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SSRN eLibrary Search Results
Risk Management eJournal
3,863,676 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Showing Papers 1 - 50 of 10,803
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1 2 3 4 ... 217 | Next >
   

Incl. Electronic Paper Estimating Risky Behavior with Multiple-Item Risk Measures: An Empirical Examination
DIW Berlin Discussion Paper No. 1608
Lukas Menkhoff and Sahra Sakha
German Institute for Economic Research (DIW Berlin) and Deutsche Bundesbank
Date Posted: September 26, 2016
Working Paper Series
3 downloads

India VIX Entropy Indicators for Portfolio Rotation Timing
Gaurav Rajendra Jadhao Jr. and Abhijeet Chandra
Independent and Indian Institute of Technology (IIT), Kharagpur - Vinod Gupta School of Management
Date Posted: September 26, 2016
Working Paper Series

Incl. Electronic Paper Volatility Risk
Christian P. Fries
LMU Munich, Department of Mathematics
Date Posted: September 26, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Network Structures and Credit Risk in the Cross-Shareholdings Among Listed Japanese Companies
Masayasu Kanno
Nihon University
Date Posted: September 26, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper The Nexus between Bank Specific Risk Management Practice and Financial Performance: A Study on Selected Commercial Banks in Ethiopia
Biruk Shimelis Bekele
Independent
Date Posted: September 25, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Securitization with Implicit Recourse: Some thoughts on the Economic Rationale
The Journal of Structured Finance, Vol. 19, No. 4, pp. 35-44, 2013
Marcus Sidki
Ludwigshafen University of Applied Sciences / Center for Public and Nonprofit Enterprises
Date Posted: September 23, 2016
Accepted Paper Series
2 downloads

Incl. Electronic Paper Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia
Benjamin Bruder, Nazar Kostyuchyk and Thierry Roncalli
Lyxor Asset Management, Lyxor Asset Management and Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE)
Date Posted: September 23, 2016
Working Paper Series
77 downloads

Incl. Electronic Paper A Theory for Measures of Tail Risk
Fangda Liu and Ruodu Wang
Central University of Finance and Economics (CUFE) - China Institute for Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Date Posted: September 22, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper Measuring Factor Exposures: Uses and Abuses
Journal of Alternative Investments, Forthcoming
Ronen Israel and Adrienne Ross
AQR Capital Management, LLC and AQR Capital Management, LLC
Date Posted: September 22, 2016
Working Paper Series
20 downloads

Incl. Electronic Paper Price Discovery in Equity and CDS Markets
Lawrence Kryzanowski, Stylianos Perrakis and Rui Zhong
Concordia University, Quebec - John Molson School of Business, Concordia University, Quebec - John Molson School of Business and Central University of Finance and Economics
Date Posted: September 22, 2016
Working Paper Series
8 downloads

Testing Interest Rate Models for Solvency II Applications
Insurance Risk, 2016, February Issue
Vladimir Ostrovski and Alexey Botvinnik
Talanx AG and Conning Asset Management
Date Posted: September 22, 2016
Accepted Paper Series

Incl. Electronic Paper Optimal Reinsurance Policies When the Interests of Both the Cedent and the Reinsurer are Taken into Account
Wenjun Jiang, Jiandong Ren and Ricardas Zitikis
University of Western Ontario, University of Western Ontario and University of Western Ontario - Department of Statistical and Actuarial Sciences
Date Posted: September 21, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Empirically Evaluating Systemic Risks in CCPs: The Case of Two CDS CCPs
Sean D. Campbell and Ivan Ivanov
U.S. Division of Monetary Affairs and Board of Governors of the Federal Reserve System
Date Posted: September 20, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper Bounds for VIX Futures Given S&P 500 Smiles
Julien Guyon, Romain Menegaux and Marcel Nutz
Bloomberg L.P., Bloomberg L.P. and Columbia University
Date Posted: September 20, 2016
Working Paper Series
26 downloads

Incl. Fee Electronic Paper Coherence and Elicitability
Mathematical Finance, Vol. 26, Issue 4, pp. 901-918, 2016
Johanna F. Ziegel
University of Bern
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Expectations of Functions of Stochastic Time with Application to Credit Risk Modeling
Mathematical Finance, Vol. 26, Issue 4, pp. 748-784, 2016
Ovidiu Costin, Michael B. Gordy, Min Huang and Pawel Szerszen
Ohio State University (OSU), Board of Governors of the Federal Reserve, City University of Hong Kong (CityUHK) and Board of Governors of the Federal Reserve System
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Fast Swaption Pricing in Gaussian Term Structure Models
Mathematical Finance, Vol. 26, Issue 4, pp. 962-982, 2016
Jaehyuk Choi and SungChan Shin
Korea Advanced Institute of Science and Technology (KAIST) and Korea Advanced Institute of Science and Technology (KAIST)
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Fire Sales Forensics: Measuring Endogenous Risk
Mathematical Finance, Vol. 26, Issue 4, pp. 835-866, 2016
Rama Cont and Lakshithe Wagalath
Imperial College London and IESEG School of Management
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Model‐Independent Lower Bound on Variance Swaps
Mathematical Finance, Vol. 26, Issue 4, pp. 939-961, 2016
Nabil Kahalé
ESCP Europe
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Multivariate Risk Measures: A Constructive Approach Based on Selections
Mathematical Finance, Vol. 26, Issue 4, pp. 867-900, 2016
Ilya Molchanov and Ignacio Cascos
University of Bern - Department of Mathematical Statistics and Actuarial Science and Universidad Carlos III de Madrid
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Multivariate Subordination of Markov Processes with Financial Applications
Mathematical Finance, Vol. 26, Issue 4, pp. 699-747, 2016
Rafael Mendoza-Arriaga and Vadim Linetsky
University of Texas at Austin - Department of Information, Risk and Operations Management and Northwestern University - Department of Industrial Engineering and Management Sciences
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Optimal Investment in Credit Derivatives Portfolio Under Contagion Risk
Mathematical Finance, Vol. 26, Issue 4, pp. 785-834, 2016
Lijun Bo and Agostino Capponi
Xidian University and Columbia University
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Price‐Admissibility Conditions for Arbitrage‐Free Linear Price Function Models for the Term Structure of Interest Rates
Mathematical Finance, Vol. 26, Issue 4, pp. 919-938, 2016
Andrew F. Siegel
University of Washington - Department of Finance and Business Economics
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Electronic Paper Shrinking the Coskewness Matrix: Bias Corrected Shrinkage Intensity and Extension to Multiple Targets
Kris Boudt, Dries Cornilly and Tim Verdonck
Free University of Brussels (VUB), Free University of Brussels (VUB) and Department of Mathematics, KU Leuven
Date Posted: September 20, 2016
Working Paper Series
22 downloads

Incl. Electronic Paper Hedging Futures Options with Stochastic Interest Rates
Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlogl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Date Posted: September 20, 2016
Working Paper Series
21 downloads

Incl. Electronic Paper Leveraged Funds: Robust Replication and Performance Evaluation
Paolo Guasoni and Eberhard Mayerhofer
Boston University - Department of Mathematics and Statistics and University of Limerick - Department of Mathematics and Statistics
Date Posted: September 19, 2016
Working Paper Series
35 downloads

Incl. Electronic Paper Algorithmic Differentiation for Callable Exotics
Alexandre Antonov
Numerix
Date Posted: September 19, 2016
Working Paper Series
45 downloads

Incl. Electronic Paper Term Structure of Hedging Premia and Basis Arbitrages in Synthetic-Cash Credit Market
Tommaso Colozza
University of Florence - Department of Economics and Management
Date Posted: September 19, 2016
Working Paper Series
13 downloads

Incl. Electronic Paper Capital at Risk (Preliminary Version)
Daniela Alifano
Imperial College Business School
Date Posted: September 19, 2016
Working Paper Series
17 downloads

Incl. Electronic Paper Information Loss in Mortgage Pricing
Konstantinos Tzioumis
Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Date Posted: September 17, 2016
Working Paper Series
8 downloads

Incl. Electronic Paper Кредитные Риски: Сущность, Классификация, Управление (The Credit Risks: Essence, Classification, Management)
Экономика и общество в условиях турбулентности внешней среды. Саратов, 2015. С. 157-161.,
Tatyana Yevgenyevna Totikova, L Belositskaya and Yulia Guseva
Russian Presidential Academy of National Economy and Public Administration (RANEPA) - Stolypin Volga Region Institute of Administration, Russian Presidential Academy of National Economy and Public Administration (RANEPA) - Stolypin Volga Region Institute of Administration and Russian Presidential Academy of National Economy and Public Administration (RANEPA) - Stolypin Volga Region Institute of Administration
Date Posted: September 17, 2016
Accepted Paper Series
1 downloads

Incl. Electronic Paper Effects of Idiosyncratic Shocks on Macroeconomic Time Series
Minxian Yang
UNSW Australia Business School, School of Economics
Date Posted: September 16, 2016
Working Paper Series
7 downloads

Incl. Fee Electronic Paper Should the Advanced Measurement Approach Be Replaced with the Standardized Measurement Approach for Operational Risk?
Journal of Operational Risk, Vol. 11, No. 3, 2016
Gareth William Peters, Pavel V. Shevchenko, Bertrand Hassani and Ariane Chapelle
University College London - Department of Statistical Science, CSIRO Australia, Université Paris I Panthéon-Sorbonne and University College London - Department of Computer Science
Date Posted: September 15, 2016
Accepted Paper Series

Incl. Electronic Paper How Does Legitimacy Operate in Emerging Capital Markets? Investigating the Moderating Effects of Premium Listings and Firm Size on Risk
Luciano Rossoni and Wesley Mendes-Da-Silva
Universidade Unigranrio and Getulio Vargas Foundation (FGV) - Finance, Accounting and Controllership Department of Fundação Getulio Vargas (São Paulo, Brazil)
Date Posted: September 15, 2016
Working Paper Series
15 downloads

Incl. Fee Electronic Paper Comments on the Basel Committee On Banking Supervision Proposal for a New Standardized Approach for Operational Risk
Journal of Operational Risk, Vol. 11, No. 3, 2016
Giulio Mignola, Roberto Ugoccioni and Eric Cope
Intesa SanPaolo Spa, Intesa SanPaolo Spa and Credit Suisse AG
Date Posted: September 15, 2016
Accepted Paper Series

Incl. Electronic Paper Estimating Fundamental Sharpe Ratios: A Kalman Filter Approach
Hayette Gatfaoui
IESEG School of Management
Date Posted: September 15, 2016
Working Paper Series
79 downloads

Incl. Electronic Paper The Effect of Family Ownership on Corporate Hedging: The Case of Thailand
Sachapon Tungsong and Pornsit Jiraporn
Thammasat University - Thammasat Business School and Pennsylvania State University - School of Graduate Professional Studies (SGPS)
Date Posted: September 15, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Level and Volatility Shocks to Government Spending: Term Structure Implications
Lorenzo Bretscher, Alex C. Hsu and Andrea Tamoni
London School of Economics & Political Science (LSE), Georgia Institute of Technology - Scheller College of Business and London School of Economics & Political Science (LSE)
Date Posted: September 15, 2016
Last Revised: September 22, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper Financing Climate Resilience in Boston: Engaging and Incentivizing Developers and Private Property Owners
Carolyn M. DuPont
Harvard University - Harvard Kennedy School (HKS)
Date Posted: September 15, 2016
Working Paper Series
16 downloads

Incl. Electronic Paper Time-Frequency Analysis of the Interrelationship between the Global Macro Assets and Fear Indexes Using Wavelet-Based Tools
Fathi Abid and Bilel Kaffel
University of Sfax - Faculty of Economics and Management (FSEGS) and University of Sfax - Higher Institute of Business Administration
Date Posted: September 14, 2016
Working Paper Series
37 downloads

Incl. Electronic Paper Voluntary Sensitivity Risk Disclosure
Yanling Guan, Yong Li and Daphne Lui
Hong Kong Baptist University (HKBU) - Department of Accountancy & Law, King's College London and ESSEC Business School
Date Posted: September 14, 2016
Working Paper Series
19 downloads

Incl. Electronic Paper Predicting Default for Japanese SMEs with Robust Logistic Regression
International Journal of Economics, Commerce and Research (IJECR), Vol. 6, Issue 3, June 2016
Michiko Miyamoto
Akita Prefectural University
Date Posted: September 14, 2016
Accepted Paper Series
15 downloads

Incl. Electronic Paper Scenario Generation for Long-Run Interest Rate Risk Assessment
Robert F. Engle, Guillaume Roussellet and Emil Siriwardane
New York University - Leonard N. Stern School of Business - Department of Economics, New York University (NYU) - Leonard N. Stern School of Business, Volatility Institute and Harvard Business School - Finance Unit
Date Posted: September 14, 2016
Working Paper Series
23 downloads

Incl. Electronic Paper The Solvency II Standard Formula, Linear Geometry, and Diversification
Joachim Paulusch
R+V Lebensversicherung AG
Date Posted: September 14, 2016
Last Revised: September 22, 2016
Working Paper Series
41 downloads

Incl. Electronic Paper Pricing Recovery Risk via a Partial Information Transform
Albert Cohen
Michigan State University - Department of Mathematics
Date Posted: September 14, 2016
Last Revised: September 18, 2016
Working Paper Series
10 downloads

Incl. Electronic Paper Measuring Systemic Risk Contribution of International Mutual Funds
ADBI Working Paper 594
Joshua Aizenman, Yothin Jinjarak and Huanhuan Zheng
University of Southern California - Department of Economics, Victoria University of Wellington and The Chinese University of Hong Kong (CUHK)
Date Posted: September 14, 2016
Working Paper Series
21 downloads

Incl. Electronic Paper Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization
Jonathan Yu-Meng Li
Telfer School of Management, University of Ottawa
Date Posted: September 14, 2016
Working Paper Series
18 downloads

Derivatives Segment and Cash Segment in India: A Comparative Performance Analysis
The IUP Journal of Applied Finance, Vol. 22, No. 2, April 2016, pp. 34-46
Soheli Ghose and Adarsh Rathi
St. Xavier’s College (Autonomous), Kolkata and St. Xavier’s College (Autonomous), Kolkata
Date Posted: September 13, 2016
Accepted Paper Series

Incl. Electronic Paper Do Mandatory Risk Factor Disclosures Predict Future Cash Flows and Stock Returns? Evidence from Tax Risk Factor Disclosures
John L. Campbell, Mark Cecchini, Anna Cianci, Anne C. Ehinger and Edward M. Werner
University of Georgia - J.M. Tull School of Accounting, University of South Carolina, Wake Forest University, University of Georgia - J.M. Tull School of Accounting and Rutgers, The State University of New Jersey
Date Posted: September 13, 2016
Working Paper Series
43 downloads

Incl. Electronic Paper Contract Structure for Joint Production: Risk and Ambiguity under Compensatory Damages
Forthcoming, Management Science
Michael D. Ryall and Rachelle C. Sampson
University of Toronto - Rotman School of Management and University of Maryland - Smith School of Business
Date Posted: September 13, 2016
Accepted Paper Series
7 downloads


 

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