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SSRN eLibrary Search Results
Risk Management & Analysis in Financial Institutions eJournal
677,090 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 3,785
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1 2 3 4 ... 76 | Next >
   

Incl. Electronic Paper Option-Based Pricing of Wrong Way Risk for CVA
Chris Kenyon and Andrew David Green
Lloyds Banking Group and Scotiabank
Date Posted: August 23, 2016
Working Paper Series
34 downloads

Incl. Electronic Paper Settlement Risk in the Global FX Market: How Much Remains?
Dino Kos and Richard M. Levich
CLS Bank International and New York University - Stern School of Business
Date Posted: August 22, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper Non- and Semi-Parametric Quantile Models for Recovery Rate
Nithi Sopitpongstorn, Jiti Gao, Param Silvapulle and Xibin Zhang
Monash Business School, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and Monash University
Date Posted: August 22, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Forecast Bankruptcy Using a Blend of Clustering and MARS Model - Case of US Banks
Zeineb Affes and Rania Hentati Kaffel
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Université Paris I Panthéon-Sorbonne - CES/CNRS
Date Posted: August 22, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper Claims Reserving with a Stochastic Vector Projection
Luis Portugal, Athanasios A. Pantelous and Hirbod Assa
Department of Mathematical Sciences, University of Liverpool, Department of Mathematical Sciences, University of Liverpool and University of Liverpool
Date Posted: August 21, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper Measuring Bank Risk: An Exploration of Z-Score
Xiping Li, David W.L. Tripe and Christopher B. Malone
Massey University - School of Economics and Finance, Massey University - School of Economics and Finance, Palmerston North and Wellington and School of Economics and Finance, Massey University
Date Posted: August 21, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper What Explains Volatility Spillovers in the Financial Systems of Emerging Market Countries: Co-Movement, Transmission, or Contagion?
Jongrim Ha
Cornell University
Date Posted: August 21, 2016
Working Paper Series
4 downloads

Incl. Fee Electronic Paper Efficient Estimation of Sensitivities for Counterparty Credit Risk with the Finite Difference Monte Carlo Method
Journal of Computational Finance, Forthcoming
Cornelis S.L. de Graaf, Drona Kandhai and Peter M.A. Sloot
University of Amsterdam, University of Amsterdam and University of Amsterdam
Date Posted: August 20, 2016
Accepted Paper Series

Incl. Electronic Paper Bank Soundness and Cash Holdings: Evidence from a Bank-Centered Financial Market
Toshinori Sasaki and Katsushi Suzuki
Toyo University - Faculty of Business Administration and Hitotsubashi University - Graduate School of Commerce and Management
Date Posted: August 20, 2016
Last Revised: August 22, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Liquidity Timing in the Higher Moment Framework: Evidence from Bank Affiliated Fund
Woraphon Wattanatorn, Chaiyuth Padungsaksawasdi, Pornchai Chunhachinda and Sarayut Nathaphan
PTT Public Company Limited, Thammasat Business School, Thammasat University and Mahidol University International College (MUIC)
Date Posted: August 20, 2016
Working Paper Series
1 downloads

Incl. Electronic Paper 21st Century Corporate Defence
The Risk Universe, Issue 56, August 2016
Sean Lyons
Risk-Intelligence-Security-Control (R.I.S.C.) International (Ireland)
Date Posted: August 20, 2016
Accepted Paper Series
12 downloads

Incl. Electronic Paper Convex Incentives and Tail Risk-Taking
Jerchern Lin
State University of New York (SUNY) - Financial & Managerial Economics
Date Posted: August 19, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper Stock Market Efficiency under the Cost of Carry Model. Evidence from the Spanish Market
Javier Sánchez-Verdasco
Incompany Formación en Finanzas
Date Posted: August 19, 2016
Last Revised: August 21, 2016
Working Paper Series
6 downloads

Determinants of Non-Performing Loans: Evidence from Euro-Area Countries
Finance Research Letters, Forthcoming
Dimitrios Anastasiou, Helen Louri and Efthymios G. Tsionas
Athens University of Economics and Business - Department of Accounting and Finance, Athens University of Economics and Business - Department of Economics and Lancaster University
Date Posted: August 19, 2016
Accepted Paper Series

Incl. Electronic Paper Liquidity Risk of Banks, Deposit Diversification and Insurance During Financial Crises: Evidence from G8 and BRICS Countries
Emmanuel Mamatzakis, XiaoXiang Zhang and Wentao Hu
University of Sussex - School of Business, Management and Economics, University of Sussex - School of Business, Management and Economics and University of Sussex - School of Business, Management and Economics
Date Posted: August 19, 2016
Working Paper Series
7 downloads

Incl. Electronic Paper Financial Stability and Optimal Interest-Rate Policy
FEDS Working Paper No. 2016-067
Andrea Ajello, Thomas Laubach, J. David López-Salido and Taisuke Nakata
Federal Reserve Board, Federal Reserve Board, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Date Posted: August 19, 2016
Working Paper Series
1 downloads

Incl. Electronic Paper Gauging the Ability of the FOMC to Respond to Future Recessions
FEDS Working Paper No. 2016-068
David Reifschneider
Federal Reserve Board - Division of Research and Statistics
Date Posted: August 19, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Dis-Integrating Credit Markets - Diversification, Securitization, and Lending in a Recovery
Matthieu Chavaz
Bank of England
Date Posted: August 19, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Managing Counterparty Credit Risk Via BSDEs
Andrew Lesniewski and Anja Richter
CUNY Baruch College and CUNY Baruch College
Date Posted: August 18, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper Indebted Households Profiling: A Knowledge Discovery from Database Approach
Rodrigo Arnaldo Scarpel, Alexandros Ladas and Uwe Aickelin
Instituto Tecnológico de Aeronáutica (ITA), University of Nottingham - School of Computer Science and University of Nottingham, Ningbo
Date Posted: August 18, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper Management and Resolution Methods of Non-Performing Loans
Dimitrios Anastasiou
Athens University of Economics and Business - Department of Accounting and Finance
Date Posted: August 18, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper Operational Risk in Financial Services: A Review and New Research Opportunities
Yuqian Xu, Michael Pinedo and Mei Xue
New York University, Department of Information, Operations, and Management Sciences, Students, New York University (NYU) - Leonard N. Stern School of Business and Boston College - Carroll School of Management
Date Posted: August 18, 2016
Working Paper Series
8 downloads

Incl. Electronic Paper Asset Diversification and Efficiency: Evidence from the Chinese Banking Sector
Kai Du, Andrew C. Worthington and Valentin Zelenyuk
University of Adelaide, Griffith University and University of Queensland
Date Posted: August 18, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper On the Distribution of the Excedents of Funds with Assets and Liabilities in Presence of Solvency and Recovery Requirements
UNSW Business School Research Paper No. 2016ACTL03
Benjamin Avanzi, Lars Frederik Brandt Henriksen and Bernard Wong
UNSW Australia Business School, School of Risk and Actuarial Studies, University of Copenhagen and University of New South Wales (UNSW) - School of Actuarial Studies
Date Posted: August 17, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Is Ex-Post Credit Risk Affected by the Cycles? The Case of Italian Banks
Dimitrios Anastasiou
Athens University of Economics and Business - Department of Accounting and Finance
Date Posted: August 17, 2016
Last Revised: August 19, 2016
Working Paper Series
34 downloads

Incl. Electronic Paper The Moderating Effect of the Main Bank System in Japan on the Association between Financial Risk and Cost Behavior
Tomohisa Kitada, Mami Koyama and Takehisa Kajiwara
Kobe University - Graduate School of Business Administration, Kobe University - Graduate School of Business Administration and Kobe University - Graduate School of Business Administration
Date Posted: August 17, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper International Diversification through iShares and Their Rivals
Journal of Risk, Forthcoming
Jie Cao, Rao Fu and Yong Jin
Chinese University of Hong Kong - Department of Finance, Chinese University of Hong Kong - Department of Decision Sciences & Managerial Economics and The Hong Kong Polytechnic University - School of Accounting and Finance
Date Posted: August 16, 2016
Accepted Paper Series
29 downloads

Incl. Electronic Paper Unsecured and Secured Funding
Mario di Filippo, Angelo Ranaldo and Jan Wrampelmeyer
World Bank Group, University of St. Gallen and University of St. Gallen
Date Posted: August 14, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper Saving China's Stock Market
Yi Huang, Jianjun Miao and Pengfei Wang
Graduate Institute of International and Development Studies, Boston University - Department of Economics and HKUST, Department of Economics
Date Posted: August 13, 2016
Working Paper Series
27 downloads

Incl. Fee Electronic Paper Rapidly Bounding the Exceedance Probabilities of High Aggregate Losses
Journal of Operational Risk, Forthcoming
Isabella Gollini and Jonathan Rougier
University of London - Birkbeck,University of London and University of Bristol - Department of Mathematics
Date Posted: August 13, 2016
Accepted Paper Series

Incl. Electronic Paper Basel III and Responding to the Recent Financial Crisis: Progress Made by the Basel Committee in Relation to the Need for Increased Bank Capital and Increased Quality of Loss Absorbing Capital
Marianne Ojo
North-West University - Faculty of Commerce and Administration
Date Posted: August 13, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper Stretching the Financial Safety Net to Its Breaking Point
Edward J. Kane
Boston College - Department of Finance
Date Posted: August 13, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper Macroeconomic Model Beyond Equilibrium
Victor Olkhov
TVEL Fuel Company
Date Posted: August 11, 2016
Last Revised: August 14, 2016
Working Paper Series
1 downloads

Incl. Electronic Paper A System-Wide Approach to Measure Connectivity in the Financial Sector
Sumanta Basu, Sreyoshi Das, George Michailidis and Amiyatosh K. Purnanandam
Cornell University, University of Michigan at Ann Arbor - Department of Economics, University of Michigan at Ann Arbor and University of Michigan, Stephen M. Ross School of Business
Date Posted: August 11, 2016
Working Paper Series
13 downloads

On the Probability of Maximum Severity of Ruin for a Classical and Renewal Risk Model
The IUP Journal of Financial Risk Management, Vol. XIII, No. 1, March 2016, pp. 28-40
Palash Ranjan Das and Gopal Govindasamy
University of Calcutta and Madras School of Economics
Date Posted: August 11, 2016
Accepted Paper Series

Incl. Electronic Paper Network-Motivated Lending Decisions
Yoshiaki Ogura, Ryo Okui and Yukiko U. Saito
Waseda University, School of Political Science and Economics, Kyoto University - Institute of Economic Research and Research Institute of Economy, Trade and Industry (RIETI)
Date Posted: August 11, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Portfolio Insurance Contracts Linked to Hedge Funds
Chekib Ezzili
ESSEC Business School
Date Posted: August 10, 2016
Working Paper Series
18 downloads

Incl. Fee Electronic Paper Credit Default Swaps: Has the GFC Influenced Perceptions of Their Utility for Banks?
Journal of Economic Surveys, Vol. 30, Issue 4, pp. 712-735, 2016
Roshanthi Dias
Swinburne University of Technology
Date Posted: August 10, 2016
Accepted Paper Series

Incl. Electronic Paper Stress Testing of Credit Risk: Case Based on Loan Portfolio, Capital Adequacy and Non Performing Loans in Kosovo
Ibish Mazreku and Fisnik Morina
University 'Haxhi Zeka' and University 'Haxhi Zeka'
Date Posted: August 10, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper Predicting the Financial Distress in the Banking Industry of Bangladesh: A Case Study on Private Commercial Banks
Australian Academy of Accounting and Finance Review, Volume 2 ● Issue 1 ● January 2016,
Md. Shahnawaz Mostofa, Sonia Rezina and Md. Salim Hasan
Uttara University, Uttara University and Uttara University, Bangladesh
Date Posted: August 10, 2016
Accepted Paper Series
18 downloads

Incl. Electronic Paper Restructuring Sovereign Debt after NML v. Argentina
Capital Markets Law Journal (Forthcoming)
Lee C. Buchheit and G. Mitu Gulati
Cleary Gottlieb Steen & Hamilton LLP - New York Office and Duke University School of Law
Date Posted: August 09, 2016
Accepted Paper Series
328 downloads

Incl. Fee Electronic Paper Assessing the Risks of Insuring Reputation Risk
Journal of Risk and Insurance, Vol. 83, Issue 3, pp. 641-679, 2016
Nadine Gatzert, Joan T. Schmit and Andreas Kolb
Friedrich-Alexander University Erlangen-Nürnberg, University of Wisconsin - Madison - Department of Actuarial Science, Risk Management and Insurance and Friedrich-Alexander-University of Erlangen-Nuremberg
Date Posted: August 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Cross‐Industry Product Diversification and Contagion in Risk and Return: The Case of Bank‐Insurance and Insurance‐Bank Takeovers
Journal of Risk and Insurance, Vol. 83, Issue 3, pp. 681-718, 2016
Elyas Elyasiani, Sotiris K. Staikouras and Panagiotis Dontis-Charitos
Temple University - Department of Finance, City University - Cass Business School and Westminster Business School, University of Westminster
Date Posted: August 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Estimation of Truncated Data Samples in Operational Risk Modeling
Journal of Risk and Insurance, Vol. 83, Issue 3, pp. 613-640, 2016
Bakhodir Ergashev, Konstantin Pavlikov, Stanislav P. Uryasev and Evangelos Sekeris
EY, University of Florida - Department of Industrial and Systems Engineering, University of Florida and Federal Reserve Banks - Federal Reserve Bank of Richmond
Date Posted: August 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Sluggish and Asymmetric Reaction of Life Annuity Prices to Changes in Interest Rates
Journal of Risk and Insurance, Vol. 83, Issue 3, pp. 519-555, 2016
Narat Charupat, Mark J. Kamstra and Moshe A. Milevsky
McMaster University - DeGroote School of Business, York University - Schulich School of Business and York University - Schulich School of Business
Date Posted: August 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Test of Asymmetric Learning in Competitive Insurance with Partial Information Sharing
Journal of Risk and Insurance, Vol. 83, Issue 3, pp. 557-578, 2016
Peng Shi and Wei Zhang
University of Wisconsin - Madison and Northern Illinois University
Date Posted: August 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates
Journal of Risk and Insurance, Vol. 83, Issue 3, pp. 735-776, 2016
Valérie Chavez-Demoulin, Paul Embrechts and Marius Hofert
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), Swiss Federal Institute of Technology Zurich and ETH Zurich, RiskLab, Department of Mathematics
Date Posted: August 09, 2016
Accepted Paper Series

Incl. Electronic Paper Finance, Risk and Economic Space
ACRN Oxford Journal of Finance and Risk Perspectives, 5(1). March 2016, p.209-221.
Victor Olkhov
TVEL Fuel Company
Date Posted: August 09, 2016
Last Revised: August 14, 2016
Accepted Paper Series
6 downloads

Incl. Fee Electronic Paper Banking Soundness Indicators and Sovereign Risk in Time of Crisis: The Case of the European Union
The World Economy, Vol. 39, Issue 8, pp. 1172-1193, 2016
Purificación Parrado-Martínez, Antonio Partal-Ureña and Pilar Gómez-Fernández-Aguado
Department of Financial Economics & Accounting. University of Jaén (Spain), University of Jaén and University of Jaén
Date Posted: August 08, 2016
Accepted Paper Series

Incl. Electronic Paper Portfolio Diversification in the Sovereign Credit Swap Markets
Andrea Consiglio, Somayyeh Lotfi and Stavros A. Zenios
University of Palermo, University of Guilan and University of Cyprus
Date Posted: August 08, 2016
Working Paper Series
15 downloads


 

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