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SSRN eLibrary Search Results
Risk Management eJournal
3,039,979 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

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Showing Papers 1 - 50 of 8,432
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Incl. Electronic Paper Basel III, Ownership Concentration, Risk-Taking, and Capital Stability: Evidence from Asia
Pichaphop Chalermchatvichien , Seksak Jumreonwong and Pornsit Jiraporn
Bank of Thailand , Thammasat University and Pennsylvania State University - School of Graduate Professional Studies (SGPS)
Date Posted: September 15, 2014
Working Paper Series
12 downloads

Incl. Electronic Paper Analytic Approximation for Prices of American Options, Time-Dependent Settings, Proportional and Discrete Dividends: The Decoupled Volatility Framework
Yuriy Shkolnikov
Optimal Selection Ltd.
Date Posted: September 14, 2014
Working Paper Series
15 downloads

Incl. Electronic Paper Factor Structure in Commodity Futures Return and Volatility
Peter Christoffersen , Asger Lunde and Kasper Vinther Olesen
University of Toronto - Rotman School of Management , University of Aarhus - School of Economics and Management and CREATES
Date Posted: September 14, 2014
Working Paper Series
12 downloads

Incl. Electronic Paper Bank Liability Structure
Suresh M. Sundaresan and Zhenyu Wang
Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business
Date Posted: September 14, 2014
Working Paper Series
12 downloads

Incl. Electronic Paper The Expected Return of Fear
Ing-Haw Cheng
Dartmouth College - Tuck School of Business
Date Posted: September 13, 2014
Last Revised: September 16, 2014
Working Paper Series
23 downloads

Incl. Electronic Paper Does Aggregate Uncertainty Explain Size and Value Anomalies?
Sofiane Aboura and Yakup Eser Arisoy
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG) and Université Paris-Dauphine - DRM-CEREG
Date Posted: September 13, 2014
Working Paper Series
8 downloads

Transfer Pricing and 3 Group-Effect Risk Adjustments to Fair Market Comparators
Rupert Macey-Dare
University of Oxford - Saint Cross College
Date Posted: September 12, 2014
Working Paper Series

Incl. Electronic Paper Evaluación De Los Márgenes Requeridos En Un Mercado De Derivados De Energía Eléctrica (Evaluation of the Requiered Margins in a Derivates Electric Energy Market)
Center for Research in Economics and Finance (CIEF), Working Papers, No. 14-10
Kelly Maradey Angarita Sr. , Javier Pantoja and Alfredo Trespalacios
Universidad EAFIT , Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF) and Universidad EAFIT
Date Posted: September 12, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper Foreign Central Bank Activities in U.S. Futures Markets
Raymond P.H. Fishe , Michel A. Robe and Aaron Smith
University of Richmond - E. Claiborne Robins School of Business , American University - Kogod School of Business and University of California, Davis - Department of Agricultural and Resource Economics
Date Posted: September 12, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper Is Risk Higher During Non-Trading Periods? Tail Risk Evidence from Overnight Market Returns
Christoph Riedel and Niklas Wagner
University of Passau and Passau University
Date Posted: September 12, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Do Stock Markets Price Ex-Ante Skewness? New Quantile Regression-Based Evidence
Kevin Aretz and Yakup Eser Arisoy
Manchester Business School and Université Paris-Dauphine - DRM-CEREG
Date Posted: September 11, 2014
Last Revised: September 12, 2014
Working Paper Series
17 downloads

Incl. Electronic Paper Real Options and Merchant Operations of Energy and Other Commodities
Nicola Secomandi and Duane J. Seppi, "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends® in Technology, Information and Operations Management 6, no. 3-4 (2014),
Nicola Secomandi and Duane J. Seppi
Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business
Date Posted: September 10, 2014
Accepted Paper Series
5 downloads

Incl. Electronic Paper Rogue Trading or Directional Hedging? Information Relevance Theory
Christian Kamtchueng
Barclays Capital
Date Posted: September 09, 2014
Working Paper Series
15 downloads

Incl. Electronic Paper Custom v. Standardized Risk Models
Zura Kakushadze and Jim Kyung-Soo Liew
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School
Date Posted: September 09, 2014
Working Paper Series
43 downloads

Government Crisis Response Programs and Bank Lending: Evidence from the Syndicated Corporate Credit Market During the 2007-2009 Financial Crisis
Deming Wu
Office of the Comptroller of the Currency
Date Posted: September 09, 2014
Last Revised: September 10, 2014
Working Paper Series

Incl. Electronic Paper Follow the Money: Compensation, Risk, and the Financial Crisis
Rock Center for Corporate Governance at Stanford University Closer Look Series: Topics, Issues and Controversies in Corporate Governance No. CGRP-43, Stanford University Graduate School of Business Research Paper No. 14-34
David F. Larcker , Gaizka Ormazabal , Brian Tayan and Daniel J. Taylor
Stanford University - Graduate School of Business , University of Navarra, IESE Business School , Stanford University - Graduate School of Business and University of Pennsylvania - The Wharton School
Date Posted: September 08, 2014
Working Paper Series
42 downloads

Incl. Electronic Paper Opening Discussion on Banking Sector Risk Exposures and Vulnerabilities from Virtual Currencies: An Operational Risk Perspective
Gareth William Peters , Ariane Chapelle and Efstathios Panayi
University College London - Department of Statistical Science , University College London - Department of Computer Science and University College London - Department of Statistical Science
Date Posted: September 06, 2014
Working Paper Series
10 downloads

Incl. Electronic Paper Bayesian Value at Risk Metric for Equity Portfolios
Eric Hendries , Jun Huang , Rachel Li , Xiao Li , Yiyang Qi , Helene Sajer , Stephen Michael Taylor and John Zerolis
Independent , Independent , Independent , Independent , CME Group , Independent , Morgan Stanley and Independent
Date Posted: September 05, 2014
Working Paper Series
15 downloads

Incl. Electronic Paper Reducing Model Risk via Positive and Negative Dependence Assumptions
Valeria Bignozzi , Giovanni Puccetti and Ludger Rüschendorf
ETH Zurich, RiskLab, Department of Mathematics , University of Florence - Department of Mathematics for Decisions and University of Freiburg
Date Posted: September 05, 2014
Working Paper Series
39 downloads

Incl. Electronic Paper Does Diversity of Bank Board Members Affect Performance and Risk? Evidence from an Emerging Market
Bowo Setiyono and Amine Tarazi
Université de Limoges, LAPE and Universite de Limoges, LAPE
Date Posted: September 04, 2014
Last Revised: September 05, 2014
Working Paper Series
14 downloads

Incl. Fee Electronic Paper The Carry Trade: Risks and Drawdowns
NBER Working Paper No. w20433
Kent D. Daniel , Robert J. Hodrick and Zhongjin Lu
Columbia Business School - Finance and Economics , Columbia Business School - Finance and Economics and University of Georgia - Department of Banking and Finance
Date Posted: September 03, 2014
Working Paper Series
9 downloads

Incl. Fee Electronic Paper Understanding Uncertainty Shocks and the Role of Black Swans
NBER Working Paper No. w20445
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 03, 2014
Working Paper Series
12 downloads

Incl. Electronic Paper Conditional Sharpe Ratios
Victor Chow and Christine W. Lai
West Virginia University and Yuan Ze University
Date Posted: September 02, 2014
Working Paper Series
44 downloads

Incl. Electronic Paper Commodity Risk Factors and the Cross-Section of Equity Returns
Chris Brooks , Adrián Fernández-Pérez , Joelle Miffre and Ogonna Nneji
University of Reading - ICMA Centre , Auckland University of Technology , EDHEC Business School and University of Reading - ICMA Centre
Date Posted: September 02, 2014
Working Paper Series
70 downloads

Incl. Electronic Paper An Indicator of Systemic Liquidity Risk in the Italian Financial Markets
Bank of Italy Occasional Paper No. 217
Eleonora Iachini and Stefano Nobili
Bank of Italy and Bank of Italy
Date Posted: September 02, 2014
Working Paper Series
26 downloads

Incl. Electronic Paper Foreign Exchange Rate Exposure and Corporate Policies
Yuliya Ivanova
University of Iowa - Department of Finance
Date Posted: September 01, 2014
Working Paper Series
32 downloads

Incl. Electronic Paper Does VIX Truly Measure Return Volatility?
Victor Chow , Wanjun Jiang and Jingrui Li
West Virginia University , Guang Hua School of Management, Peking University and West Virginia University
Date Posted: August 31, 2014
Last Revised: September 01, 2014
Working Paper Series
236 downloads

Incl. Electronic Paper Credit Default Swaps and Loss Given Default: Has the CDS Market Affected the Recovery Rates of U.S. Corporate Defaults?
Min Qi , Deming Wu and Hong Yan
Office of the Comptroller of the Currency - Credit Risk Analysis Division , Office of the Comptroller of the Currency and Shanghai Advanced Institute of Finance, and University of South Carolina
Date Posted: August 30, 2014
Working Paper Series
17 downloads

Incl. Electronic Paper Rebalancing Risk
Nicolas M Granger , Douglas Greenig , Campbell R. Harvey , Sandy Rattray and David Zou
Man Group , Independent , Duke University - Fuqua School of Business , AHL / Man Systematic Strategies and Man Group plc - AHL Man Systematic Strategies
Date Posted: August 30, 2014
Working Paper Series
681 downloads

Incl. Electronic Paper Avoiding FCPA Liability by Tightening Internal Controls: Considerations for Institutional Investors and Corporate Counsel
H. David Kotz and Susan Mangiero
Berkeley Research Group,LLC and Fiduciary Leadership, LLC
Date Posted: August 30, 2014
Last Revised: September 03, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper When Actions Speak Louder than Words: Currency Management in Non-Financial Corporations
Sungjae F. Kim and Don M. Chance
Gardner-Webb University - Godbold School of Business and Louisiana State University, Baton Rouge - Department of Finance
Date Posted: August 30, 2014
Working Paper Series
15 downloads

Incl. Electronic Paper Rational Financial Meltdowns
Hastings Business Law Journal, Vol. 10, No. 2, 2014, FSU College of Law, Law, Business & Economics Paper No. 14-6, FSU College of Law, Public Law Research Paper No. 702
Manuel A. Utset
Florida State University College of Law
Date Posted: August 30, 2014
Accepted Paper Series
25 downloads

Incl. Electronic Paper Chasing Volatility: A Persistent Multiplicative Error Model with Jumps
Massimiliano Caporin , Eduardo Rossi and Paolo Santucci de Magistris
University of Padova - Department of Economics and Management "Marco Fanno" , University of Pavia - Department of Political Economy and Quantitative Methods and University of Aarhus - CREATES
Date Posted: August 30, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper Stochastic Volatility of Financial Assets and Default Risk
Yuri A. Katz
S&P Capital IQ
Date Posted: August 29, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper Credit Default Swaps and Systemic Risk
Rama Cont and Andreea Minca
Imperial College London and Cornell University
Date Posted: August 29, 2014
Last Revised: September 02, 2014
Working Paper Series
77 downloads

Optimal Corporate Hedging Using Options with Basis and Production Risk
North American Journal of Economics and Finance, Forthcoming
Emanuele Bajo , Massimiliano Barbi and Silvia Romagnoli
University of Bologna - Department of Management , University of Bologna - Department of Management and University of Bologna - Department of Mathematics for Economic and Social Sciences
Date Posted: August 29, 2014
Accepted Paper Series

Incl. Electronic Paper By the Numbers: A Discussion of Risk Management and Quantitative Investing with Robert B. Litterman, PhD
Journal of Investment Consulting, Vol. 15, No. 1, 3-11, 2014
Journal of Investment Consulting
Investment Management Consultants Association
Date Posted: August 28, 2014
Accepted Paper Series
76 downloads

Incl. Electronic Paper An Exact Method for the Sensitivity Analysis of Systems Simulated by Rejection Techniques
Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Date Posted: August 28, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper Investor Protections and Their Impact on Capital Markets
Investor protections and their impact on capital markets, 2010. Handbook on Emerging Issues in Corporate Governance, ED. Tourani-Rad, Publisher - Ingley
Manu Gupta , Oghenovo A. Obrimah , Nanda K. Rangan and Puneet Prakash
Virginia Commonwealth University (VCU) - Department of Finance, Insurance & Real Estate , Babcock University , Virginia Commonwealth University and Virginia Commonwealth University
Date Posted: August 28, 2014
Accepted Paper Series
13 downloads

Incl. Electronic Paper On the Existence of an Optimal Estimation Window for Risk Measures
Marcelo Brutti Righi and Paulo Sergio Ceretta
Universidade Federal de Santa Maria and Universidade Federal de Santa Maria
Date Posted: August 27, 2014
Working Paper Series
35 downloads

Performance Reversals and Attitudes Towards Risk in the Venture Capital (VC) Market
Journal of Economics and Business, Vol. 62, No. 6, 2010
Oghenovo A. Obrimah and Puneet Prakash
Babcock University and Virginia Commonwealth University
Date Posted: August 27, 2014
Accepted Paper Series

Incl. Electronic Paper How Important is Innovation for Venture Capitalists' (VCs') Market Reputation?
Oghenovo A. Obrimah
Babcock University
Date Posted: August 26, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper The Agricultural Origins of Time Preference
Oded Galor and Ömer Özak
Brown University - Department of Economics and Southern Methodist University - Department of Economics
Date Posted: August 26, 2014
Last Revised: September 06, 2014
Working Paper Series
174 downloads

Incl. Electronic Paper The Effects of Relative or Absolute Risk Aversion on Production Efficiency in Agriculture: Evidence from the 'Bread Basket' of Nigeria
Oghenovo A. Obrimah and Faith Abimiku
Babcock University and Independent
Date Posted: August 25, 2014
Working Paper Series
1 downloads

Incl. Electronic Paper Tail Risk in Commercial Property Insurance
Enrico Biffis and Erik Chavez
Imperial College Business School and Imperial College London
Date Posted: August 25, 2014
Working Paper Series
19 downloads

Incl. Electronic Paper A Practical Approach to CVA, DVA and FVA
Chia Chiang Tan
Independent
Date Posted: August 24, 2014
Working Paper Series
33 downloads

Incl. Electronic Paper Cocos, Contagion and Systemic Risk
Tinbergen Institute Discussion Paper 14-110/VI/DSF 79
Stephanie Chan and Sweder van Wijnbergen
University of Amsterdam - Faculty of Economics and Business (FEB) and Universiteit van Amsterdam
Date Posted: August 22, 2014
Working Paper Series
53 downloads

Incl. Electronic Paper Hedge Fund Seeding Via Fees-for-Seed Swaps Under Idiosyncratic Risk
Christian-Oliver Ewald and Hai Zhang
University of Glasgow and University of Glasgow - Adam Smith Business School
Date Posted: August 21, 2014
Working Paper Series
46 downloads

Incl. Electronic Paper Should Defaults Be Forgotten? Evidence from Variation in Removal of Negative Consumer Credit Information
FRB of Philadelphia Working Paper No. 14-21
Marieke Bos and Leonard I. Nakamura
Swedish House of Finance and Federal Reserve Bank of Philadelphia
Date Posted: August 20, 2014
Working Paper Series
15 downloads

Incl. Fee Electronic Paper Corporate Governance and Risk Taking: Evidence from the U.K. and German Insurance Markets
Journal of Risk and Insurance, Vol. 81, Issue 3, pp. 653-682, 2014
Sebastian D. Marek and Martin Eling
University of Ulm - Institute of Insurance Science and University of St. Gallen - Institute of Insurance Economics
Date Posted: August 20, 2014
Accepted Paper Series


 

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