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SSRN eLibrary Search Results
Risk Management & Analysis in Financial Institutions eJournal
660,923 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 3,720
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1 2 3 4 ... 75 | Next >
   

Incl. Electronic Paper On the Central Management of Risk Networks
Advances in Applied Probability, Forthcoming
Florin Avram and Andreea Minca
Université de Pau et des Pays de l'Adour and Cornell University
Date Posted: July 26, 2016
Working Paper Series
4 downloads

Incl. Fee Electronic Paper Assessing the Non-Linear Effects of Credit Market Shocks
CEPR Discussion Paper No. DP11410
Regis Barnichon, Christian Matthes and Alexander Ziegenbein
CREI and Universitat Pompeu Fabra, Federal Reserve Banks - Federal Reserve Bank of Richmond and Universitat Pompeu Fabra
Date Posted: July 25, 2016
Working Paper Series

Incl. Fee Electronic Paper Runs Versus Lemons: Information Disclosure and Fiscal Capacity
CEPR Discussion Paper No. DP11408
Miguel Faria-e-Castro, Joseba Martinez and Thomas Philippon
New York University (NYU) - Department of Economics, New York University (NYU) and New York University (NYU) - Department of Finance
Date Posted: July 25, 2016
Working Paper Series

Incl. Electronic Paper Pricing Sovereign Contingent Convertible Debt
The Wharton Financial Institutions Center WP 16-05
Andrea Consiglio, Michele Tumminello and Stavros A. Zenios
University of Palermo, University of Palermo and University of Cyprus
Date Posted: July 25, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Flight to Liquidity and Systemic Bank Runs
Roberto Robatto
University of Wisconsin - Madison
Date Posted: July 25, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper Testing the Effectiveness of ERM: Evidence from Operational Losses
Journal of Economics and Business, Forthcoming
Khalid Al Amri and Yevgeniy Davydov
Sultan Qaboos University and FDNY
Date Posted: July 23, 2016
Accepted Paper Series
9 downloads

Shadow Banking in China: Risk, Regulation and Policy
Shadow Banking in China: Risk, Regulation and Policy, Edward Elgar 2016
Shen Wei
Shandong University Law School
Date Posted: July 22, 2016
Accepted Paper Series

Incl. Electronic Paper Predicting Equity Crises, Critical Exponents, and Earthquakes - II
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Date Posted: July 21, 2016
Working Paper Series
22 downloads

Incl. Electronic Paper Expected Downside Risk and Asset Prices: Characteristics of Emerging and Developed European Markets
Empirica, Journal of European Economics (2016) Forthcoming, DOI: 10.1007/s10663-016-9329-3
Mihály Ormos and Dusán Timotity
Budapest University of Technology and Economics - Department of Finance and Budapest University of Technology and Economics - Department of Finance
Date Posted: July 21, 2016
Accepted Paper Series
12 downloads

Incl. Electronic Paper Generalized Asset Pricing: Expected Downside Risk-Based Equilibrium Modelling
Economic Modelling, Vol. 52, (PB), 2016
Mihály Ormos and Dusán Timotity
Budapest University of Technology and Economics - Department of Finance and Budapest University of Technology and Economics - Department of Finance
Date Posted: July 21, 2016
Accepted Paper Series
14 downloads

Incl. Electronic Paper Market Microstructure During Financial Crisis Dynamics of Informed and Heuristic-Driven Trading
Forthcoming in Finance Research Letters (2016), DOI: 10.1016/j.frl.2016.06.003
Mihály Ormos and Dusán Timotity
Budapest University of Technology and Economics - Department of Finance and Budapest University of Technology and Economics - Department of Finance
Date Posted: July 21, 2016
Accepted Paper Series
13 downloads

ETFs, High-Frequency Trading and Flash Crashes
Journal of Portfolio Management, 2016
Irene Aldridge
BigDataFinance.org
Date Posted: July 21, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Valuation of Contingent Convertible Catastrophe Debt under Simple Solvency and Liquidity Covenants
Journal of Risk, Vol. 18(6), Pp. 1-42, Forthcoming
Nick Georgiopoulos
Bermuda Monetary Authority (BMA)
Date Posted: July 20, 2016
Accepted Paper Series

Incl. Electronic Paper MSSA vs. Multivariate Regularized Expectation Maximization for Data Cleaning
Jan Dash and Yan Zhang
Bloomberg LP and Bloomberg LP
Date Posted: July 20, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper Data Spike Cleaning with MSSA
Jan Dash and Yan Zhang
Bloomberg LP and Bloomberg LP
Date Posted: July 20, 2016
Working Paper Series
24 downloads

Incl. Electronic Paper Cleaning Data with Real-World Updating Using MSSA
Jan Dash and Yan Zhang
Bloomberg LP and Bloomberg LP
Date Posted: July 20, 2016
Working Paper Series
27 downloads

Incl. Electronic Paper The Nexus of Financial Inclusion and Financial Stability: A Study of Trade-Offs and Synergies
World Bank Policy Research Working Paper No. 7722
Martin Čihák, Davide Salvatore Mare and Martin Melecky
International Monetary Fund (IMF), University of Edinburgh - Business School and World Bank
Date Posted: July 19, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper The Profitability of Low Volatility
David Blitz and Milan Vidojevic
Robeco Asset Management - Quantitative Strategies and VU University Amsterdam, Finance, Students
Date Posted: July 19, 2016
Working Paper Series
89 downloads

Incl. Electronic Paper The Evolution of Valuation in Bankruptcy
will be presented at 2016 National Conference of Bankruptcy Judges; Am. Bankr. L. J. (Forthcoming)
Michael Simkovic
Seton Hall Law School
Date Posted: July 19, 2016
Working Paper Series
45 downloads

Incl. Electronic Paper Path Integrals and Greeks
Jan Dash
Bloomberg LP
Date Posted: July 17, 2016
Last Revised: July 22, 2016
Working Paper Series
37 downloads

Incl. Electronic Paper On the Role of the Chief Risk Officer and the Risk Committee in Insuring Financial Institutions Against Litigation
Forthcoming, Managerial Finance
Arash Amoozegar, Kuntara Pukthuanthong and Thomas John Walker
Jones Lang LaSalle, University of Missouri, Columbia and Concordia University, Quebec - Department of Finance
Date Posted: July 16, 2016
Last Revised: July 24, 2016
Accepted Paper Series
4 downloads

Incl. Fee Electronic Paper Pricing Swing Options in Electricity Markets with Two Stochastic Factors Using a Partial Differential Equation Approach
Journal of Computational Finance, Forthcoming
Maria del Carmen Calvo-Garrido, Matthias Ehrhardt and Carlos Vázquez Cendón
University of Coruña - Department of Mathematics, Bergische Universitat Wuppertal and University of Coruña - Department of Mathematics
Date Posted: July 16, 2016
Accepted Paper Series

Incl. Electronic Paper Financial Vulnerabilities, Macroeconomic Dynamics, and Monetary Policy
FEDS Working Paper No. 2016-055
David Aikman, Andreas Lehnert, J. Nellie Liang and Michele Modugno
Bank of England - Monetary Assessment and Strategy Division, Board of Governors of the Federal Reserve, affiliation not provided to SSRN and Board of Governors of the Federal Reserve System
Date Posted: July 15, 2016
Working Paper Series
10 downloads

Incl. Electronic Paper Credit Risk Term-Structures for Lifetime Impairment Forecasting: A Practical Guide
Jimmy Skoglund
SAS Institute Inc.
Date Posted: July 15, 2016
Working Paper Series
127 downloads

Incl. Electronic Paper Nearest Neighbor Technique for a Positive Definite Correlation Matrix in Advanced Stressed VAR
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Date Posted: July 13, 2016
Last Revised: July 22, 2016
Working Paper Series
7 downloads

Incl. Electronic Paper Analysing the Determinants of Credit Risk for General Insurance Firms in the UK
DIW Berlin Discussion Paper No. 1591
Guglielmo Maria Caporale, Mario Cerrato and Xuan Zhang
Brunel University - Centre for Empirical Finance, University of Glasgow and University of Glasgow
Date Posted: July 13, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Smart Monte Carlo, Path Integrals, and American Options
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Date Posted: July 13, 2016
Last Revised: July 22, 2016
Working Paper Series
95 downloads

Incl. Electronic Paper Path Integrals and Smart Monte Carlo - II
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Date Posted: July 13, 2016
Last Revised: July 22, 2016
Working Paper Series
16 downloads

Incl. Electronic Paper Path Integrals and Smart Monte Carlo - I
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Date Posted: July 13, 2016
Last Revised: July 22, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper The Macro-Micro Model, Trends vs. Noise, and SSA - I
Jan Dash, Xipei Yang and Mario Bondioli
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Date Posted: July 13, 2016
Last Revised: July 22, 2016
Working Paper Series
14 downloads

Incl. Electronic Paper Risk Management and Corporate Governance in Islamic Finance: A Comparative Analysis
Shafiu Ibrahim Abdullahi
Independent
Date Posted: July 12, 2016
Last Revised: July 19, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper Macro-Micro, Trends vs. Noise, and SSA - II
Jan Dash, Xipei Yang and Mario Bondioli
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Date Posted: July 12, 2016
Last Revised: July 22, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Risk Tails and General Orthonormal Polynomials
Jan Dash, Harvey J. Stein and Mario Bondioli
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Date Posted: July 12, 2016
Last Revised: July 22, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper HYVAR (Hybrid VAR): HVAR Mixed with MC-HVAR
Jan Dash and Mario Bondioli
Bloomberg LP and Bloomberg L.P.
Date Posted: July 12, 2016
Last Revised: July 22, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper Cleaning Financial Data Using SSA and MSSA
Jan Dash and Yan Zhang
Bloomberg LP and Bloomberg LP
Date Posted: July 12, 2016
Last Revised: July 22, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper A Distressed Bond Model
Jan Dash, Xipei Yang and Stan Maydan
Bloomberg LP, Bloomberg L.P. and Bloomberg LP
Date Posted: July 12, 2016
Last Revised: July 22, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper Describing Crises with a Critical Exponent of the Reggeon Field Theory
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Date Posted: July 12, 2016
Last Revised: July 22, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper Analytic Solution to the Two Dimension Merton Model
Jan Dash, Mario Bondioli and Harvey J. Stein
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Date Posted: July 12, 2016
Last Revised: July 22, 2016
Working Paper Series
12 downloads

The Impact of Central Clearing on Credit Default Swap Spreads - Evidence from the North American and European Corporate Credit Default Swap Market
Andreas Oehler and Benjamin Hartl
Bamberg University and Independent
Date Posted: July 11, 2016
Working Paper Series

Incl. Electronic Paper Non-Leading Eigenvalue Distributions, RMT, and Correlations
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Date Posted: July 11, 2016
Last Revised: July 22, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper Noise-Reduced Correlations, the Signal to Noise Ratio, and SSA
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Date Posted: July 11, 2016
Last Revised: July 22, 2016
Working Paper Series
8 downloads

Risk Assessment and Risk Management in Economics
Andreas Oehler, Tim Alexander Herberger and Stefan Wendt
Bamberg University, Bamberg University and School of Business, Reykjavik University
Date Posted: July 11, 2016
Working Paper Series

Incl. Electronic Paper SSA, Random Matrix Theory, and Noise-Reduced Correlations
Jan Dash, Xipei Yang, Mario Bondioli and Harvey J. Stein
Bloomberg LP, Bloomberg L.P., Bloomberg L.P. and Bloomberg L.P.
Date Posted: July 11, 2016
Last Revised: July 22, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Stable Reduced-Noise 'Macro' SSA - Based Correlations for Long-Term Counterparty Risk Management
Jan Dash, Xipei Yang, Harvey J. Stein and Mario Bondioli
Bloomberg LP, Bloomberg L.P., Bloomberg L.P. and Bloomberg L.P.
Date Posted: July 11, 2016
Last Revised: July 22, 2016
Working Paper Series
8 downloads

The Financial Impact of Lender-of-Last-Resort Borrowing from the Federal Reserve During the Financial Crisis
Journal of Financial Research, Vol. 39, No. 2, Pp. 179–206, 2016,
Benjamin M. Blau, Scott E. Hein and Ryan J. Whitby
Utah State University - Huntsman School of Business, Texas Tech University - Area of Finance and Utah State University - Huntsman School of Business
Date Posted: July 11, 2016
Accepted Paper Series

Incl. Electronic Paper Banks' Interest Rate Risk and Search for Yield: A Theoretical Rationale and Some Empirical Evidence
Bundesbank Discussion Paper No. 22/2016
Christoph Memmel, Atilim Seymen and Max Teichert
Deutsche Bundesbank, Deutsche Bundesbank and University of Wuerzburg
Date Posted: July 11, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper The Effect of Bank Shocks on Firm-Level and Aggregate Investment
Bundesbank Discussion Paper No. 20/2016
João Amador and Arne J. Nagengast
Bank of Portugal and Deutsche Bundesbank - Economics Department
Date Posted: July 11, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Executive Compensation, Bank-Owned Life Insurance, and Bank Holding Company Performance
Rebel A. Cole, Travis Davidson and Hongxia Wang
DePaul University - Driehaus College of Business, Ohio University - Department of Finance and Ashland University
Date Posted: July 09, 2016
Last Revised: July 14, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper Macroeconomic Stress-Testing of Mortgage Default Rate Using a Vector Error Correction Model and Entropy Pooling
David Ardia, Anas Guerrouaz and Jeanne Rey
University of Neuchatel - Institute of Financial Analysis, Laval University - Département de Finance et Assurance and National Bank of Canada
Date Posted: July 09, 2016
Working Paper Series
17 downloads

Incl. Fee Electronic Paper The Role of Model Risk in Extreme Value Theory for Capital Adequacy
Journal of Risk, Forthcoming
Ralf Kellner, Daniel Rösch and Harald (Harry) Scheule
University of Technology Sydney (UTS), University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Date Posted: July 08, 2016
Working Paper Series


 

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