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SSRN eLibrary Search Results
Risk Management eJournal
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Showing Papers 1 - 50 of 8,290
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Incl. Electronic Paper Many Risks, One (Optimal) Portfolio
Cristian Homescu
Independent
Date Posted: July 30, 2014
Working Paper Series
17 downloads

Incl. Electronic Paper Evaluating Contingent Convertible Securities
Richard Bußmann
China Agricultural University 中国农业大学
Date Posted: July 29, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper Cross-Market Spillovers with ‘Volatility Surprise’
Sofiane Aboura and Julien Chevallier
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG) and IPAG Business School
Date Posted: July 28, 2014
Working Paper Series
7 downloads

Short Interest and Credit Spread Dynamics
Vichet Sum
University of Maryland Eastern Shore - School of Business and Technology
Date Posted: July 27, 2014
Working Paper Series

R2 and Idiosyncratic Risk Are Not Interchangeable
Accounting Review, Forthcoming
Bin Li , Shivaram Rajgopal and Mohan Venkatachalam
University of Texas at Dallas - Naveen Jindal School of Management , Emory University - Goizueta Business School and Duke University - Fuqua School of Business
Date Posted: July 27, 2014
Accepted Paper Series

Incl. Electronic Paper The Quest for Financial Stability in the Euro Area: The Role of Government Interventions
Renatas Kizys , Nikos Paltalidis and Konstantinos P. Vergos
Portsmouth Business School , Portsmouth Business School and University of Portsmouth
Date Posted: July 27, 2014
Working Paper Series
9 downloads

Risk Management in Construction Projects Using Combined Analytic Hierarchy Process and Risk Map Framework
The IUP Journal of Operations Management, Vol. XII, No. 4, November 2013, pp. 23-53
Satyendra Kumar Sharma
Birla Institute of Technology and Science (BITS)
Date Posted: July 27, 2014
Accepted Paper Series

Incl. Electronic Paper Score Driven Exponentially Weighted Moving Average and Value-at-Risk Forecasting
Tinbergen Institute Discussion Paper No. 14-092/IV/DSF77
Andre Lucas
VU University Amsterdam - Faculty of Economics and Business
Date Posted: July 26, 2014
Working Paper Series
2 downloads

Incl. Fee Electronic Paper Accountability and Expertise in Public Sector Risk Management: A Case Study
Financial Accountability & Management, Vol. 30, Issue 3, pp. 322-341, 2014
Tommaso Palermo
London School of Economics & Political Science (LSE) - Department of Accounting
Date Posted: July 26, 2014
Accepted Paper Series

Incl. Fee Electronic Paper What Lies Beneath? The Role of Informal and Hidden Networks in the Management of Crises
Financial Accountability & Management, Vol. 30, Issue 3, pp. 259-278, 2014
Denis Fischbacher‐Smith and Moira Fischbacher-Smith
University of Glasgow - Department of Business and Management and University of Glasgow - Department of Business and Management
Date Posted: July 26, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Winging it? Defence Procurement as Risk Management
Financial Accountability & Management, Vol. 30, Issue 3, pp. 303-321, 2014
John Louth and Rebecca Boden
Royal United Services Institute for Defense and Security Studies and University of Roehampton
Date Posted: July 26, 2014
Accepted Paper Series

Offshore Operations and Bank Loan Contracting: Evidence from Firms that Set Up Subsidiaries in Offshore Financial Centers
Wenxia Ge , Jeong-Bon Kim V , TieMei Li and Yutao Li
University of Manitoba - Asper School of Business , City University of Hong Kong , University of Ottawa - School of Management and University of Lethbridge
Date Posted: July 26, 2014
Working Paper Series

Incl. Electronic Paper Unique Equilibrium in the Eaton-Gersovitz Model of Sovereign Debt
MIT Department of Economics Graduate Student Research Paper No. 14-01
Adrien Auclert and Matthew Rognlie
Massachusetts Institute of Technology (MIT) - Department of Economics and Massachusetts Institute of Technology (MIT) - Department of Economics
Date Posted: July 26, 2014
Last Revised: July 30, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper The Price of Variance Risk
Ian Dew-Becker , Stefano Giglio , Anh Le and Marius Rodriguez
Kellogg School of Management - Department of Finance , University of Chicago - Booth School of Business , University of North Carolina Kenan-Flagler Business School and Federal Reserve Banks - Federal Reserve Bank of San Francisco
Date Posted: July 26, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper Riding the Bubble with Convex Incentives
Juan M. Sotes-Paladino and Fernando Zapatero
The University of Melbourne - Department of Finance and University of Southern California - Marshall School of Business
Date Posted: July 25, 2014
Working Paper Series
8 downloads

Additive Subordination and Its Applications in Finance
Jing Li , Lingfei Li and Rafael Mendoza-Arriaga
Independent , The Chinese University of Hong Kong and University of Texas at Austin - Department of Information, Risk and Operations Management
Date Posted: July 25, 2014
Working Paper Series

Incl. Electronic Paper Deconstructing the Volatility Smile
Romano Trabalzini and William A McGhee
Imperial College London and Royal Bank of Scotland (RBS)
Date Posted: July 25, 2014
Working Paper Series
22 downloads

Incl. Electronic Paper Generalized Little's Law and an Asset Picking System to Model an Investment Portfolio: A Working Prototype
MIT Sloan Research Paper No. 5105-14
Marialuisa E A Ceprini
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: July 25, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper Electricity Futures Prices: Time Varying Sensitivity to Fundamentals
IEB Working Paper N. 2014/21
Stein-Erik Fleten , Ronald Huisman , Mehtap Kilic , Enrico Pennings and Sjur Westgaard
Norwegian University of Science and Technology (NTNU) , Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) , Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) , Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Date Posted: July 25, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper Determinants and Interactions of Sustainability and Risk Management of Commercial Cattle Farmers in Namibia
Jessica Ingenillem , Joachim Merz and Stefan Baumgärtner
University of Lueneburg , Research Institute on Professions and Leuphana University of Lüneburg - Dept. of Sustainability Sciences and Dept. of Economics
Date Posted: July 25, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Managerial Incentives, Moral Hazard and Risk Management
Chang Mo Kang
University of New South Wales (UNSW) - School of Banking and Finance
Date Posted: July 25, 2014
Working Paper Series
6 downloads

Incl. Fee Electronic Paper Liquidity Risk and U.S. Bank Lending at Home and Abroad
NBER Working Paper No. w20285
Ricardo Correa , Linda S. Goldberg and Tara Rice
Board of Governors of the Federal Reserve System , Federal Reserve Bank of New York and Board of Governors of the Federal Reserve System
Date Posted: July 24, 2014
Working Paper Series

Incl. Electronic Paper Determinants of Corporate Hedging Policies and Derivatives Usage in Risk Management Practices of Non-Financial Firms
Wulfenia Journal, ISI Indexed, Impact Factor 0.267, Volume 21 (7), pp. 293-310
Dr. Naveed Iqbal Chaudhry , Mian Saqib Mehmood and Asif Mehmood
Department of Business Administration, University of the Punjab, Gujranwala Campus, Pakistan , Department of Management and Administrative Sciences, University of Gujrat, Gujrat, Pakistan and Superior University/College Lahore
Date Posted: July 24, 2014
Last Revised: July 28, 2014
Accepted Paper Series
8 downloads

Incl. Electronic Paper Construction of Value-at-Risk Forecasts Under Different Distributional Assumptions within a BEKK Framework
Manuela Braione and Nicolas K. Scholtes
Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) and Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)
Date Posted: July 24, 2014
Working Paper Series
12 downloads

Incl. Electronic Paper Cape Around the World: Update 2014 – The Relationship between Risk and Return
Joachim Klement and Oliver Dettmann
Wellershoff & Partners Ltd. and Wellershoff & Partners Ltd
Date Posted: July 24, 2014
Working Paper Series
278 downloads

Incl. Electronic Paper Interpreting Financial Market Crashes as Earthquakes: A New Early Warning System for Medium Term Crashes
Tinbergen Institute Discussion Paper 14-067/III
Francine Gresnigt , Erik Kole and Philip Hans Franses
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) , Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam (EUR) - Department of Econometrics
Date Posted: July 24, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper The Demand for Reinsurance: A Global Perspective and Assessment
Muhammed Altuntas , James R. Garven and Jannes Rauch
University of Cologne - Department of Risk Management and Insurance , Baylor University - Department of Finance, Insurance & Real Estate and University of Cologne
Date Posted: July 24, 2014
Last Revised: July 29, 2014
Working Paper Series
15 downloads

Incl. Electronic Paper Rethinking Risk (II): The Size and Value Effects
Javier Estrada
IESE Business School
Date Posted: July 24, 2014
Working Paper Series
15 downloads

Incl. Electronic Paper Arbitrage-Free Prediction of the Implied Volatility Smile
Risk Magazine, Forthcoming
Petros Dellaportas and Aleksandar Mijatovic
Athens University of Economics and Business and Imperial College London
Date Posted: July 23, 2014
Working Paper Series
22 downloads

Incl. Electronic Paper Predicting Bank Insolvency in the Middle East and North Africa
World Bank Policy Research Working Paper No. 6969
Pietro Calice
World Bank
Date Posted: July 22, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities
Tinbergen Institute Discussion Paper 14-090/III
Anne Opschoor , Dick J. C. van Dijk and Michel van der Wel
VU University Amsterdam , Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam
Date Posted: July 22, 2014
Last Revised: July 23, 2014
Working Paper Series
17 downloads

Incl. Electronic Paper Bank-Firm Credit Network in Japan. An Analysis of a Bipartite Network
Luca Marotta , Salvatore Miccichè , Yoshi Fujiwara , Hiroshi Iyetomi , Hideaki Aoyama , Mauro Gallegati and Rosario N. Mantegna
University of Palermo , University of Palermo - Department of Physics and Chemistry , Kyoto University , Niigata University , Kyoto University , Università Politecnica delle Marche - Faculty of Economics and Central European University
Date Posted: July 22, 2014
Working Paper Series
12 downloads

Incl. Electronic Paper Integrating Retirement and Long-Term Care (LTC) Annuities Using a Notional Defined Contribution (NDC) Framework
Javier Pla-Porcel , Manuel Ventura-Marco and Carlos Vidal-Meliá
GMS Management Solutions S.L. - Risk Department , University of Valencia - Faculty of Economics and University of Valencia - Faculty of Economics
Date Posted: July 22, 2014
Working Paper Series
5 downloads

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
6 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
24 downloads

Incl. Electronic Paper The Effect of Aggregating Accounting Reports on the Quality of the Lending Decision: An Empirical Investigation
Journal of Accounting Research, 1973
A. Rashad Abdel-Khalik
University of Illinois at Urbana-Champaign - Department of Accountancy
Date Posted: July 21, 2014
Accepted Paper Series
4 downloads

Incl. Electronic Paper Options Trading and Firm Innovation
Iván Blanco and David Wehrheim
Universidad Carlos III de Madrid and Universidad Carlos III de Madrid
Date Posted: July 20, 2014
Last Revised: July 25, 2014
Working Paper Series
33 downloads

Incl. Electronic Paper Analysis of Non-Stationary Dynamics in the Financial System
Economics Letters, Vol. 131, No. 3, 2013
Samar K. Guharay , Gaurav S. Thakur , Fred J. Goodman , Scott L. Rosen and Daniel Houser
MITRE Corporation , MITRE Corporation , MITRE Corporation , MITRE Corporation and George Mason University - Department of Economics
Date Posted: July 20, 2014
Accepted Paper Series
4 downloads

Incl. Electronic Paper Power Law Scaling and "Dragon-Kings'' in Distributions of Intraday Financial Drawdown
Swiss Finance Institute Research Paper No. 14-48
Vladimir Filimonov and Didier Sornette
Swiss Federal Institute of Technology Zurich (ETH Zurich) and Swiss Finance Institute
Date Posted: July 20, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper Association between Behavioral Life-Cycle Constructs and Financial Risk Tolerance of Low-to-Moderate-Income Households
Journal of Financial Counseling and Planning, Vol. 25, No. 1, 2014
Tim S. Griesdorn , Jean M. Lown , Sharon A. Devaney , Soo Hyun Cho and David A. Evans
Iowa State University , Utah State University - Emma Eccles Jones College of Education and Human Services , Purdue University - Department of Consumer Sciences and Retailing , South Dakota State University and Purdue University
Date Posted: July 19, 2014
Accepted Paper Series
4 downloads

Incl. Electronic Paper Explicit SABR Calibration Through Simple Expansions
Fabien Le Floc'h and Gary J. Kennedy
Calypso Technology and Clarus Financial Technology
Date Posted: July 18, 2014
Working Paper Series
20 downloads

Risking Other People's Money: Experimental Evidence on Bonus Schemes, Competition, and Altruism
IFN Working Paper No. 989
Ola Andersson , Håkan J. Holm , Jean-Robert Tyran and Erik Wengström
Research Institute of Industrial Economics (IFN) , Lund University - Department of Economics , University of Vienna and University of Copenhagen - Department of Economics
Date Posted: July 17, 2014
Working Paper Series

New Estimates of Time-Varying Currency Betas: A Trivariate BEKK Approach
Economic Modelling, Vol. 42, 2014
Prabhath Jayasinghe , Albert K.C. Tsui and Zhaoyong Zhang
University of Colombo - Department of Business Economics , National University of Singapore (NUS) - Department of Economics and Edith Cowan University - Faculty of Business and Law
Date Posted: July 17, 2014
Accepted Paper Series

Incl. Electronic Paper Strategic Risk Management - A Tale of Two Strategies
Journal of Risk and Governance Volume 3 Issue 2 (2014 Partial)
Patrick J. McConnell
Macquarie University, Applied Finance Centre
Date Posted: July 17, 2014
Accepted Paper Series
14 downloads

Incl. Electronic Paper Classifying as Defensive or Cyclical -- A Bivariate Wavelet Analysis Perspective
Joanna Bruzda
Nicolaus Copernicus University
Date Posted: July 16, 2014
Last Revised: July 28, 2014
Working Paper Series
9 downloads

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

Incl. Electronic Paper The Role of HFT's in Order Flow Toxicity and Stock Price Variance
serhat Yildiz , Bonnie F. Van Ness and Robert A. Van Ness
University of Mississippi - Department of Finance , University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Date Posted: July 16, 2014
Working Paper Series
24 downloads

Incl. Electronic Paper Deriving the Equity/ZC Bond Implied Correlation Using Market Observables
Gilbert Eid
GMIV
Date Posted: July 16, 2014
Last Revised: July 22, 2014
Working Paper Series
58 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
12 downloads

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


 

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