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Risk Management eJournal
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Showing Papers 1 - 50 of 8,247
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Incl. Electronic Paper Short Sale Constraints and Single Stock Futures Listings
Louis Gagnon
Queen's University (Canada) - School of Business
Date Posted: July 21, 2014
Working Paper Series
1 downloads

Incl. Electronic Paper Belief Uncertainty, Volatility Risk Premium, and Speculative Trading
Ming Guo and Hao Zhou
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and PBC School of Finance, Tsinghua University
Date Posted: July 21, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Familiarity Breeds Alternative Investment: Evidence from Corporate Defined-Benefit Pension Plans
Christina Atanasova and Gilles Chemla
Simon Fraser University (SFU) and Imperial College Business School
Date Posted: July 20, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper Tenant Quality and REIT Liquidity Management
Ran Lu-Andrews
University of Connecticut
Date Posted: July 16, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper How to Derive Equity/ZC Bond Implied Correlation Using Market Observables
Gilbert Eid
GMIV
Date Posted: July 16, 2014
Working Paper Series
36 downloads

Incl. Electronic Paper Global Diversification Benefits: Empirical Evidence from Frontier Emerging Markets
Mayank Gupta
Cass Business School City University London
Date Posted: July 15, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Zero Yield and Asset Swap Spreads
Peter Caspers
Independent
Date Posted: July 15, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper The Relative Risk Performance of Islamic Finance: A New Guide to Less Risky Investments
Haitham A Al-Zoubi and Aktham Issa Maghyereh
Social Security and Hashemite University - Department of Finance and Banking
Date Posted: July 15, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper A Test of the HUD Guideline for Borrower Selection of a 30-Year, Fixed-Rate Mortgage
Journal of Financial Counseling and Planning, Vol. 7, No. 1, 1996
Walt Woerheide , John Marquardt and Rich Fortner
Rochester Institute of Technology (RIT) , University of Michigan at Flint and University of Michigan at Flint
Date Posted: July 15, 2014
Accepted Paper Series
1 downloads

Incl. Electronic Paper Bank Lending Channel Effectiveness and Loan Sales in the US
Jonas, M. and S. King. "Bank Lending Channel Effectiveness and Loan Sales in the US," British Journal of Economics, Management & Trade, ISSN: 2278 – 098X,Vol.: 4, Issue.: 1 (January) ,
Michael R. Jonas and Sharmila King
University of San Francisco - Department of Economics and University of the Pacific (UOP) - Department of Economics
Date Posted: July 15, 2014
Accepted Paper Series
1 downloads

Incl. Electronic Paper Is US Bank Lending Sensitive to Exchange Rates? A Panel Data Investigation
Modern Economy 2014(5) pp. 848-863 DOI: 10.4236/me.2014.58078
Michael R. Jonas
University of San Francisco - Department of Economics
Date Posted: July 15, 2014
Accepted Paper Series
2 downloads

Incl. Electronic Paper Analogy Making and the Structure of Implied Volatility Skew
Hammad Siddiqi
University of Queensland
Date Posted: July 14, 2014
Working Paper Series
10 downloads

Incl. Electronic Paper The Paradox of Judicial Foreclosure: Collateral Value Uncertainty and Mortgage Rates
David M. Harrison and Michael Joseph Seiler
Texas Tech University and College of William and Mary - Finance
Date Posted: July 13, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Does Risk Shifting Really Happen? Results from an Experiment
Pablo Hernandez , Paul Povel and Giorgo Sertsios
New York University (NYU) - New York University Abu Dhabi , University of Houston - Department of Finance, C.T. Bauer College of Business and Universidad de los Andes, Chile
Date Posted: July 13, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper Integrating Neural Network and Colonial Competitive Algorithm: A New Approach for Predicting Bankruptcy in Tehran Security Exchange
Asian Economic and Financial Review, 3(11):1528-1539, 2013
Sajad Abdipoor , Ahmad Nasseri , Mojtaba Akbarpour , Hossein Parsian and shahrzad zamani
Panjab University , University of Sistan & Baluchestan , Panjab University , Islamic Azad University (IAU) - Young Researchers and Elite Club and Panjab University
Date Posted: July 13, 2014
Accepted Paper Series
5 downloads

Incl. Electronic Paper Determinants of the Strategic Mortgage Default Cumulative Distribution Function
Michael Joseph Seiler
College of William and Mary - Finance
Date Posted: July 12, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper The Role of Informational Uncertainty in the Decision to Strategically Default
Michael Joseph Seiler
College of William and Mary - Finance
Date Posted: July 12, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper CVA Under Partial Risk Warehousing and Tax Implications
Chris Kenyon and Andrew David Green
Lloyds Banking Group and Lloyds Banking Group
Date Posted: July 12, 2014
Last Revised: July 14, 2014
Working Paper Series
19 downloads

Incl. Electronic Paper Impact of Diversification on Firms’ Performance
American Journal of Scientific Research, 80, 42-53, 2012
Athar Iqbal , Irfan Hameed and Majid Qadeer
Iqra University , Iqra University and Iqra University
Date Posted: July 12, 2014
Accepted Paper Series
4 downloads

Incl. Electronic Paper Horizon Effect in the Term Structure of Long-Run Risk-Return Trade-Offs
CSDA Annals of Computational and Financial Econometrics, Forthcoming
Cedric Okou and Eric Jacquier
University of Quebec at Montreal (UQAM) and Boston University School of Management
Date Posted: July 12, 2014
Accepted Paper Series
11 downloads

Change-Point Analysis for Dependence Structures in Finance and Insurance
In: Risk Measures for the 21st Century, Giorgio Szegoe (Ed.), Wiley Finance Series, 2004, pp. 321-335.
Alexandra Dias and Paul Embrechts
University of Leicester School of Management and Swiss Federal Institute of Technology Zurich
Date Posted: July 11, 2014
Accepted Paper Series

The Art of Dependence Modelling: The Latest Advances in Correlation Analysis
In: Alternative Risk Strategies, Morton Lane (Ed.), Risk Books, London, 2002, pp. 339-356.
Peter Blum , Alexandra Dias and Paul Embrechts
Independent , University of Leicester School of Management and Swiss Federal Institute of Technology Zurich
Date Posted: July 11, 2014
Accepted Paper Series

The Benefits of Socially Responsible Investing: An Active Manager's Perspective
Indrani De and Michelle Clayman
New Amsterdam Partners, LLC and New Amsterdam Partners, LLC
Date Posted: July 11, 2014
Working Paper Series

Incl. Electronic Paper Wide Volatility Spillover Networks
Yoel Furman
University of Oxford - Oxford-Man Institute of Quantitative Finance
Date Posted: July 11, 2014
Last Revised: July 18, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Quantitative Models for Financial Markets
Rossano Giandomenico
UBI Group
Date Posted: July 11, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper Capital Gains Taxes and Risk with a Fixed Supply of Risky Assets
David A. Guenther and Brian M. Williams
University of Oregon - Department of Accounting and University of Oregon
Date Posted: July 11, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Pricing and Hedging of Derivatives in Contagious Markets
Thomas Kokholm
School of Business and Social Sciences, Aarhus University
Date Posted: July 10, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Risk Managing Loan Collateral at the Bank of England
Bank of England Quarterly Bulletin 2014 Q2
Alice Alphandary
Bank of England
Date Posted: July 10, 2014
Accepted Paper Series
10 downloads

Incl. Electronic Paper Executive Compensation Structure and Credit Spreads
SAFE Working Paper No. 60
Stefano Colonnello , Giuliano Curatola and Ngoc Giang Hoang
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute , Goethe University Frankfurt - Research Center SAFE and Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Date Posted: July 10, 2014
Last Revised: July 11, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Equilibrium Commodity Trading
Emmanuel Leclercq and Remy Praz
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute and Swiss Finance Institute at EPFL
Date Posted: July 10, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Creditor Conflict and the Efficiency of Corporate Reorganization
Mark Jenkins and David C. Smith
University of Pennsylvania - Finance Department and University of Virginia (UVA) - McIntire School of Commerce
Date Posted: July 10, 2014
Working Paper Series
2 downloads

Affine-Structure Models and the Pricing of Energy Commodity Derivatives
Ioannis Kyriakou , Nikos K. Nomikos , Panos K. Pouliasis and Nikos C. Papapostolou
City University London - Sir John Cass Business School , Cass Business School, City University London , Sir John Cass Business School and Cass Business School, City University London
Date Posted: July 09, 2014
Working Paper Series

Incl. Electronic Paper A Tide of Cash: Corporate Governance and the Management of Large Cash Windfalls
Håkan Jankensgård and Niclas Andren
Lund University - Department of Business Administration and Lund University - Department of Business Administration
Date Posted: July 09, 2014
Working Paper Series
6 downloads

Incl. Fee Electronic Paper Do Bond Covenants Affect Borrowing Costs?
Journal of Applied Corporate Finance, Vol. 26, Issue 2, pp. 79-84, 2014
Martin S. Fridson , Xiaoyi Xu , Ruili Liu and Yinqiao Yin
Lehmann, Livian, Fridson Advisors LLC , FridsonVision LLC , FridsonVision LLC and Bond Street Group
Date Posted: July 09, 2014
Accepted Paper Series

Incl. Electronic Paper Are the Log-Returns of Italian Open-End Mutual Funds Normally Distributed? A Risk Assessment Perspective
Bank of Italy Temi di Discussione (Working Paper) No. 957
Michele Leonardo Bianchi
Bank of Italy
Date Posted: July 09, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Systemic Risk Measures and their Viability for Banking Supervision
Benjamin Döring , Claudio Nicolai Wewel and Thomas Hartmann-Wendels
University of Cologne , University of Cologne and University of Cologne - Department of Banking
Date Posted: July 09, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper Stochastic Volatility Models as Means of Expressing a Smile
Dean Diavatopoulos and Oleg Sokolinskiy
Villanova University - Department of Finance and Rutgers Business School - Newark and New Brunswick
Date Posted: July 07, 2014
Working Paper Series
12 downloads

Incl. Electronic Paper Time-Varying Exchange Rate Exposure: Evidence from Emerging Markets
Prabhath Jayasinghe
University of Colombo - Department of Business Economics
Date Posted: July 06, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Measuring Time-Varying Market and Currency Risks with Stochastic Dominance: Evidence from Country Level Stock Returns
Sri Lanka Journal of Business Economics, Vol. 5, July 2014
Prabhath Jayasinghe
University of Colombo - Department of Business Economics
Date Posted: July 06, 2014
Accepted Paper Series
3 downloads

Incl. Electronic Paper Linear and Non-Linear Granger Causality between Oil Spot and Futures Prices: A Wavelet Based Test
Journal of International Money and Finance, Forthcoming
Mohammed Alzahrani , Abul M. M. Masih and Omar Al-Titi
King Fahd University of Petroleum & Minerals , King Fahd University of Petroleum & Minerals (KFUPM) - Department of Finance & Economics (FINEC) and King Fahd University of Petroleum & Minerals (KFUPM)
Date Posted: July 06, 2014
Accepted Paper Series
16 downloads

Incl. Electronic Paper Evidence for Sign Asymmetry of Exchange Rate Exposure
Colombo Business Journal, Vol. 01, No. 02, February 2008
Prabhath Jayasinghe
University of Colombo - Department of Business Economics
Date Posted: July 06, 2014
Accepted Paper Series
2 downloads

Incl. Electronic Paper Time-Varying Exchange Rate Exposure Coefficients (Exposure Betas): Evidence from Country Level Stock Returns
Sri Lanka Journal of Economics, Vol. 10, No. 2, December 2009
Prabhath Jayasinghe and Albert K.C. Tsui
University of Colombo - Department of Business Economics and National University of Singapore (NUS) - Department of Economics
Date Posted: July 06, 2014
Accepted Paper Series
3 downloads

Incl. Electronic Paper Accounting for Earnings Announcements in the Pricing of Equity Options
Tim Leung and Marco Santoli
Columbia University and Columbia University
Date Posted: July 05, 2014
Working Paper Series
26 downloads

Incl. Electronic Paper Margins and Financial Collateral for Derivatives Contracts: How to Deal with Procyclical Implications in a Financial Crisis
Journal of Securities Operations & Custody, Volume 6, Number 3
Martina Tambucci
The Italian Securities and Exchange Commission (CONSOB)
Date Posted: July 05, 2014
Accepted Paper Series
5 downloads

Incl. Electronic Paper A Generalized Risk Budgeting Approach to Portfolio Construction
Martin Haugh , Garud Iyengar and Irene Song
Columbia University - Department of Industrial Engineering and Operations Research (IEOR) , Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Date Posted: July 05, 2014
Working Paper Series
26 downloads

Incl. Electronic Paper Capturing Non-Exchangeable Dependence in Multivariate Loss Processes with Nested Archimedean Lévy Copulas
UNSW Australian School of Business Research Paper No. 2014ACTL05
Benjamin Avanzi , Jamie Tao , Bernard Wong and Xinda Yang
University of Montreal - Department of Mathematics and Statistics , Westpac Bank , University of New South Wales (UNSW) - School of Actuarial Studies and University of New South Wales (UNSW) - School of Actuarial Studies
Date Posted: July 04, 2014
Working Paper Series
15 downloads

Incl. Electronic Paper A Quest for More Reliable Estimates of Exchange Rate Exposure
International Research Journal of Finance and Economics, Issue 43, 2010
Prabhath Jayasinghe and Gamini Premaratne
University of Colombo - Department of Business Economics and University of Brunei Darussalam
Date Posted: July 04, 2014
Accepted Paper Series
2 downloads

Incl. Electronic Paper Multi-Elements of Exchange Rate Exposure: Evidence from Japanese Sectoral Returns
CBS Journal of Multidisciplinary Studies Vol. 1, No. 1, December 2010
Prabhath Jayasinghe and Albert K.C. Tsui
University of Colombo - Department of Business Economics and National University of Singapore (NUS) - Department of Economics
Date Posted: July 04, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper Risk-Adjusted Option-Implied Moments
Felix Brinkmann and Olaf Korn
University of Goettingen (Gottingen) and Georg-August-Universität Göttingen
Date Posted: July 03, 2014
Working Paper Series
13 downloads

Corporate Risk Management of Bank Holding Companies in the SFAS133 Framework
Corporate Risk Management of Bank Holding Companies in the SFAS133 Framework, Drakopoulou, Veliota, Ph.D., WALDEN UNIVERSITY, 2013
Veliota Drakopoulou
Ashford University - Forbes School of Business
Date Posted: July 02, 2014
Accepted Paper Series


 

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