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Risk Management eJournal
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Showing Papers 1 - 50 of 8,508
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1 2 3 4 ... 171 | Next >
   


Incl. Electronic Paper 4-Factor Model for Overnight Returns
Zura Kakushadze
Quantigic Solutions LLC
Date Posted: October 20, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper Mathematical Appendices to: 'Stop-Outs Under Serial Correlation'
Journal of Risk, 2014, Forthcoming
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Date Posted: October 20, 2014
Accepted Paper Series
12 downloads

Incl. Electronic Paper Measurement of Exchange Rate Exposure Using Two Factor Model: Evidence from CNX 100 Firms
Krishna Prasad and Suprabha
Nitte University - Justice K.S. Hegde Institute of Management and National Institute of Technology Karnataka (NITK), Surathkal - Department of Humanities, Social Sciences and Mgmt
Date Posted: October 19, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper The Real Effects of Liquidity During the Financial Crisis: Evidence from Automobiles
Effi Benmelech , Ralf R. Meisenzahl and Rodney Ramcharan
Harvard University - Department of Economics , Federal Reserve Board and Board of Governors of the Federal Reserve System (FRB)
Date Posted: October 18, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper Do Analysts Understand the Economic and Reporting Complexities of Derivatives?
Hye Sun Chang , Michael P. Donohoe and Theodore Sougiannis
University of Illinois at Urbana-Champaign - Department of Accountancy , University of Illinois at Urbana-Champaign - Department of Accountancy and University of Illinois at Urbana-Champaign - Department of Accountancy
Date Posted: October 17, 2014
Working Paper Series
20 downloads

Incl. Electronic Paper Credit Derivatives and Bank Credit Supply
Wen Si
Shanghai Academy of Social Sciences (SASS)
Date Posted: October 16, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper Factor Tilts after Tax
Lisa R. Goldberg and Ran Leshem
University of California, Berkeley and Aperio Group
Date Posted: October 15, 2014
Working Paper Series
53 downloads

Incl. Electronic Paper A Quantitative Threat Modeling Approach to Maximize the Return on Security Investment in Cloud Computing
Pro­cee­dings of the In­ter­na­tio­nal Con­fe­rence on Cloud Se­cu­ri­ty Ma­nage­ment,
Andreas Schilling and Brigitte Werners
Ruhr Universität Bochum and Ruhr Universität Bochum
Date Posted: October 15, 2014
Last Revised: October 16, 2014
Accepted Paper Series
10 downloads

Incl. Electronic Paper Appendix to Managing Sponsor Risk in Pension Plans: Derivation and Implementation of First-Best Strategies
Samuel J. Sender
Tilburg University - Department of Econometrics & Operations Research
Date Posted: October 14, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Bank Size, Capital, and Systemic Risk: Some International Evidence
Luc Laeven , Lev Ratnovski and Hui Tong
International Monetary Fund (IMF) , International Monetary Fund and International Monetary Fund (IMF)
Date Posted: October 13, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper High-Frequency and Model-Free Volatility Estimators
Robert Slepaczuk and Grzegorz Zakrzewski
University of Warsaw - Faculty of Economic Sciences and Deutsche Bank
Date Posted: October 12, 2014
Working Paper Series
27 downloads

Incl. Electronic Paper Investment Strategies Beating the Market: What Can We Squeeze from the Market?
Robert Slepaczuk , Grzegorz Zakrzewski and Pawel Sakowski
University of Warsaw - Faculty of Economic Sciences , Deutsche Bank and University of Warsaw
Date Posted: October 12, 2014
Working Paper Series
52 downloads

Incl. Electronic Paper Simple Heuristics for Pricing VIX Options
Juliusz Jablecki , Ryszard Kokoszczynski , Pawel Sakowski , Robert Slepaczuk and Piotr Wojcik
University of Warsaw - Faculty of Economic Sciences , Warsaw University - Dept. of Economics , University of Warsaw , University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Date Posted: October 12, 2014
Working Paper Series
20 downloads

Incl. Electronic Paper Volatility as a New Class of Assets? The Advantages of Using Volatility Index Futures in Investment Strategies
Juliusz Jablecki , Ryszard Kokoszczynski , Pawel Sakowski , Robert Slepaczuk and Piotr Wojcik
University of Warsaw - Faculty of Economic Sciences , Warsaw University - Dept. of Economics , University of Warsaw , University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Date Posted: October 12, 2014
Working Paper Series
32 downloads

Incl. Electronic Paper Perspectives on Risk: From Techno-Economic Calculations to Socio-Cultural Meanings
Joel Gehman , Lianne Lefsrud and Michael Lounsbury
University of Alberta - Department of Strategic Management and Organization , University of Michigan, Stephen M. Ross School of Business and University of Alberta - Department of Strategic Management and Organization
Date Posted: October 12, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper The Financial Crisis and the Behavior of S&P 500 Index Option Prices
Mo Chaudhury
McGill University - Desautels Faculty of Management
Date Posted: October 12, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper Financial Derivatives in Corporate Tax Avoidance: A Conceptual Perspective
Journal of American Taxation Association, Forthcoming
Michael P. Donohoe
University of Illinois at Urbana-Champaign - Department of Accountancy
Date Posted: October 11, 2014
Accepted Paper Series
51 downloads

Incl. Electronic Paper Impact of Shari’a Screening on Stock Returns: Evidence from KMI-30
Muhammad Hanif
National University of Computer & Emerging Sciences (NUCES) - FAST School of Management
Date Posted: October 10, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Examining the Relationship between Gold Prices and Gold Mine Extraction Costs: Evidence from Country and Company Data
Fergal A. O'Connor , Dirk G. Baur and Brian M. Lucey
University of Dublin - Business School and Institute for International Integration Studies , University of Technology Sydney (UTS) - School of Finance and Economics and Trinity College, Dublin - School of Business
Date Posted: October 09, 2014
Working Paper Series
31 downloads

Incl. Electronic Paper Statistical Overfitting and Backtest Performance
David H. Bailey , Stephanie Ger , Marcos Lopez de Prado , Alexander Sim and Kesheng Wu
Lawrence Berkeley National Laboratory , Northwestern University - Department of Engineering Sciences and Applied Mathematics , Guggenheim Partners, LLC , Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Date Posted: October 09, 2014
Last Revised: October 20, 2014
Working Paper Series
72 downloads

Incl. Electronic Paper Poisson Q Term Risk Model of Yields: Measuring Systematic Dynamic Risk Over the EU Debt Crisis
John A Thorp and Raul C Rosales
Regent's University London and Regent's University London
Date Posted: October 08, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper The Risk of Financial Intermediaries
Journal of Banking and Finance, Vol. 44, July, 2014: pp 1-12, Bank of Finland Research Discussion Paper No. 18/2014
Manthos D. Delis , Iftekhar Hasan and Efthymios G. Tsionas
University of Surrey - Surrey Business School , Fordham University and Athens University of Economics and Business - Department of Economics
Date Posted: October 07, 2014
Accepted Paper Series
19 downloads

Incl. Electronic Paper Expected Utility and Catastrophic Risk
Tinbergen Institute Discussion Paper 14-133/III
Masako Ikefuji , Roger J. A. Laeven , J.R. Magnus and Chris Muris
University of Southern Denmark - Department of Environmental and Business Economics , University of Amsterdam - Amsterdam School of Economics , VU University Amsterdam - Faculty of Economics and Business Administration and Simon Fraser University (SFU)
Date Posted: October 07, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Can Firms Learn by Observing? Evidence from Cross-Border M&As
Journal of Corporate Finance, Volume 25, April 2014: 202–215 , Bank of Finland Research Discussion Paper No. 17/2014,
Bill Francis , Iftekhar Hasan , Xian Sun and Maya Waisman
Rensselaer Polytechnic Institute (RPI) - Lally School of Management & Technology , Fordham University , Johns Hopkins University - Carey Business School and Fordham University Schools of Business
Date Posted: October 07, 2014
Accepted Paper Series
6 downloads

Incl. Electronic Paper Optimal Insurance Purchase Strategies via Optimal Multiple Stopping Times
Rodrigo S Targino , Gareth William Peters , Georgy Sofronov and Pavel V. Shevchenko
University College London - Department of Statistical Science , University College London - Department of Statistical Science , Macquarie University - Department of Statistics and CSIRO Mathematics, Informatics and Statistics
Date Posted: October 07, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper Detecting Early Indicators of SMEs Failure: Survival Analysis Techniques
Asma Marouani and Annie Bellier
University of Cergy-Pontoise and University of Cergy-Pontoise - THEMA
Date Posted: October 07, 2014
Working Paper Series
18 downloads

Supply Chain Risk Assessment Tools and Techniques in the Automobile Industry: A Survey
The IUP Journal of Supply Chain Management, Vol. XI, No. 1, March 2014, pp. 67-76
Satyendra Kr. Sharma and Anil Bhat
Birla Institute of Technology and Science (BITS) and Birla Institute of Technology and Science (BITS)
Date Posted: October 07, 2014
Accepted Paper Series

Incl. Electronic Paper Protecting the Prepaying Buyer of Goods from the Seller's Insolvency
(2014) 22 Insolvency Law Journal 5, UWA Faculty of Law Research Paper No. 2014-39
Rasiah Gengatharen
University of Western Australia - Faculty of Law
Date Posted: October 06, 2014
Accepted Paper Series
6 downloads

Incl. Electronic Paper Basis Risk and the Welfare Gains from Index Insurance: Evidence from Northern Kenya
Nathaniel Duane Jensen , Christopher B. Barrett and Andrew Mude
Cornell University - Charles H. Dyson School of Applied Economics & Management , Cornell University - Charles H. Dyson School of Applied Economics & Management and Consultative Group on International Agricultural Research (CGIAR) - International Livestock Research Institute (ILRI)
Date Posted: October 06, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper The Use of Correlation Networks in Parametric Portfolio Policies
Harald Lohre , Jochen Papenbrock and Muddit Poonia
Deka Investment GmbH , PPI AG and Indian Institute of Technology Kharagpur
Date Posted: October 06, 2014
Working Paper Series
65 downloads

Incl. Electronic Paper The Role of the Profit Imperative in Risk Management
17 U. Pa. J. Bus. L. __ (Forthcoming)

Date Posted: October 06, 2014
Last Revised: October 07, 2014
Accepted Paper Series
15 downloads

Incl. Electronic Paper Sequential Monte Carlo Samplers for Capital Allocation Under Copula-Dependent Risk Models
Rodrigo S Targino , Gareth William Peters and Pavel V. Shevchenko
University College London - Department of Statistical Science , University College London - Department of Statistical Science and CSIRO Mathematics, Informatics and Statistics
Date Posted: October 05, 2014
Working Paper Series
26 downloads

Incl. Electronic Paper Fundamentals, Derivatives Market Information and Oil Price Volatility
Michel A. Robe and Jonathan Wallen
American University - Kogod School of Business and American University
Date Posted: October 05, 2014
Last Revised: October 08, 2014
Working Paper Series
25 downloads

Incl. Electronic Paper Anatomy of Bank Distress: The Information Content of Accounting Fundamentals within and Across Countries
Edward I. Altman , Janko Cizel and Herbert A. Rijken
New York University (NYU) - Salomon Center , VU University Amsterdam and Vrije Universiteit Amsterdam (Free University)
Date Posted: October 04, 2014
Working Paper Series
18 downloads

Incl. Electronic Paper Tell It Like It Is: Disclosed Risks and Factor Portfolios
Ryan D. Israelsen
Indiana University - Kelley School of Business - Department of Finance
Date Posted: October 04, 2014
Working Paper Series
35 downloads

Incl. Electronic Paper Just Speculation: The Role of the Oil Futures Market in Supply Volatility
Robert Scott Cavender
George Mason University - Mercatus Center
Date Posted: October 02, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Are Concerns About Leveraged ETFs Overblown?
Ivan Ivanov and Stephen L Lenkey
Board of Governors of the Federal Reserve System (FRB) and Pennsylvania State University
Date Posted: October 02, 2014
Working Paper Series
42 downloads

Incl. Electronic Paper Crossing Paths: A Perspective on Mathematics and Finance
Sebastien Lleo and Jessica Li
NEOMA Business School and Neoma Business School
Date Posted: October 01, 2014
Working Paper Series
145 downloads

Incl. Electronic Paper Extreme Returns in the European Financial Crisis
Andreas S. Chouliaras and Theoharry Grammatikos
Luxembourg School of Finance and Universite du Luxembourg - School of Finance
Date Posted: October 01, 2014
Working Paper Series
73 downloads

Incl. Electronic Paper Investigating Overconfidence in Investor Behaviour
IJFRRR, Volume 2, Issue 3
Amitesh Kapoor
Lovely Professional University
Date Posted: September 30, 2014
Working Paper Series
24 downloads

Incl. Electronic Paper Credit Cycles and Financial Statement Verification
Chicago Booth Research Paper No. 14-30
Petro Lisowsky , Michael Minnis and Andrew G. Sutherland
University of Illinois at Urbana-Champaign - Department of Accountancy , University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Date Posted: September 30, 2014
Working Paper Series
103 downloads

Incl. Electronic Paper Lemons and CDOs: Why Did so Many Lenders Issue Poorly Performing CDOs?
Oliver Faltin-Traeger and Christopher J. Mayer
Columbia University - Columbia Business School and Columbia Business School - Finance and Economics
Date Posted: September 29, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper Dynamic Optimization of Futures Portfolio Strategies under Downside Risk Control
Rainer A. Schüssler
Helmut Schmidt University
Date Posted: September 29, 2014
Working Paper Series
30 downloads

Incl. Electronic Paper From the Samuelson Volatility Effect to a Samuelson Correlation Effect: Evidence from Crude Oil Calendar Spread Options
Lorenz Schneider and Bertrand Tavin
EMLYON Business School and EMLYON Business School
Date Posted: September 27, 2014
Working Paper Series
28 downloads

Incl. Electronic Paper A Dynamic Extension of the Foster-Hart Measure of Riskiness
Institute of Mathematical Economics Working Paper No. 528
Tobias Hellmann and Frank Riedel
Bielefeld University - Center for Mathematical Economics and Bielefeld University - Center for Mathematical Economics
Date Posted: September 27, 2014
Last Revised: October 18, 2014
Working Paper Series
28 downloads

Incl. Electronic Paper Liquidity Dynamics Around Jumps. The Evidence from the Warsaw Stock Exchange
Barbara Bedowska-Sojka
Poznan University of Economics - Faculty of Informatics and Electronic Economy
Date Posted: September 27, 2014
Working Paper Series
14 downloads

Incl. Fee Electronic Paper Understanding Uncertainty Shocks and the Role of Black Swans
CEPR Discussion Paper No. DP10147
Anna Orlik and Laura Veldkamp
Board of Governors of the Federal Reserve System (FRB) and New York University - Stern School of Business
Date Posted: September 25, 2014
Working Paper Series
1 downloads

Incl. Electronic Paper ETD vs. OTCD: Counterparty Risk and Capital Requirements for Exchange Traded Derivatives
Marco Bianchetti , Mattia Carlicchi , Federico Cozzi , Leonardo Recchia and Andrea Spuntarelli
Intesa Sanpaolo - Market Risk Management , Intesa Sanpaolo - Market Risk Management , Intesa SanPaolo SpA , Intesa SanPaolo SpA and Intesa Sanpaolo - Internal Validation
Date Posted: September 25, 2014
Last Revised: October 08, 2014
Working Paper Series
43 downloads

Incl. Fee Electronic Paper Admissibility of Generic Market Models of Forward Swap Rates
Mathematical Finance, Vol. 24, Issue 4, pp. 728-761, 2014
Libo Li and Marek Rutkowski
University of Sydney and University of Sydney - School of Mathematics and Statistics
Date Posted: September 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Arbitrage Bounds for Prices of Weighted Variance Swaps
Mathematical Finance, Vol. 24, Issue 4, pp. 821-854, 2014
Mark Davis , Jan Obłój and Vimal S Raval
Imperial College London , University of Oxford and Imperial College London - Department of Mathematics
Date Posted: September 24, 2014
Accepted Paper Series


 

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