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Risk Management eJournal
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Showing Papers 1 - 50 of 8,564
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Incl. Electronic Paper Robust Option Pricing with Characteristic Functions and the B-Spline Order of Density Projection
Justin Lars Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Date Posted: November 25, 2014
Working Paper Series
3 downloads

Incl. Fee Electronic Paper Information Risk and the Cost of Capital
Journal of Risk and Insurance, Vol. 81, Issue 4, pp. 861-882, 2014
David L. Eckles , Martin Halek and Rongrong Zhang
Independent , University of Wisconsin - Madison - Department of Actuarial Science, Risk Management and Insurance and Georgia Southern University
Date Posted: November 25, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Reflexivity in Competition‐Originated Underwriting Cycles
Journal of Risk and Insurance, Vol. 81, Issue 4, pp. 883-906, 2014
Vsevolod K. Malinovskii
Russian Academy of Sciences (RAS) - Central Economics and Mathematics Institute
Date Posted: November 25, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Tax Sharing in Insurance Markets: A Useful Parameterization
Journal of Risk and Insurance, Vol. 81, Issue 4, pp. 907-942, 2014
Christelle Viauroux
University of Maryland, Baltimore County - Department of Economics
Date Posted: November 25, 2014
Accepted Paper Series

Incl. Fee Electronic Paper The×Effectiveness of Gap Insurance with Respect to Basis Risk in a Shareholder Value Maximization Setting
Journal of Risk and Insurance, Vol. 81, Issue 4, pp. 831-860, 2014
Nadine Gatzert and Ralf Kellner
Friedrich-Alexander-University of Erlangen-Nuremberg and University of Erlangen-Nuremberg
Date Posted: November 25, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Asymmetric Information in the Market for Automobile Insurance: Evidence from Germany
Journal of Risk and Insurance, Vol. 81, Issue 4, pp. 781-801, 2014
Martin Spindler , Joachim K. Winter and Steffen Hagmayer
Max Planck Institute for Social Law and Social Policy , Ludwig-Maximilians-Universität München and affiliation not provided to SSRN
Date Posted: November 25, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Asymmetric Information, Self‐Selection, and Pricing of Insurance Contracts: The Simple No‐Claims Case
Journal of Risk and Insurance, Vol. 81, Issue 4, pp. 757-780, 2014
Catherine Donnelly , Martin Englund , Jens Perch Nielsen and Carsten Tanggaard
Heriot-Watt University , Codan Insurance , City University London - Cass Business School and CREATES
Date Posted: November 25, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Estimating Outstanding Claim Liabilities: The Role of Unobserved Risk Factors
Journal of Risk and Insurance, Vol. 81, Issue 4, pp. 803-830, 2014
Laura Spierdijk and Ruud H. Koning
University of Groningen and University of Groningen - Department of Economics
Date Posted: November 25, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Heterogeneity of the Accident Externality from Driving
Journal of Risk and Insurance, Vol. 81, Issue 4, pp. 735-756, 2014
Rachel J. Huang , Larry Y. Tzeng and Kili C. Wang
Graduate Institute of Finance, NTUST , National Taiwan University - Department of Finance and Tamkang University
Date Posted: November 25, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Testing for Asymmetric Information Using “Unused Observables” in Insurance Markets: Evidence from the U.K. Annuity Market
Journal of Risk and Insurance, Vol. 81, Issue 4, pp. 709-734, 2014
Amy Finkelstein and James M. Poterba
Massachusetts Institute of Technology (MIT) - Department of Economics and Massachusetts Institute of Technology (MIT) - Department of Economics
Date Posted: November 25, 2014
Accepted Paper Series

Incl. Fee Electronic Paper The Effect of Secondary Markets on Equity‐Linked Life Insurance with Surrender Guarantees
Journal of Risk and Insurance, Vol. 81, Issue 4, pp. 943-968, 2014
Christian Hilpert and Alexander Szimayer
University of Hamburg and University of Hamburg - Faculty of Economics and Business Administration
Date Posted: November 25, 2014
Accepted Paper Series

Incl. Electronic Paper Modélisation et Calibration des Prix Spot Électriques (Modeling and Calibration of Spot Power Price)
Otmane El Rhazi
Ecole Nationale des Ponts et Chaussees
Date Posted: November 24, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper An Analysis of Italian Bad Loans: Determinants, Forecasts and Transmission to the Real Economy
Alessandro Carboni and Andrea Carboni
University of Siena and University of Siena
Date Posted: November 22, 2014
Working Paper Series
10 downloads

Incl. Electronic Paper Two Maxentropic Approaches to Determine the Probability Density of Compound 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: November 22, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper Do Credit Derivatives Lower the Value of Creditor Control Rights? Evidence from Debt Covenants
Susan Chenyu Shan , Dragon Yongjun Tang and Andrew Winton
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) , University of Hong Kong - School of Economics and Finance and University of Minnesota - Twin Cities - Carlson School of Management
Date Posted: November 20, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper The Information Value of Sovereign Credit Rating Reports
Sumit Agarwal , Vincent Y. S. Chen , Geoffrey Sim and Weina Zhang
National University of Singapore , National University of Singapore , Credit Suisse and Department of Finance, National University of Singapore
Date Posted: November 18, 2014
Working Paper Series
16 downloads

Incl. Electronic Paper When No News is Good News – The Decrease in Investor Fear after the FOMC Announcement
Adrian Fernandez-Perez , Bart Frijns and Alireza Tourani-Rad
Auckland University of Technology , Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
Date Posted: November 17, 2014
Last Revised: November 18, 2014
Working Paper Series
19 downloads

Incl. Electronic Paper On the Holy Grail of 'Upside Participation and Downside Protection'
Journal of Portfolio Management, Forthcoming
Edward E. Qian
PanAgora Asset Management
Date Posted: November 17, 2014
Accepted Paper Series
297 downloads

Incl. Electronic Paper Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods
Nicolo Musmeci , Tomaso Aste and Tiziana Di Matteo
King's College London , University College London and Australian National University (ANU) - Department of Applied Mathematics
Date Posted: November 17, 2014
Last Revised: November 18, 2014
Working Paper Series
18 downloads

Incl. Electronic Paper Tail Risk Protection in Asset Management
Cristian Homescu
Independent
Date Posted: November 16, 2014
Working Paper Series
253 downloads

Incl. Electronic Paper Portfoliomodell zur Elimination des systematischen Risikos (Optimization of Portfolios for Eliminating Systematic Risk)
Hellmut D. Scholtz
Independent
Date Posted: November 16, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper Simulated Conditional Probabilities: A Better Approximation for the m Out of n Day Provision
Qiang Liu
Southwestern University of Finance and Economics - School of Finance
Date Posted: November 14, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper A Comparison of New Factor Models
Kewei Hou , Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance , University of Cincinnati and Ohio State University - Fisher College of Business
Date Posted: November 11, 2014
Last Revised: November 23, 2014
Working Paper Series
82 downloads

Incl. Electronic Paper An Efficient Transform Method for Asian Option Pricing
Justin Lars Kirkby
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE)
Date Posted: November 08, 2014
Working Paper Series
54 downloads

Incl. Electronic Paper A Markov Chain Model for Contagion
Risks, Vol. 2, No. 4, Page 434-455, 2014
Angelos Dassios and Hongbiao Zhao
London School of Economics & Political Science (LSE) - Department of Statistics and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Date Posted: November 06, 2014
Accepted Paper Series
13 downloads

Incl. Electronic Paper Portfolio KVA: I Theory
Andrew David Green and Chris Kenyon
Lloyds Banking Group and Lloyds Banking Group
Date Posted: November 06, 2014
Working Paper Series
48 downloads

Incl. Electronic Paper Home Equity Insurance & the Demise of Home Value Insurance Corporation
Journal of Applied Business Research (JABR), Volume 30, Number 6, November/December 2014
Zachary Smith and Alan Harper
Saint Leo University and South University
Date Posted: November 05, 2014
Last Revised: November 06, 2014
Accepted Paper Series
3 downloads

Incl. Electronic Paper Risk Analysis for Project-Based Infrastructure Financing: A Reference Framework
Golib Ablakulovich Kholjigitov and Timur Narbaev
Kazakh-British Technical University - Business School and Kazakh-British Technical University
Date Posted: November 05, 2014
Working Paper Series
19 downloads

Global Risks and Collective Action Failures: What Can the International Community Do?
Inci Otker-Robe
International Monetary Fund (IMF) - Monetary and Capital Markets Department
Date Posted: November 05, 2014
Last Revised: November 10, 2014
Working Paper Series

Incl. Fee Electronic Paper Quantifying Liquidity and Default Risks of Corporate Bonds Over the Business Cycle
NBER Working Paper No. w20638
Hui Chen , Rui Cui , Zhiguo He and Konstantin Milbradt
Massachusetts Institute of Technology , University of Chicago - Finance , University of Chicago - Booth School of Business, and NBER and Kellogg School of Management - Department of Finance
Date Posted: November 03, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper The Leverage Externalities of Credit Default Swaps
Jay Y. Li and Dragon Yongjun Tang
City University of Hong Kong and University of Hong Kong - School of Economics and Finance
Date Posted: November 02, 2014
Last Revised: November 07, 2014
Working Paper Series
11 downloads

Firm Level Internal Governance, Hedging Incentives and Exchange Rate Exposure
Ekta Sikarwar
Indian Institute of Management (IIM), Indore
Date Posted: November 01, 2014
Working Paper Series

Incl. Electronic Paper Managerial Incentives, Moral Hazard and Risk Management
Chang Mo Kang
UNSW Australia Business School, School of Banking and Finance
Date Posted: November 01, 2014
Working Paper Series
17 downloads

Incl. Electronic Paper Keynesian Uncertainty and the Shaky Foundations of Statistical Risk Assessment Models
PSL Quarterly Review, Vol. 65 No. 263, pp. 437-454, 2012
Alessandro Roncaglia
University of Rome I
Date Posted: November 01, 2014
Accepted Paper Series
4 downloads

Incl. Electronic Paper Double Adjusted Mutual Fund Performance
Jeffrey A. Busse , Lei Jiang and Yuehua Tang
Emory University - Department of Finance , Tsinghua University and Singapore Management University - Lee Kong Chian School of Business
Date Posted: November 01, 2014
Working Paper Series
25 downloads

Incl. Electronic Paper Testing Equality of Modified Sharpe Ratios
David Ardia and Kris Boudt
Laval University - Département de Finance et Assurance and Free University of Brussels (VUB)
Date Posted: October 31, 2014
Working Paper Series
10 downloads

Incl. Electronic Paper Are Tax Avoidance Costs and Benefits Easily Quantified? Evidence from Credit Rating Disagreement
Samuel B. Bonsall IV , Kevin Koharki and Luke Watson
Ohio State University (OSU) - Department of Accounting & Management Information Systems , Washington University in St. Louis and University of Florida - Fisher School of Accounting
Date Posted: October 30, 2014
Working Paper Series
32 downloads

Incl. Electronic Paper The Relationship between the Complexity of Financial Derivatives and Systemic Risk
Christian Koehler
Independent
Date Posted: October 27, 2014
Working Paper Series
50 downloads

Incl. Electronic Paper Good Jumps, Bad Jumps, and Conditional Equity Premium
Hui Guo , Kent Wang and Hao Zhou
University of Cincinnati - Department of Finance - Real Estate , University of Queensland and Tsinghua University
Date Posted: October 27, 2014
Working Paper Series
41 downloads

Incl. Electronic Paper Backtesting General Spectral Risk Measures with Application to Expected Shortfall
Nick Costanzino and Mike Curran
RiskLab - University of Toronto and Independent
Date Posted: October 24, 2014
Working Paper Series
35 downloads

Incl. Electronic Paper Efficient Risk Analysis of Mortgage Pools
Justin Sirignano and Kay Giesecke
Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Date Posted: October 24, 2014
Last Revised: November 19, 2014
Working Paper Series
42 downloads

Extreme Risk, Excess Return and Leverage: The LP Formula
Olivier Le Marois , Julie Mikhalevsky and Raphael Douady
fluks , Fédéris Gestion d’Actifs and Riskdata
Date Posted: October 24, 2014
Working Paper Series

Incl. Electronic Paper Default Near-the-Default-Point: The Value of and the Distance to Default
Alfredo Ibañez
Bankia (on leave)
Date Posted: October 23, 2014
Last Revised: November 18, 2014
Working Paper Series
10 downloads

Incl. Electronic Paper Reducing Your Reliance on Risk Models: Another Look at Active Share
Michael Hunstad
Northern Trust Asset Management
Date Posted: October 22, 2014
Working Paper Series
39 downloads

Incl. Electronic Paper Can Strategic Risk Management Contribute to Enterprise Risk Management? A Strategic Management Perspective
Philip Bromiley , Devaki Rau and Michael K. McShane
University of California, Irvine , Northern Illinois University - Management and Old Dominion University
Date Posted: October 22, 2014
Working Paper Series
77 downloads

Incl. Fee Electronic Paper Asian Corporate Governance - And the Case of Dual‐Class Shares
Journal of Applied Corporate Finance, Vol. 26, Issue 3, pp. 50-52, 2014
K. C. Chan
Financial Services and the Treasury (Hong Kong)
Date Posted: October 22, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Challenges for China - Beyond Minority Listing of SOEs
Journal of Applied Corporate Finance, Vol. 26, Issue 3, pp. 43-49, 2014
David Webb
Webb-site.com
Date Posted: October 22, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Equity Financing for Early‐Stage Companies in China
Journal of Applied Corporate Finance, Vol. 26, Issue 3, pp. 71-75, 2014
Ning Jia
Tsinghua University - School of Economics & Management
Date Posted: October 22, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Financial Reporting Practices of China's Listed Firms
Journal of Applied Corporate Finance, Vol. 26, Issue 3, pp. 53-60, 2014
Joseph D. Piotroski
Stanford Graduate School of Business
Date Posted: October 22, 2014
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Politically Connected CEOs, Corporate Governance, and the Post‐IPO Performance of China's Partially Privatized Firms
Journal of Applied Corporate Finance, Vol. 26, Issue 3, pp. 85-95, 2014
Joseph P. H. Fan , T.J. Wong and Tianyu Zhang
The Chinese University of Hong Kong (CUHK) , The Chinese University of Hong Kong (CUHK) - School of Accountancy and The Chinese University of Hong Kong
Date Posted: October 22, 2014
Accepted Paper Series


 

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