiments
Simon Ellersgaard Nielsen , Martin Jönsson and Rolf Poulsen
University of Copenhagen , University of Copenhagen and University of Copenhagen - Department of Statistics and Operations Research
Date Posted: February 18, 2015
Working Paper Series
123 downloads

Incl. Electronic Paper Nonparametric Estimates of Option Prices Using Superhedging
University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 293
Gianluca Cassese
University of Milan, Bicocca - Department of Economics, Quantitative Methods and Business Strategies (DEMS)
Date Posted: February 18, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper Country versus Region Effects in International Stock Returns
FRB Atlanta Working Paper No. 2002-20b
Robin Brooks and Marco Del Negro
International Monetary Fund (IMF) - Financial Studies Division and Federal Reserve Bank of New York
Date Posted: February 18, 2015
Working Paper Series
7 downloads

Incl. Electronic Paper The Market Price of Credit Risk and Economic States
Klaus Grobys and Jesper Haga
University of Vaasa and Hanken School of Economics - Department of Finance and Statistics
Date Posted: February 18, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper European Natural Gas Seasonal Effects on Futures Hedging
FEEM Working Paper No. 10.2015
Beatriz Martínez and Hipòlit Torró
University of Valencia and University of Valencia
Date Posted: February 18, 2015
Working Paper Series
11 downloads

Incl. Fee Electronic Paper State Capitalism vs. Private Enterprise
CEPR Discussion Paper No. DP10423
Donghua Chen , Alexander Ljungqvist , Haitian Lu and Mingming Zhou
Nanjing University , New York University (NYU) - Department of Finance , Hong Kong Polytechnic University and University of Colorado, Colorado Springs - College of Business
Date Posted: February 17, 2015
Working Paper Series

Incl. Electronic Paper Corporate Governance, Credit Risk, Performance and its Determinants of Banks in BRICS Countries & Applications for Banks in Brunei Darussalam
Ulaganathan Subramanian
Institut Teknologi Brunei
Date Posted: February 17, 2015
Working Paper Series
26 downloads

Incl. Electronic Paper On the Optimal Design of Insurance Contracts with the Restriction of Equity Risk
Wujun Sun and Dan-Dan Dong
Nanjing University and Nanjing University
Date Posted: February 16, 2015
Working Paper Series
5 downloads

Incl. Fee Electronic Paper Decision-Making Approaches and the Propensity to Default: Evidence and Implications
NBER Working Paper No. w20949
Jeffrey R. Brown , Anne M. Farrell and Scott J. Weisbenner
University of Illinois at Urbana-Champaign - Department of Finance , Miami University of Ohio - Farmer School of Business - Department of Accountancy and University of Illinois at Urbana-Champaign - Department of Finance
Date Posted: February 16, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Building a Carbon-Free Equity Portfolio
Patrick Geddes , Lisa R. Goldberg , Robert Tymoczko and Michael Branch
Aperio Group , University of California, Berkeley , Aperio Group and Aperio Group
Date Posted: February 16, 2015
Working Paper Series
23 downloads

Incl. Electronic Paper Rebalancing Multiple Assets with Mutual Price Impact
Paolo Guasoni and Marko Weber
Boston University - Department of Mathematics and Statistics and Dublin City University - School of Mathematical Sciences
Date Posted: February 15, 2015
Working Paper Series
34 downloads

Incl. Electronic Paper Margin Requirements and Portfolio Optimization: A Geometric Approach
Journal of Asset Management, 15(3), June 2014, pp.191-204
Sheng Guo
Florida International University
Date Posted: February 15, 2015
Accepted Paper Series
20 downloads

Incl. Electronic Paper A Note on Portfolio Performance Attribution: Taking Risk into Account
Philippe Bertrand
IAE Aix-en-Provence, Aix Marseille University, CERGAM
Date Posted: February 15, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper Financial Crises, Debt Financing, and Default Risks
Wan-Chien Chiu , Juan Ignacio Peña and Chih-Wei Wang
Adam Smith Business School, University of Glasgow , Universidad Carlos III de Madrid - Department of Business Administration and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Date Posted: February 14, 2015
Working Paper Series
27 downloads

Incl. Electronic Paper Time-Consistent Investment-Reinsurance Strategy for Mean-Variance Insurers With a Defaultable Security
Hui Zhao , Yang Shen and Yan Zeng
Tianjin University , University of New South Wales (UNSW) - Australian School of Business and Lingnan College, Sun Yat-sen University
Date Posted: February 14, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper Bayesian Estimation of Time-Changed Default Intensity Models
FEDS Working Paper No. 2015-002
Michael B. Gordy and Pawel Szerszen
Board of Governors of the Federal Reserve and Board of Governors of the Federal Reserve System (FRB)
Date Posted: February 14, 2015
Working Paper Series
13 downloads

Incl. Electronic Paper Loan Sales and Bank Liquidity Risk Management: Evidence from a U.S. Credit Register
FEDS Working Paper No. 2015-001
Rustom M. Irani and Ralf R. Meisenzahl
University of Illinois at Urbana-Champaign - Department of Finance and Federal Reserve Board
Date Posted: February 14, 2015
Working Paper Series
23 downloads

Incl. Electronic Paper Robust Long-Term Interest Rate Risk Hedging in Incomplete Bond Markets
Netspar Discussion Paper No. 08/2014-063
Sally Shen , Antoon Pelsser and Peter C. Schotman
Maastricht University , Maastricht University and Maastricht University
Date Posted: February 14, 2015
Working Paper Series
13 downloads

Incl. Electronic Paper Mortality Lead Lags
Andreas Milidonis and Maria Efthymiou
Nanyang Technological University (NTU) - Division of Banking & Finance and University of Cyprus - Department of Public and Business Administration
Date Posted: February 14, 2015
Working Paper Series
16 downloads

Incl. Electronic Paper Solving Semi-Linear Risky-Closeout PDE by Discount Boundary Optimization
Vladimir Piterbarg
Independent
Date Posted: February 14, 2015
Last Revised: February 23, 2015
Working Paper Series
27 downloads

Incl. Electronic Paper Pricing and Hedging in Incomplete Markets with Model Ambiguity
Netspar Discussion Paper No. 01/2015-002
Anne Balter and Antoon Pelsser
Maastricht University and Maastricht University
Date Posted: February 14, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper A Microsimulation Model to Evaluate Italian Households’ Financial Vulnerability
Bank of Italy Occasional Paper No. 225
Valentina Michelangeli and Mario Pietrunti
Bank of Italy and Bank of Italy
Date Posted: February 13, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper Cornier Creepier Corporate Creditor: A Theoretical Model for the Term Structure of Corporate Credit Based on Competitive Advantage
Myuran Rajaratnam , Balakanapathy Rajaratnam and Kanshukan Rajaratnam
University of the Witwatersrand - School of Economics and Business Sciences , Stanford University and University of Cape Town (UCT) - Department of Finance and Tax
Date Posted: February 12, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper Academic Insider Trading
John W. Bagby
Pennsylvania State University
Date Posted: February 11, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper Optimal Hedge for Value-Maximizing Firms and Risk-Averse Agents, A General Model
Yiyong Yuan
Southwestern University of Finance and Economics (SWUFE)
Date Posted: February 09, 2015
Working Paper Series
5 downloads


 

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