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Full Text Papers: 578,954
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SSRN eLibrary Search Results
Econometric Modeling: Capital Markets - Risk eJournal
673,560 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 4,112
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1 2 3 4 ... 83 | Next >
   

Incl. Electronic Paper On Origins of Bubbles
Zura Kakushadze
Quantigic Solutions LLC
Date Posted: August 29, 2016
Working Paper Series
85 downloads

Incl. Electronic Paper Rischio Di Credito E Modelli Relativi (Credit Risk and Its Related Models)
Concetta Zurlo, Giuseppe Orlando and Rosa Maria Mininni
University of Bari, Students, University of Bari - Department of Economics and Mathematical Methods and Independent
Date Posted: August 25, 2016
Working Paper Series
3 downloads

Incl. Fee Electronic Paper Modeling Joint Defaults in Correlation-Sensitive Instruments
Journal of Credit Risk, Vol. 12, No. 3, 2016
Dariusz Gatarek and Juliusz Jablecki
Polish Academy of Sciences and University of Warsaw - Faculty of Economic Sciences
Date Posted: August 24, 2016
Accepted Paper Series

Incl. Electronic Paper Volatility Smile as Relativistic Effect
Zura Kakushadze
Quantigic Solutions LLC
Date Posted: August 24, 2016
Working Paper Series
136 downloads

Incl. Electronic Paper What Goes into Risk Neutral Volatility? Empirical Estimates of Risk and Subjective Risk Preferences
Stephen Figlewski
New York University - Stern School of Business
Date Posted: August 23, 2016
Working Paper Series
28 downloads

Incl. Electronic Paper The Bank as Grim Reaper: Debt Composition and Bankruptcy Thresholds
FEDS Working Paper No. 2016-069
Mark Carey and Michael B. Gordy
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - International Banking Section and Board of Governors of the Federal Reserve
Date Posted: August 23, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper Estimating Stock Return Volatility in Indian and Chinese Stock Market
International Journal of Banking,Risk and Insurance, Vol 4 Issue 2 ,Sept 2016, pp 37-49
Vanita Tripathi and Pankaj Chaudhary
University of Delhi India - Delhi School of Economics - Department of Commerce and University of Delhi - Shri Ram College of Commerce
Date Posted: August 23, 2016
Accepted Paper Series
5 downloads

Incl. Electronic Paper Variance Risk in Aggregate Stock Returns and the Return Predictability
Sungjune Pyun
Marshall School of Business, University of Southern California
Date Posted: August 23, 2016
Working Paper Series
35 downloads

Incl. Electronic Paper Test-Bedding the Replacement of the Incurred Credit Loss Model with an Expected Credit Loss Model: The Case of Trade Receivables
McMaster University, Department of Economics, Working Paper Series, 2016-05
Mohamed Gomaa, Kiridaran (Giri) Kanagaretnam, Stuart Mestelman and Mohamed Shehata
Hofstra University, York University - Schulich School of Business, McMaster University - Department of Economics and McMaster University - Michael G. DeGroote School of Business
Date Posted: August 22, 2016
Working Paper Series
1 downloads

Incl. Electronic Paper Benchmark Approach and Risk Neutral Pricing in a Special Hybrid Model
Daniel Berger
Independent
Date Posted: August 22, 2016
Last Revised: August 24, 2016
Working Paper Series
7 downloads

Incl. Fee Electronic Paper The Marginal Propensity to Consume Over the Business Cycle
NBER Working Paper No. w22518
Tal Gross, Matthew Notowidigdo and Jialan Wang
Columbia University - Department of Health Policy and Management, University of Chicago - Booth School of Business and Consumer Financial Protection Bureau
Date Posted: August 22, 2016
Working Paper Series

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
7 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 Revisiting Interest Rate Swap Valuation with Counterparty Risk, Wrong-Way Risk and OIS Discount
Journal of Fixed Income, Forthcoming
Ayoub Gargouri, Van Son Lai and Issouf Soumaré
Laval University, Faculté d'Administration, Département de Finance et Assurance, Students, Universite Laval and Laval University
Date Posted: August 20, 2016
Last Revised: August 21, 2016
Accepted Paper Series
12 downloads

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
10 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
7 downloads

Incl. Electronic Paper Religion and Ratio Analysis: Towards an Islamic Corporate Liquidity Measure
Ahmed M. Elnahas, M. Kabir Hassan and Ghada M. Ismail
Eastern Kentucky University, University of New Orleans - College of Business Administration - Department of Economics and Finance and the University of Memphis
Date Posted: August 17, 2016
Working Paper Series
5 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 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
51 downloads

Incl. Fee Electronic Paper Infrequent But Long-Lived Zero-Bound Episodes and the Optimal Rate of Inflation
NBER Working Paper No. w22510
Marc Dordal-i-Carreras, Olivier Coibion, Yuriy Gorodnichenko and Johannes Wieland
University of California, Berkeley - Department of Economics, University of Texas at Austin, University of California, Berkeley - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Date Posted: August 16, 2016
Working Paper Series
2 downloads

Incl. Fee Electronic Paper Optimal Domestic (and External) Sovereign Default
NBER Working Paper No. w22509
Pablo D'Erasmo and Enrique G. Mendoza
Federal Reserve Bank of Philadelphia and University of Pennsylvania
Date Posted: August 16, 2016
Working Paper Series

Incl. Electronic Paper The Share of Systematic Risk in Foreign Exchange and Stock Markets
Ming Zeng
Singapore Management University - School of Economics
Date Posted: August 15, 2016
Working Paper Series
28 downloads

Incl. Electronic Paper Risk and Return in Segmented Markets with Expertise
Andrea L. Eisfeldt, Hanno N. Lustig and Lei Zhang
UCLA Anderson School of Management, Stanford Graduate School of Business and The University of Hong Kong - School of Economics and Finance
Date Posted: August 15, 2016
Working Paper Series
14 downloads

Incl. Electronic Paper Global Variance Term Premia and Intermediary Risk Appetite
FRB of NY Staff Report No. 789
Peter Van Tassel and Erik Vogt
Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York
Date Posted: August 15, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors
FEDS Working Paper No. 2016-065
Dobrislav Dobrev, Travis D. Nesmith and Dong Hwan Oh
Board of Governors of the Federal Reserve System, Federal Reserve Board and Federal Reserve Board
Date Posted: August 15, 2016
Working Paper Series
16 downloads

Incl. Electronic Paper Exposure to International Crises: Trade vs. Financial Contagion
Globalization and Monetary Policy Institute Working Paper No. 280
Everett Grant
Federal Reserve Banks - Federal Reserve Bank of Dallas
Date Posted: August 15, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Do Credit Ratings Incorporate Business Linkages Along the Supply Chain?
Rong Huang and Sunqian Ren
City University of New York (CUNY) - Stan Ross Department of Accountancy and City University of New York (CUNY), Baruch College, Zicklin School of Business, Stan Ross Department of Accountancy, Students
Date Posted: August 15, 2016
Working Paper Series
14 downloads

Incl. Electronic Paper Sovereign Risk and the Impact of Crisis: Evidence from Latin America
Jonathan A. Batten, Gerard L. Gannon and Kannan S. Thuraisamy
Monash University, Deakin University - School of Accounting, Economics and Finance and Deakin University - Faculty of Business and Law
Date Posted: August 15, 2016
Working Paper Series
8 downloads

Incl. Electronic Paper Forecasting Equity Risk Using Firm Risk Disclosures
Xiaodi Zhu, Steve Y. Yang and Somayeh Moazeni
Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
Date Posted: August 12, 2016
Last Revised: August 23, 2016
Working Paper Series
23 downloads

Incl. Electronic Paper Why Do Option Returns Change Sign from Day to Night?
Dmitriy Muravyev and Xuechuan Ni
Boston College and Boston College - Carroll School of Management
Date Posted: August 12, 2016
Working Paper Series
202 downloads

Incl. Electronic Paper Global Price of Risk and Stabilization Policies
FRB of NY Staff Report No. 786
Tobias Adrian, Daniel Stackman and Erik Vogt
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York
Date Posted: August 12, 2016
Working Paper Series
31 downloads

Incl. Electronic Paper Investment Horizon Risk and Volatility Metrics
Bob Korkie
University of Alberta
Date Posted: August 12, 2016
Working Paper Series
58 downloads

Incl. Fee Electronic Paper Estimating Credit Risk Parameters Using Ensemble Learning Methods: An Empirical Study on Loss Given Default
Journal of Credit Risk, Forthcoming
Han Sheng Sun and Zi Jin
Global Risk Management Network, LLC and Wells Fargo Bank
Date Posted: August 11, 2016
Accepted Paper Series

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
20 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 Beyond Risk-Based Portfolios: Balancing Performance and Risk Contributions in Asset Allocation
David Ardia, Kris Boudt and Giang Ha Nguyen
University of Neuchatel - Institute of Financial Analysis, Free University of Brussels (VUB) and Free University of Brussels (VUB)
Date Posted: August 11, 2016
Working Paper Series
98 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
19 downloads

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 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. Fee Electronic Paper The Impact of the Financial Crisis and Natural Catastrophes on CAT Bonds
Journal of Risk and Insurance, Vol. 83, Issue 3, pp. 579-612, 2016
Marc Gürtler, Martin Thomas Hibbeln and Christine Winkelvos
University of Braunschweig - Institute of Technology, Department of Finance, University of Duisburg-Essen - Mercator School of Management and Technology University of Braunschweig
Date Posted: August 09, 2016
Accepted Paper Series
1 downloads

Incl. Electronic Paper Estimating the Country Risk Premium in Emerging Markets: The Case of the Republic of Macedonia
Financial Theory and Practice 36 (4) 413-434 (2012)
Aleksandar Naumoski
Ss. Cyril and Methodius University - Faculty of Economics
Date Posted: August 09, 2016
Accepted Paper Series
15 downloads

Incl. Electronic Paper Stress Test of Liquidity Risk: The Case Based on the Withdrawal of Deposits in Kosovo 2013-2015
Fisnik Morina
University 'Haxhi Zeka'
Date Posted: August 08, 2016
Working Paper Series
16 downloads

Incl. Fee Electronic Paper Why Does Idiosyncratic Risk Increase with Market Risk?
NBER Working Paper No. w22492
Söhnke M. Bartram, Gregory W. Brown and René M. Stulz
Warwick Business School - Department of Finance, University of North Carolina (UNC) at Chapel Hill - Finance Area and Ohio State University (OSU) - Department of Finance
Date Posted: August 08, 2016
Working Paper Series
7 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 On the Value of Portfolio Optimization in the Presence of Estimation Risk: The Case with and Without Risk-Free Asset
Raymond Kan, Xiaolu Wang and Guofu Zhou
University of Toronto - Rotman School of Management, Iowa State University and Washington University in St. Louis - Olin School of Business
Date Posted: August 08, 2016
Last Revised: August 18, 2016
Working Paper Series
52 downloads

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
20 downloads

Incl. Electronic Paper Revenge of the Steamroller: ABCP as a Window on Risk Choices
Carlos Arteta, Mark Carey, Ricardo Correa and Jason D. Kotter
World Bank, Development Prospects Group, Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - International Banking Section, Board of Governors of the Federal Reserve System and Pennsylvania State University - Smeal College of Business
Date Posted: August 07, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Financial Contagion and the Cross Section of Expected Returns
Matthew Linn
Isenberg School of Management, University of Massachusetts
Date Posted: August 04, 2016
Last Revised: August 17, 2016
Working Paper Series
48 downloads


 

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