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SSRN eLibrary Search Results
Risk Management eJournal
3,249,069 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Showing Papers 1 - 50 of 8,978
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Incl. Electronic Paper Measuring Risk When Expected Losses are Unbounded
Risks 2014, 2(4), 411-424
Alejandro Balbás , Iván Blanco and José Garrido
Universidad Carlos III de Madrid - Department of Business Administration , Universidad Carlos III de Madrid and Concordia University, Quebec - Department of Mathematics & Statistics
Date Posted: April 19, 2015
Accepted Paper Series
6 downloads

Incl. Electronic Paper The Statistical Combination Procedure in Measures for Risk in Financial Systems
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 8
Francesca Parpinel
Ca Foscari University of Venice
Date Posted: April 18, 2015
Working Paper Series
1 downloads

Incl. Electronic Paper Modeling Correlated Discrete Uncertainties in Event Trees with Copulas
Tianyang Wang , James Dyer and John Butler
Colorado State University - Department of Finance & Real Estate , University of Texas at Austin and University of Texas at Austin - Red McCombs School of Business
Date Posted: April 18, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Smart Beta: Managing Diversification of Minimum Variance Portfolios
Jean-Charles Richard and Thierry Roncalli
Lyxor Asset Management and Lyxor Asset Management
Date Posted: April 18, 2015
Working Paper Series
6 downloads

Incl. Fee Electronic Paper Double Trouble: Sibling Rivalry and Twin Organizations in the 2008 Credit Crisis
British Journal of Management, Vol. 26, Issue 2, pp. 182-196, 2015
Mark Stein
University of Leicester School of Management
Date Posted: April 17, 2015
Accepted Paper Series

Reconstruction of the Building Blocks of the Enterprise Risk Management Model from an African Perspective
Alain Ndedi and Kingsley Kelly Mua
Saint Monica University and Saint Monica University
Date Posted: April 16, 2015
Working Paper Series

Incl. Electronic Paper The Price of Complexity in Financial Networks
Stefano Battiston , Guido Caldarelli , Robert May , Tarik Roukny and Joseph E. Stiglitz
University of Zurich - Department of Banking and Finance , IMT Alti Studi Lucca , University of Oxford , Université Libre de Bruxelles (ULB) and Columbia Business School - Finance and Economics
Date Posted: April 15, 2015
Working Paper Series
18 downloads

Incl. Electronic Paper Real-Time Forecasting with a MIDAS VAR
BOFIT Discussion Paper No. 13/2015
Heiner Mikosch and Stefan Neuwirth
KOF Swiss Economic Institute and KOF Swiss Economic Institute
Date Posted: April 15, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper Bank Holding Companies’ Accounting versus Economic Hedging Activities in the SFAS 133 Framework
Universal Journal of Accounting and Finance 3(2): 30-44, 2015
Veliota Drakopoulou
Ashford University
Date Posted: April 14, 2015
Accepted Paper Series
11 downloads

Incl. Electronic Paper Forecasting Tail Risks
CESifo Working Paper Series No. 5286
Gianni De Nicolo and Marcella Lucchetta
International Monetary Fund and CESifo and University Ca' Foscari of Venice
Date Posted: April 14, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper Can Implied Volatility Predict Returns on the Currency Carry Trade?
Journal of Banking and Finance, Forthcoming
Tom Egbers and Laurentius (Laurens) Adrianus Petrus Swinkels
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR)
Date Posted: April 13, 2015
Accepted Paper Series
31 downloads

Incl. Electronic Paper The Failure of Supervisory Stress Testing: Fannie Mae, Freddie Mac, and OFHEO
FRB Atlanta Working Paper No. 2015-3
W. Scott Frame , Kristopher Gerardi and Paul Willen
Federal Reserve Bank of Atlanta , Federal Reserve Bank of Atlanta and Federal Reserve Bank of Boston - Research Department
Date Posted: April 13, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper Pitfalls in the Use of Systemic Risk Measures
Gunter Löffler and Peter Raupach
University of Ulm - Department of Mathematics and Economics and Deutsche Bundesbank - Research Department
Date Posted: April 12, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper Optimal Asset Allocation for Interconnected Life Insurers in the Low Interest Rate Environment Under Solvency Regulation
SAFE Working Paper No. 97
Tobias Niedrig
Goethe University Frankfurt, Chair for Insurance and Regulation
Date Posted: April 12, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper Markets, Corporate Governance and Efficiency or Lack Thereof: Arguments in Favor of Reforms
Senthil Kumar Muthusamy
University System of Georgia - Middle Georgia State College
Date Posted: April 12, 2015
Working Paper Series
4 downloads

Dynamic Optimal Lifetime Portfolio Selection in Discrete Framework
JUST, 2015 Forthcoming
Ashri Putri Rahadi , Nora A. Rizal and Budhi Arta Surya
Bandung Institute of Technology - School of Business and Management , Institut Teknologi Bandung - School of Business and Management and Bandung Institute of Technology - School of Business and Management
Date Posted: April 12, 2015
Accepted Paper Series

Incl. Electronic Paper Dirac Processes and Default Risk
Chris Kenyon and Andrew David Green
Lloyds Banking Group and Lloyds Banking Group
Date Posted: April 11, 2015
Last Revised: April 17, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis
Marco Bianchetti , Sergei Kucherenko and Stefano Scoleri
Intesa Sanpaolo - Market Risk Management , Imperial College London - Faculty of Engineering and Iason Ltd.
Date Posted: April 11, 2015
Working Paper Series
71 downloads

Incl. Electronic Paper A Volatility Index and the Volatility Premium in Brazil
Eduardo Astorino , Fernando Chague , Bruno Cara Giovannetti and Marcos E Silva
University of Sao Paulo (USP) , University of Sao Paulo (USP) - Department of Economics , University of Sao Paulo (USP) - Department of Economics and University of Sao Paulo (USP) - Department of Economics)
Date Posted: April 11, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper Systemic Risk and Hedge Funds
Frederik Grieb
University of Konstanz
Date Posted: April 11, 2015
Working Paper Series
13 downloads

Incl. Electronic Paper Copula를 이용한 은행부문의 시스템적 리스크 측정 (Measuring the Systemic Risk in the Korean Banking Sector: The Copula Approach)
Bank of Korea WP 2013-6
Geung Hee Lee , Myoung-Hwal Lee and Jong-Han Lee
Korea National Open University , Korea Institute of Finance and Bank of Korea
Date Posted: April 11, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Knight Reconsidered: 'Future of Finance Beyond Flash Boys': Risk Modeling for Managing Uncertainty in an Increasingly Non-Deterministic Cyber World
Princeton Quant Trading Conference 2015
Yogesh Malhotra
Global Risk Management Network, LLC
Date Posted: April 08, 2015
Last Revised: April 15, 2015
Working Paper Series
36 downloads

Incl. Fee Electronic Paper Optimising Seed Portfolios to Cope Ex Ante with Risks from Bad Weather: Evidence from a Recent Maize Farmer Survey in China
Australian Journal of Agricultural and Resource Economics, Vol. 59, Issue 2, pp. 242-257, 2015
Junfei Bai , Zhigang Xu , Huanguang Qiu and Haiyan Liu
Chinese Academy of Sciences (CAS) , Nanjing Agricultural University (NAU) - College of Economics and Management , Renmin University of China and University of Georgia - Department of Agricultural & Applied Economics
Date Posted: April 08, 2015
Accepted Paper Series

Incl. Electronic Paper Exchange Rate Exposure of Chinese Firms at the Industry and Firm Level
Review of Development Economics, Forthcoming
Bo Tang
University of Sheffield - Department of Economics
Date Posted: April 07, 2015
Accepted Paper Series
4 downloads

Incl. Electronic Paper Contagion in the Financial Sector
Maximilian Zwiesler
University of Konstanz
Date Posted: April 07, 2015
Working Paper Series
33 downloads

Can Data Analytics Preprocessing Methods Improve Fraud Prediction?
Johan Perols , Robert M. Bowen , Carsten Zimmermann and Basamba Samba
University of San Diego - School of Business Administration , University of San Diego - School of Business Administration , University of San Diego - School of Business Administration and Independent
Date Posted: April 07, 2015
Working Paper Series

Incl. Electronic Paper Utilizing Topographic Finance to Understand Volatility
Paul E. Cottrell and Francesco Ungolo
Independent and Independent
Date Posted: April 07, 2015
Working Paper Series
107 downloads

Incl. Electronic Paper Estimating Economic Capital on a Credit Portfolio: A Survey of Some New Methodologies
CAREFIN Research Paper No. 1/08
Andrea Resti
Bocconi University - Department of Finance
Date Posted: April 06, 2015
Working Paper Series
1120 downloads

Incl. Electronic Paper Pricing Risks Across Currency Denominations
Thomas Andreas Maurer , Thuy Duong To and Ngoc-Khanh Tran
Washington University in Saint Louis - John M. Olin Business School , University of New South Wales, Sydney and Washington University in Saint Louis - John M. Olin Business School
Date Posted: April 05, 2015
Working Paper Series
31 downloads

Incl. Electronic Paper Dynamic Agency and Endogenous Risk-Taking
Tak-Yuen Wong
Shanghai University of Finance and Economics - Department of Finance
Date Posted: April 04, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper Управление Риском Государственных Инвестиций в Автодорожные Проекты На Основе Страхования (Risk Management of State Investment in Road Projects on the Basis of Insurance)
Olga Luskatova and Nikolay Dmitrievich Luskatov
Vladimir State University and Vladimir State University
Date Posted: April 04, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Optimal Insurance with Background Risk and Incentive Compatibility
Yichun Chi
China Institute for Actuarial Science, Central University of Finance and Economics
Date Posted: April 04, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper The Design of an Optimal Retrospective Rating Plan
Star Chen , Yichun Chi and Ken Seng Tan
Xiamen University , China Institute for Actuarial Science, Central University of Finance and Economics and University of Waterloo
Date Posted: April 04, 2015
Working Paper Series
7 downloads

Incl. Electronic Paper Hedging and Pricing in Imperfect Markets Under Non-Convexity
FRB Atlanta Working Paper No. 2014-13
Hirbod Assa and Nikolay Gospodinov
University of Liverpool and Federal Reserve Bank of Atlanta
Date Posted: April 04, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper Predicting Large Negative Stock Returns: The Trouble Score
B. Korcan Ak
University of California, Berkeley - Haas School of Business
Date Posted: April 04, 2015
Last Revised: April 06, 2015
Working Paper Series
167 downloads

Incl. Electronic Paper Price Discovery within Foreign Exchange Markets and the Severity of Information Risk
Oghenovo A. Obrimah
Babcock University
Date Posted: April 04, 2015
Working Paper Series
14 downloads

Incl. Electronic Paper Portfolio Diversification in Concentrated Bond and Loan Portfolios
Paul H. Kupiec
American Enterprise Institute
Date Posted: April 03, 2015
Working Paper Series
34 downloads

Incl. Electronic Paper Derivatives Pricing Under Bilateral Counterparty Risk
Peter Carr
New York University (NYU) - Courant Institute of Mathematical Sciences
Date Posted: April 03, 2015
Last Revised: April 12, 2015
Working Paper Series
54 downloads

Speculation, Risk Aversion, and Risk Premiums in the Crude Oil Market
Bingxin Li
West Virginia University
Date Posted: April 02, 2015
Working Paper Series

Incl. Electronic Paper Financial Innovation and Governance Mechanisms: The Evolution of Decoupling and Transparency
Business Lawyer, Vol. 70, No. 2, 2015
Henry T. C. Hu
University of Texas at Austin - School of Law
Date Posted: April 01, 2015
Last Revised: April 12, 2015
Accepted Paper Series
71 downloads

Incl. Electronic Paper Lending Booms, Smart Bankers and Financial Crises
American Economic Review, 2015 Forthcoming
Anjan V. Thakor
Washington University, Saint Louis - John M. Olin School of Business
Date Posted: April 01, 2015
Working Paper Series
65 downloads

Incl. Fee Electronic Paper Uncertainty Aversion and Systemic Risk
CEPR Discussion Paper No. DP10510
David L. Dicks and Paolo Fulghieri
University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Date Posted: April 01, 2015
Working Paper Series
1 downloads

Incl. Electronic Paper Market Making and Risk Management in Options Markets
Review of Derivatives Research, Vol. 18, No. 1, 2015
Naomi E. Boyd
West Virginia University
Date Posted: April 01, 2015
Accepted Paper Series
31 downloads

Hedging Market Risk and Volatility: Evidence from Indian Options Market
Sony Thomas
Indian Institute of Management (IIM), Kozhikode
Date Posted: March 31, 2015
Working Paper Series

Incl. Electronic Paper Exact Calculation of Stochastic Time Integrals with an Application Towards High Order Monte Carlo of Non-Linear Stochastic Differential Equations
Ahsan Amin
Infiniti Derivatives Technologies
Date Posted: March 31, 2015
Working Paper Series
170 downloads

Incl. Electronic Paper Initial Risk-Mitigating Strategies for Weathering Environmental and Climate-Change Impacts on U.S. Companies
Serge L. Wind
New York University (NYU) -- School of Professional Studies (SPS)
Date Posted: March 30, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper CAPM и Диверсификация Инвестиционного Портфеля в Условиях Неоднородной Волатильности (CAPM and Diversification of an Investment Portfolio in the Conditions of Non-Uniform Volatility)
Vigen Babkenovich Minasyan and Mikhail Alexandrovich Limitovskiy
Russian Presidential Academy of National Economy and Public Administration and Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Date Posted: March 30, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper An Approximation of Counterparty Credit Risk in Long Term Power Purchase Agreements (PPAs)
Paul Edge
EDP - Energias de Portugal
Date Posted: March 29, 2015
Working Paper Series
13 downloads

Incl. Electronic Paper Black-Scholes in a CEV Random Environment: A New Approach to Smile Modelling
Antoine Jacquier and Patrick Roome
Imperial College London and Imperial College London - Department of Mathematics
Date Posted: March 29, 2015
Working Paper Series
33 downloads

Incl. Electronic Paper Oil Price Volatility Forecast with Mixture Memory GARCH
Tony Klein and Thomas Walther
Technische Universität Dresden and Dresden University of Technology - Faculty of Economics and Business Management
Date Posted: March 29, 2015
Last Revised: April 09, 2015
Working Paper Series
26 downloads


 

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