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SSRN eLibrary Search Results
Risk Management eJournal
3,367,423 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Showing Papers 1 - 50 of 9,254
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1 2 3 4 ... 186 | Next >
   


Incl. Electronic Paper Internet Appendix for 'Exodus from Sovereign Risk: Global Asset and Information Networks in the Pricing of Corporate Credit Risk'
Journal of Finance, Forthcoming
Jongsub Lee , Andy Naranjo and Stace Sirmans
University of Florida - Warrington College of Business Administration , University of Florida - Warrington College of Business Administration and University of Arkansas - Department of Finance
Date Posted: July 28, 2015
Accepted Paper Series
1 downloads

Incl. Electronic Paper Analyzing Equilibrium in Incomplete Markets with Model Uncertainty
Daisuke Yoshikawa
Hokkai-Gakuen University
Date Posted: July 27, 2015
Working Paper Series
7 downloads

Incl. Electronic Paper Currency Risk and Information Diffusion
Stephen Rush
University of Connecticut - Department of Finance
Date Posted: July 27, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Asset Liability Management in Investment Banks
Rossano Giandomenico
IUP & LAP
Date Posted: July 27, 2015
Working Paper Series
33 downloads

Incl. Electronic Paper Inflated Mixture Models: Applications to Multimodality in Loss Given Default
Mauro R de Oliveira Jr , Francisco Louzada , Gustavo Henrique de Araujo Pereira , Fernando Francis Moreira and Raffaella Calabrese
Caixa Econômica Federal , University of Sao Paulo (USP) , Universidade Federal de São Carlos , Keele University and University of Essex
Date Posted: July 27, 2015
Working Paper Series
10 downloads

Interest Rate Curve Interpolations and Their Assessment Via Hedge Simulations
Christian P. Fries and Christoph Plum
LMU Munich, Department of Mathematics and Ludwig Maximilian University of Munich - Department of Mathematics
Date Posted: July 26, 2015
Working Paper Series

Incl. Electronic Paper On Dynamic Spectral Risk Measures and a Limit Theorem
Dilip B. Madan , Martijn Pistorius and Mitja Stadje
University of Maryland - Robert H. Smith School of Business , Imperial College London and Tilburg University - Department of Econometrics & Operations Research
Date Posted: July 26, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper Risk Premia in Option Markets
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Date Posted: July 26, 2015
Working Paper Series
41 downloads

Incl. Electronic Paper Adjusting Exponential Levy Models Towards the Simultaneous Calibration of Market Prices for Crash Cliquets
Peter Carr , Ajay Khanna and Dilip B. Madan
New York University (NYU) - Courant Institute of Mathematical Sciences , New York University (NYU) and University of Maryland - Robert H. Smith School of Business
Date Posted: July 26, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper Modelling Dependence in High Dimensions with Factor Copulas
FEDS Working Paper No. 2015-0511
Dong Hwan Oh and Andrew J. Patton
Federal Reserve Board and Duke University - Department of Economics
Date Posted: July 26, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Dynamic Conic Hedging for Competitiveness
Dilip B. Madan , Martijn Pistorius and Wim Schoutens
University of Maryland - Robert H. Smith School of Business , Imperial College London and KU Leuven - Department of Mathematics
Date Posted: July 25, 2015
Working Paper Series
8 downloads

Credit Default Swap Spreads, Fair Value Spreads, and Interest Rate Dynamics
Journal of Credit Risk, Vol. 8, No. 4, 2012
Andy Jia-Yuh Yeh
National Taiwan University
Date Posted: July 25, 2015
Accepted Paper Series

An Empirical Implementation of CreditGrades
Journal of Credit Risk, Vol. 6, No. 1, 2010
Andy Jia-Yuh Yeh
National Taiwan University
Date Posted: July 25, 2015
Accepted Paper Series

Key Motifs in the Home-Host Mantra of Operational Risk Management
Journal of Operational Risk, Vol. 3, No. 4, 2008
Andy Jia-Yuh Yeh
National Taiwan University
Date Posted: July 25, 2015
Accepted Paper Series

A New Basel Bank Capital Framework
Reserve Bank of New Zealand (RBNZ) Bulletin, Vol. 68, No. 3, 2005
Andy Jia-Yuh Yeh
National Taiwan University
Date Posted: July 25, 2015
Accepted Paper Series

Incl. Electronic Paper Subjective Intertemporal Substitution
FRB of New York Staff Report No. 734
Richard K. Crump , Stefano Eusepi , Andrea Tambalotti and Giorgio Topa
Federal Reserve Banks - Federal Reserve Bank of New York , Federal Reserve Bank of New York , Federal Reserve Bank of New York and Federal Reserve Bank of New York
Date Posted: July 24, 2015
Working Paper Series
1 downloads

Incl. Electronic Paper Fundamental Exchange Rate Forecasting Models: Advantages and Drawbacks
Irena Mačerinskienė and Andrius Balciunas
Mykolas Romeris University and Mykolas Romeris University
Date Posted: July 24, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper The First Difference Property of the Present Value Operator
Bjarne Astrup Jensen and Stephen Buser
Copenhagen Business School - Department of Finance and The Ohio State University Department of Finance
Date Posted: July 24, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Inferences About the Amaranth Case and the Emerging Maturity of the Hedge Fund Industry
Hilary Till
EDHEC Business School
Date Posted: July 24, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper Risk Management and Portfolio Construction in a Commodity Futures Program
Joseph Eagleeye and Hilary Till
Premia Research LLC and EDHEC Business School
Date Posted: July 24, 2015
Working Paper Series
16 downloads

Incl. Electronic Paper Should Indirect Brokerage Fees Be Capped? Lessons from Mutual Fund Marketing and Distribution Expenses
Natalie Oh , Jerry T. Parwada and Kian M. E. Tan
University of New South Wales (UNSW) , UNSW Australia Business School, School of Banking and Finance and University of Otago - Department of Accountancy and Finance
Date Posted: July 24, 2015
Working Paper Series
7 downloads

Incl. Electronic Paper Benchmark Buyer Beware
Paul Hamilos and Jason M Ribando
RS Investments and RS Investments
Date Posted: July 24, 2015
Working Paper Series
23 downloads

Incl. Electronic Paper TENET: Tail-Event Driven NETwork Risk
Wolfgang K. Härdle , Weining Wang and Lining Yu
Humboldt University of Berlin - Institute for Statistics and Econometrics , Humboldt University of Berlin and Humboldt University of Berlin
Date Posted: July 24, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper Optimal Allocation of Policy Deductibles for Exchangeable Risks
Sirous Fathi Manesh , Baha-Eldin Khaledi and Jan Dhaene
Razi University - Department Of Statistics , Razi University - Department Of Statistics and Katholieke Universiteit Leuven - Faculty of Economics and Business
Date Posted: July 23, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper A Framework for Modelling Whole-Farm Financial Risk.
Selected paper presented at the 59th AARES Annual Conference at Rotorua, New Zealand from 10th-13th February, 2015
Thomas L. Nordblom , Tim Hutchings , Richard Hayes and Guangdi Li
NSW Trade & Investment , Charles Sturt University - Graham Centre for Agricultural Innovation , Government of New South Wales - Department of Primary Industries and Government of New South Wales - Department of Primary Industries
Date Posted: July 23, 2015
Accepted Paper Series
2 downloads

Incl. Electronic Paper Immunization of Bond Portfolios: A New General Framework
Alberto Bueno-Guerrero , Manuel Moreno and Javier F. Navas
IES Francisco Ayala , University of Castilla-La Mancha and Universidad Pablo de Olavide
Date Posted: July 23, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper On the Efficiency of the Aparch Model with the Standardized Pearson Type IV Distribution
Stavros Stavroyiannis
Department of Accounting and Finance, Technological Educational Institute of Peloponnese
Date Posted: July 23, 2015
Working Paper Series
1 downloads

Do Analysts Understand the Economic and Reporting Complexities of Derivatives?
Journal of Accounting & Economics (JAE), Forthcoming
Hye Sun Chang , Michael P. Donohoe and Theodore Sougiannis
Singapore Management University - School of Accountancy , University of Illinois at Urbana-Champaign - Department of Accountancy and University of Illinois at Urbana-Champaign - Department of Accountancy
Date Posted: July 23, 2015
Accepted Paper Series

Incl. Electronic Paper Generalized Method of Moment Based Parameter Estimation of Affine Term Structure Models
Jaroslava Hlouskova and Leopold Sögner
Institute for Advanced Studies (IHS) - Department of Economics & Finance and Institute for Advanced Studies (IHS)
Date Posted: July 23, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper Equivalent Measure Changes for Subordinate Diffusions
Lingfei Li and Rafael Mendoza-Arriaga
The Chinese University of Hong Kong and University of Texas at Austin - Department of Information, Risk and Operations Management
Date Posted: July 22, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper VaR to LIQUIDATION: 'A Regime Switching Model to Replicate Histogram Fat-Tails'
Cesar Oreste Crousillat
Universidad del Pacifico
Date Posted: July 22, 2015
Working Paper Series
16 downloads

Incl. Electronic Paper Concentrated Capital Losses and the Pricing of Corporate Credit Risk - Online Appendix
Harvard Business School Finance Working Paper No. 16-008
Emil N. Siriwardane
Harvard Business School - Finance Unit
Date Posted: July 22, 2015
Working Paper Series
17 downloads

Incl. Electronic Paper Cash Flow Performance of Fannie Mae Multifamily Real Estate: Evidence from Repeated NOI and EGI Indices
Journal of Real Estate Finance and Economics, Forthcoming
Xudong An , Jeffrey D. Fisher and David Geltner
San Diego State University - Department of Finance , Indiana University - Kelley School of Business - Department of Finance and Massachusetts Institute of Technology (MIT)
Date Posted: July 22, 2015
Accepted Paper Series
3 downloads

Incl. Electronic Paper Assessing Default Risks for Chinese Firms: A Lost Cause?
IMF Working Paper No. 15/140
Daniel Law and Shaun K. Roache
International Monetary Fund (IMF) and International Monetary Fund (IMF)
Date Posted: July 21, 2015
Working Paper Series
14 downloads

Incl. Electronic Paper Systemic Risk: A New Trade-Off for Monetary Policy?
IMF Working Paper No. 15/142
Stefan Laseen , Andreas Pescatori and Jarkko Turunen
Sveriges Riksbank - Monetary Policy Department , International Monetary Fund (IMF) and International Monetary Fund
Date Posted: July 21, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper Safe Haven Currencies: A Portfolio Perspective
Bank of England Working Paper No. 533
Gino Cenedese
Bank of England
Date Posted: July 18, 2015
Working Paper Series
35 downloads

Incl. Electronic Paper Will TLAC Regulations Fix the G-SIB Too-Big-To-Fail Problem?
Paul H. Kupiec
American Enterprise Institute
Date Posted: July 18, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper Financial Literacy and Mortgage Credit: Evidence from the Recent Mortgage Market Crisis
Xudong An , Raphael W. Bostic and Vincent W. Yao
San Diego State University - Department of Finance , University of Southern California - Sol Price School of Public Policy and Federal National Mortgage Association (Fannie Mae)
Date Posted: July 18, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper Single and Multiple Portfolio Cross-Hedging with Currency Futures
Multinational Finance Journal, Vol. 1, No. 1, p. 23-46, 1997
Andrea L. DeMaskey
Villanova University - Department of Finance
Date Posted: July 18, 2015
Accepted Paper Series
4 downloads

Incl. Electronic Paper On Animal Spirits and Economic Decisions: Value-at-Risk and Value-within-Reach as Measures of Risk and Return
Domingo C. Joaquin
Illinois State University - Department of Finance, Insurance and Law
Date Posted: July 17, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper Hedging Stock Sector Risk with Credit Default Swaps
International Review of Financial Analysis, Vol. 30, 2013
Mitchell Ratner and Chih-Chieh (Jason) Chiu
Rider University and Rider University
Date Posted: July 17, 2015
Accepted Paper Series
9 downloads

Incl. Electronic Paper Taming the Basel Leverage Cycle
Christoph Aymanns , Fabio Caccioli , J. Doyne Farmer and Vincent W. C. Tan
University of Oxford , University College London - Financial Computing and Analytics Group, Department of Computer Science , University of Oxford and University of Oxford
Date Posted: July 16, 2015
Working Paper Series
25 downloads

Incl. Fee Electronic Paper A Comparison of Dynamic Hazard Models and Static Models for Predicting the Special Treatment of Stocks in China with Comprehensive Variables
Journal of the Operational Research Society, Vol. 66, Issue 7, pp. 1077-1090, 2015
Ligang Zhou
Macao University of Science and Technology (MUST) - School of Business
Date Posted: July 16, 2015
Accepted Paper Series

Incl. Fee Electronic Paper Maximization by Parts in Extremum Estimation
The Econometrics Journal, Vol. 18, Issue 2, pp. 147-171, 2015
Yanqin Fan , Sergio Pastorello and eric michel renault
University of Washington - Department of Economics , University of Bologna - Department of Economics and Brown University - Department of Economics
Date Posted: July 15, 2015
Accepted Paper Series

Incl. Electronic Paper To Eliminate Over-the-Counter Systemic Risk, Replace the OTC Markets with a Common Cash and Futures Trading Platform
James Kurt Dew
Tecnológico de Monterrey
Date Posted: July 15, 2015
Last Revised: July 27, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper Private Insurers to Cushion Federal Deposit Insurance
Thang Chien Dang
George Washington University, Law School, Students
Date Posted: July 15, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper Real-Time Risk Management: An AAD-PDE Approach
Luca Capriotti , Yupeng Jiang and Andrea Macrina
Quantitative Strategies - Investment Banking Division - Credit Suisse Group , University College London and University College London
Date Posted: July 15, 2015
Working Paper Series
40 downloads

Incl. Electronic Paper Factor Attribution and the Impact of Investment Constraints
Sanne De Boer and Vishv Jeet
QS Investors and Axioma Inc
Date Posted: July 14, 2015
Working Paper Series
48 downloads

Incl. Electronic Paper Daño moral y seguro (Non Economic Loss and Insurance)
Actas Seminario sobre Responsabilidad y Seguros, Publicación del Colegio de Abogados, 2001, pp. 41-56.,
Carmen Domínguez
Pontificia Universidad Catolica de Chile
Date Posted: July 14, 2015
Accepted Paper Series
1 downloads

Incl. Electronic Paper Can Warren Buffett Also Predict Equity Market Downturns?
Sebastien Lleo and William T. Ziemba
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Date Posted: July 14, 2015
Last Revised: July 27, 2015
Working Paper Series
171 downloads


 

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