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SSRN eLibrary Search Results
Risk Management eJournal
3,224,397 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Showing Papers 1 - 50 of 8,932
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Robust Comparative Statics of Risk Changes
Management Science, Forthcoming
Diego Nocetti
Clarkson University
Date Posted: March 26, 2015
Accepted Paper Series

Incl. Electronic Paper Benefits of Foreign Ownership: Evidence from Foreign Direct Investment in China
Jian Wang and Xiao Wang
Federal Reserve Bank of Dallas and University of North Dakota - College of Business & Public Administration
Date Posted: March 25, 2015
Working Paper Series
1 downloads

Incl. Electronic Paper Concentrated Capital Losses and the Pricing of Corporate Credit Risk
Emil Siriwardane
NYU Stern School of Business
Date Posted: March 25, 2015
Last Revised: March 26, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper The Probability of Rare Disasters: Estimation and Implications
Emil Siriwardane
NYU Stern School of Business
Date Posted: March 25, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper Measuring Financial Stress – A Country Specific Stress Index for Finland
Bank of Finland Research Discussion Paper No. 7/2015
Jarkko Huotari
Aalto University
Date Posted: March 24, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Indicators Used in Setting the Countercyclical Capital Buffer
Bank of Finland Research Discussion Paper No. 8/2015
Simo Kalatie , Helinä Laakkonen and Eero Tölö
Bank of Finland - Finnish Financial Supervision Authority (FIN-FSA) , Bank of Finland and Bank of Finland - Financial Markets
Date Posted: March 24, 2015
Working Paper Series
4 downloads

Incl. Fee Electronic Paper Insecure Debt
CEPR Discussion Paper No. DP10505
Rafael Matta and Enrico C. Perotti
University of Amsterdam - Finance Group and University of Amsterdam - Finance Group
Date Posted: March 24, 2015
Working Paper Series

Incl. Electronic Paper Toward Robust Early-Warning Models: A Horse Race, Ensembles and Model Uncertainty
Bank of Finland Research Discussion Paper No. 6/2015
Markus Holopainen and Peter Sarlin
RiskLab Finland and Hanken School of Economics
Date Posted: March 24, 2015
Working Paper Series
9 downloads

Incl. Fee Electronic Paper Exchange Rates, Interest Rates, and the Risk Premium
NBER Working Paper No. w21042
Charles M. Engel
University of Wisconsin - Madison - Department of Economics
Date Posted: March 23, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper Asymmetric Responses of Investors within Foreign Exchange Markets to Political Events: Evidence from Nigeria
Oghenovo A. Obrimah
Babcock University
Date Posted: March 23, 2015
Last Revised: March 26, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper The Role of Margin and Spread in Secured Lending: Evidence from the Bilateral Repo Market
Jun Kyung Auh and Mattia Landoni
Georgetown University - Department of Finance and SMU Cox School of Business
Date Posted: March 22, 2015
Working Paper Series
7 downloads

Incl. Electronic Paper Risk Sensitive Control of the Lifetime Ruin Problem
Erhan Bayraktar and Asaf Cohen
University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Date Posted: March 22, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2015 Edition
Aswath Damodaran
New York University - Stern School of Business
Date Posted: March 21, 2015
Working Paper Series
430 downloads

Corporate Real Estate Ownership and Productivity Uncertainty
Real Estate Economics, Forthcoming
Daxuan Zhao and Tien Foo Sing
Agency for Science, Technology and Research and National University of Singapore (NUS) - Department of Real Estate
Date Posted: March 20, 2015
Accepted Paper Series

Incl. Electronic Paper Corporate Risk Management and the Value of Cash Holdings
Adnan Anil Isin , Stanley B. Gyoshev and Kevin McMeeking
Tax Administration Research Centre, University of Exeter , XFI Centre for Finance and Investment - University of Exeter Business School and University of Exeter Business School - Department of Finance
Date Posted: March 20, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper Have Pre-Crisis Levels of Risk Returned in U.S. Structured Products? Evidence from U.S. Subprime Auto ABS, CLOs, and Insurance-Linked Securities Markets
Journal of Structured Finance, Vol. 21, No. 1, Spring 2015, Forthcoming
Christopher L. Culp and J. Paul Forrester
Johns Hopkins University - Institute for Applied Economics, Global Health, and Study of Business Enterprise and Mayer Brown LLP
Date Posted: March 19, 2015
Accepted Paper Series
9 downloads

Incl. Electronic Paper Constant Solution Models of Demand for Risks and Those Missed Distributions
Yiyong Yuan
Southwestern University of Finance and Economics (SWUFE)
Date Posted: March 19, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Adapting the Litterman Prior for Cointegrated VARs
EUI Working Papers, ECO 2011/14
Michal Markun
National Bank of Poland
Date Posted: March 18, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Bond and CDS Pricing with Recovery Risk II: The Stochastic Recovery Black-Cox Model
Albert Cohen and Nick Costanzino
Michigan State University - Department of Mathematics and RiskLab - University of Toronto
Date Posted: March 18, 2015
Last Revised: March 23, 2015
Working Paper Series
20 downloads

Incl. Electronic Paper Value-at-Risk in Turbulence Time
Zhili Cao and Benoit Genest
Chappuis Halder & Cie. - Paris Office and Chappuis Halder & Cie. - London Office
Date Posted: March 17, 2015
Working Paper Series
23 downloads

Incl. Electronic Paper Value-at-Risk and Other Risk Measures
Markus Leippold
University of Zurich - Department of Banking and Finance
Date Posted: March 17, 2015
Working Paper Series
57 downloads

Economic Capital for Bond Insurers
Journal of Fixed Income, Winter 2010, vol. 19, n° 3, 47-65,
Luc Grégoire , Van Son Lai and Issouf Soumaré
Independent , Universite Laval and Laval University
Date Posted: March 16, 2015
Accepted Paper Series

Market Discipline of Canadian Banks’ Letters of Credit Activities: An Empirical Examination
The Service Industries Journal, Issue 22.4, 2002, 187-208
M. Kabir Hassan , Van Son Lai and Min-Teh Yu
University of New Orleans - College of Business Administration - Department of Economics and Finance , Universite Laval and National Chiao Tung University
Date Posted: March 16, 2015
Accepted Paper Series

Incl. Fee Electronic Paper The CAPM Strikes Back? An Investment Model with Disasters
NBER Working Paper No. w21016
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: March 16, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper Hedging, Speculation and Forward Market Equilibrium Under Ambiguity
Vadhindran K. Rao
Metropolitan State University
Date Posted: March 16, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper The Moving Average Crossover Strategy: Does it Work for the S&P500 Market Index?
Ikhlaas Gurrib
Canadian University of Dubai
Date Posted: March 15, 2015
Working Paper Series
39 downloads

Incl. Electronic Paper Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior
Runhuan Feng , Xiaochen Jing and Jan Dhaene
University of Illinois at Urbana-Champaign , University of Illinois at Urbana-Champaign - Department of Mathematics and Katholieke Universiteit Leuven - Faculty of Economics and Business
Date Posted: March 15, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper The Risk Anomaly Tradeoff of Leverage
Malcolm P. Baker and Jeffrey Wurgler
Harvard Business School and NYU Stern School of Business
Date Posted: March 15, 2015
Working Paper Series
61 downloads

Incl. Electronic Paper Correlation Structure and Application In Incremental Risk Charge
Hoa Tuc Ngo
John von Neumann Institute (VNUHCM), Students
Date Posted: March 14, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper MAFI: A Multi-Asset Fragility Indicator Using Principal Component Analysis
Arta Babaee , Eddie Cheng , Anthony George Constantinides , David King , Chenfei Ma , Pedro Rodrigues and Matthias Scheiber
Imperial College London , Schroders Investment Management , Imperial College London , Schroders Investment Management , Schroders Investment Management , Imperial College London and Schroders Investment Management
Date Posted: March 14, 2015
Last Revised: March 17, 2015
Working Paper Series
59 downloads

Incl. Electronic Paper Sophisticated vs. Simple Systemic Risk Measures
University of St.Gallen, School of Finance Research Paper No. 2014/22
David Pankoke
University of Saint Gallen - SoF: School of Finance
Date Posted: March 14, 2015
Working Paper Series
35 downloads

Incl. Electronic Paper A Hybrid Model for Pricing and Hedging of Long Dated Bonds
UNSW Business School Research Paper No. 2015ACTL06
Jan F. Baldeaux , Man Chung Fung , Katja Ignatieva and Eckhard Platen
University of Technology, Sydney , University of New South Wales (UNSW) , University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - School of Finance and Economics
Date Posted: March 13, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper Maxentropic Approach to Decompound Aggregate 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: March 13, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper A Sensitivity Based Approach for CVA Computation
Adil Reghai and Othmane Kettani
Natixis and Independent
Date Posted: March 12, 2015
Working Paper Series
43 downloads

Incl. Electronic Paper Réplication D'Obligations Risquées Avec Des Modèles D'Options (Hedging Risky Bonds with Options Models)
Asshvin Gajadharsingh and Van Son Lai
Laval University - Faculté d'Administration and Universite Laval
Date Posted: March 12, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper A Quantization Approach to the Counterparty Credit Exposure Estimation
michele bonollo , Luca Di Persio , Immacolata Oliva and Andrea Semmoloni
IMT Lucca , University of Verona - Department of Computer Science , University of Verona - Department of Computer Science and Banca Profilo
Date Posted: March 11, 2015
Working Paper Series
28 downloads

Incl. Electronic Paper Relative Risk Perception and the Puzzle of Covered Call Writing
Hammad Siddiqi
University of Queensland
Date Posted: March 10, 2015
Last Revised: March 12, 2015
Working Paper Series
28 downloads

Incl. Electronic Paper On the Market Consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures
Christian-Oliver Ewald , Ruolan Ouyang and Tak-Kuen Siu
University of Glasgow , University of Glasgow - Adam Smith Business School and Macquarie University, Faculty of Business and Economics
Date Posted: March 10, 2015
Last Revised: March 14, 2015
Working Paper Series
56 downloads

Incl. Electronic Paper Diversified Equity Portfolios: The Case to Use Risk-Based Weights to Construct an Investable Equity Index
Alex Sotolongo
Temple University, Students
Date Posted: March 09, 2015
Working Paper Series
32 downloads

Incl. Electronic Paper Credit Scoring and Loan Default
Federal Reserve Bank of Kansas City Working Paper No. 15-02
Geetesh Bhardwaj and Rajdeep Sengupta
SummerHaven Investment Management and Federal Reserve Bank of Kansas City
Date Posted: March 08, 2015
Working Paper Series
23 downloads

Incl. Electronic Paper Filtered Historical Simulation Value-at-Risk Models and Their Competitors
Bank of England Working Paper No. 525
Pedro Gurrola and David Murphy
European Business School (UK) and Bank of England
Date Posted: March 08, 2015
Working Paper Series
39 downloads

Incl. Electronic Paper Optimal Regulation, Executive Compensation and Risk Taking by Financial Institutions
Jens Hilscher , Yoram Landskroner and Alon Raviv
Brandeis University - International Business School , Hebrew University of Jerusalem - Department of Finance and Banking and Brandeis University - International Business School
Date Posted: March 07, 2015
Working Paper Series
37 downloads

Incl. Electronic Paper Emerging Modeling and Simulation (M&S) Application in Risk Management
C. Ariel Pinto , Andreas Tolk and Michael K. McShane
Old Dominion University , Old Dominion University and Old Dominion University
Date Posted: March 07, 2015
Working Paper Series
19 downloads

Incl. Electronic Paper Quantitative Finance
Rossano Giandomenico
IUP & LAP
Date Posted: March 07, 2015
Last Revised: March 25, 2015
Working Paper Series
68 downloads

Restoring Value to Minimum Variance
Journal of Investment Management (JOIM), Second Quarter 2014
Lisa Goldberg , Ran Leshem and Patrick Geddes
Independent , Aperio Group and Aperio Group
Date Posted: March 06, 2015
Accepted Paper Series

Sovereign Wealth and Risk Management: A Framework for Optimal Asset Allocation of Sovereign Wealth
Journal Of Investment Management (JOIM), First Quarter 2014
Zvi Bodie and Marie Briere
Boston University - Department of Finance & Economics and Amundi Asset Management
Date Posted: March 06, 2015
Accepted Paper Series

Incl. Electronic Paper Long-Run International Diversification
Thomas Conlon , John Cotter and Ramazan Gencay
University College Dublin , University College Dublin and Simon Fraser University
Date Posted: March 05, 2015
Working Paper Series
35 downloads

Incl. Electronic Paper Applicability of the Wavelet-Approach for Corporate Hedging
Matthias Pelster and Tobias Springer
Leuphana University Lueneburg and TU Dortmund University
Date Posted: March 04, 2015
Working Paper Series
16 downloads

Incl. Electronic Paper Chinese Style VIEs: Continuing to Sneak Under Smog?
Cornell International Law Journal, Vol. 47, No. 3, 2014
Li Guo
Peking University Law School
Date Posted: March 04, 2015
Accepted Paper Series
22 downloads

Incl. Fee Electronic Paper Optimal Investment Under Relative Performance Concerns
Mathematical Finance, Vol. 25, Issue 2, pp. 221-257, 2015
Gilles‐Edouard Espinosa and Nizar Touzi
Ecole Polytechnique, Paris and Ecole Polytechnique, Paris
Date Posted: March 04, 2015
Accepted Paper Series


 

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