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SSRN eLibrary Search Results
Econometric Modeling: Capital Markets - Risk eJournal
693,009 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 4,179
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1 2 3 4 ... 84 | Next >
   

Incl. Electronic Paper Liquidity Risk in Derivatives Valuation: An Improved Credit Proxy Method
Sumit Sourabh, Markus Hofer and Drona Kandhai
University of Amsterdam, ING Bank and University of Amsterdam
Date Posted: September 28, 2016
Working Paper Series
1 downloads

Incl. Electronic Paper Looking Through Systemic Risk: Determinants, Stress Testing and Market Value
Alvaro Chamizo and Alfonso Novales Cinca
Grupo Banco Bilbao Vizcaya Argentaria (BBVA) and Universidad Complutense de Madrid
Date Posted: September 28, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper Network Structures and Credit Risk in the Cross-Shareholdings Among Listed Japanese Companies
Masayasu Kanno
Nihon University
Date Posted: September 26, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper Keynote Address, the Financial Crisis and Credit Unavailability: Cause or Effect?
Duke Law School Public Law & Legal Theory Series No. 2016-54
Steven L. Schwarcz
Duke University School of Law
Date Posted: September 26, 2016
Accepted Paper Series
12 downloads

Incl. Electronic Paper A Theory for Measures of Tail Risk
Fangda Liu and Ruodu Wang
Central University of Finance and Economics (CUFE) - China Institute for Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Date Posted: September 22, 2016
Working Paper Series
19 downloads

Testing Interest Rate Models for Solvency II Applications
Insurance Risk, 2016, February Issue
Vladimir Ostrovski and Alexey Botvinnik
Talanx AG and Conning Asset Management
Date Posted: September 22, 2016
Accepted Paper Series

Incl. Electronic Paper Tail Systemic Risk and Banking Network Contagion: Evidence from the Brazilian Banking System
ICMA Centre Discussion Paper No. 2016-05
Miguel Angel Rivera-Castro, Andrea Ugolini and J. C. Arismendi
Post graduate programme in management - PPGA, University of Salvador (UNIFACS), University of Florence and University of Reading - ICMA Centre
Date Posted: September 22, 2016
Last Revised: September 24, 2016
Accepted Paper Series
19 downloads

Incl. Electronic Paper Optimal Reinsurance Policies When the Interests of Both the Cedent and the Reinsurer are Taken into Account
Wenjun Jiang, Jiandong Ren and Ricardas Zitikis
University of Western Ontario, University of Western Ontario and University of Western Ontario - Department of Statistical and Actuarial Sciences
Date Posted: September 21, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper Static vs Adapted Optimal Execution Strategies in Two Benchmark Trading Models
Damiano Brigo and Clément Piat
Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Date Posted: September 21, 2016
Working Paper Series
23 downloads

Incl. Electronic Paper Empirically Evaluating Systemic Risks in CCPs: The Case of Two CDS CCPs
Sean D. Campbell and Ivan Ivanov
U.S. Division of Monetary Affairs and Board of Governors of the Federal Reserve System
Date Posted: September 20, 2016
Working Paper Series
19 downloads

Incl. Electronic Paper The Effects of B2B Service Innovations on Firm Value and Firm Risk: How Do They Differ from Those of B2C Service Innovations?
Thomas Dotzel and Venkatesh Shankar
McGill University - Desautels Faculty of Management and Mays Business School, Texas A&M University
Date Posted: September 20, 2016
Working Paper Series
5 downloads

Incl. Fee Electronic Paper Coherence and Elicitability
Mathematical Finance, Vol. 26, Issue 4, pp. 901-918, 2016
Johanna F. Ziegel
University of Bern
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Expectations of Functions of Stochastic Time with Application to Credit Risk Modeling
Mathematical Finance, Vol. 26, Issue 4, pp. 748-784, 2016
Ovidiu Costin, Michael B. Gordy, Min Huang and Pawel Szerszen
Ohio State University (OSU), Board of Governors of the Federal Reserve, City University of Hong Kong (CityUHK) and Board of Governors of the Federal Reserve System
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Fire Sales Forensics: Measuring Endogenous Risk
Mathematical Finance, Vol. 26, Issue 4, pp. 835-866, 2016
Rama Cont and Lakshithe Wagalath
Imperial College London and IESEG School of Management
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Multivariate Risk Measures: A Constructive Approach Based on Selections
Mathematical Finance, Vol. 26, Issue 4, pp. 867-900, 2016
Ilya Molchanov and Ignacio Cascos
University of Bern - Department of Mathematical Statistics and Actuarial Science and Universidad Carlos III de Madrid
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Electronic Paper Shrinking the Coskewness Matrix: Bias Corrected Shrinkage Intensity and Extension to Multiple Targets
Kris Boudt, Dries Cornilly and Tim Verdonck
Free University of Brussels (VUB), Free University of Brussels (VUB) and Department of Mathematics, KU Leuven
Date Posted: September 20, 2016
Working Paper Series
24 downloads

Incl. Fee Electronic Paper The Common Origin of Uncertainty Shocks
CEPR Discussion Paper No. DP11501
Nicholas Kozeniauskas, Anna Orlik and Laura Veldkamp
New York University (NYU) - Department of Economics, Board of Governors of the Federal Reserve System and New York University - Stern School of Business
Date Posted: September 20, 2016
Working Paper Series

Incl. Electronic Paper Term Structure of Hedging Premia and Basis Arbitrages in Synthetic-Cash Credit Market
Tommaso Colozza
University of Florence - Department of Economics and Management
Date Posted: September 19, 2016
Working Paper Series
16 downloads

Differential Impacts of Structural and Cyclical Unemployment on Mortgage Default and Prepayment
Journal of Real Estate Finance and Economics, Vol. 53, No. 3, 2016
Roberto Quercia, Anthony Pennington-Cross and Chao Yue Tian
University of North Carolina (UNC) at Chapel Hill - Department of City and Regional Planning, Marquette University - Dept. of Finance and University of North Carolina (UNC) at Chapel Hill
Date Posted: September 19, 2016
Accepted Paper Series

Incl. Electronic Paper Capital at Risk (Preliminary Version)
Daniela Alifano
Imperial College Business School
Date Posted: September 19, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper Size Is Everything: Explaining SIFI Designations
Review of Financial Economics, Forthcoming
Felix Irresberger, Christopher Bierth and Gregor N. F. Weiss
Technical University of Dortmund, Technical University of Dortmund and University of Leipzig, Chair of Sustainable Finance & Banking
Date Posted: September 19, 2016
Last Revised: September 22, 2016
Accepted Paper Series
20 downloads

Strategy for Lenders by Modelling Competitions: Mortgage Default vs. Restructuring and Prepayment vs. Defeasance
Lok Man Tong
Independent
Date Posted: September 16, 2016
Working Paper Series

Incl. Electronic Paper How Does Legitimacy Operate in Emerging Capital Markets? Investigating the Moderating Effects of Premium Listings and Firm Size on Risk
Luciano Rossoni and Wesley Mendes-Da-Silva
Universidade Unigranrio and Getulio Vargas Foundation (FGV) - Finance, Accounting and Controllership Department of Fundação Getulio Vargas (São Paulo, Brazil)
Date Posted: September 15, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper Estimating Fundamental Sharpe Ratios: A Kalman Filter Approach
Hayette Gatfaoui
IESEG School of Management
Date Posted: September 15, 2016
Working Paper Series
80 downloads

Incl. Fee Electronic Paper An Assessment of Operational Loss Data and Its Implications for Risk Capital Modeling
Journal of Operational Risk, Vol. 11, No. 3, 2016
Ruben D. Cohen
Independent
Date Posted: September 15, 2016
Accepted Paper Series

Incl. Electronic Paper Level and Volatility Shocks to Government Spending: Term Structure Implications
Lorenzo Bretscher, Alex C. Hsu and Andrea Tamoni
London School of Economics & Political Science (LSE), Georgia Institute of Technology - Scheller College of Business and London School of Economics & Political Science (LSE)
Date Posted: September 15, 2016
Last Revised: September 22, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper Predicting Default for Japanese SMEs with Robust Logistic Regression
International Journal of Economics, Commerce and Research (IJECR), Vol. 6, Issue 3, June 2016
Michiko Miyamoto
Akita Prefectural University
Date Posted: September 14, 2016
Accepted Paper Series
15 downloads

Incl. Electronic Paper The Solvency II Standard Formula, Linear Geometry, and Diversification
Joachim Paulusch
R+V Lebensversicherung AG
Date Posted: September 14, 2016
Last Revised: September 22, 2016
Working Paper Series
42 downloads

Incl. Electronic Paper Pricing Recovery Risk via a Partial Information Transform
Albert Cohen
Michigan State University - Department of Mathematics
Date Posted: September 14, 2016
Last Revised: September 18, 2016
Working Paper Series
10 downloads

Incl. Electronic Paper Measuring Systemic Risk Contribution of International Mutual Funds
ADBI Working Paper 594
Joshua Aizenman, Yothin Jinjarak and Huanhuan Zheng
University of Southern California - Department of Economics, Victoria University of Wellington and The Chinese University of Hong Kong (CUHK)
Date Posted: September 14, 2016
Working Paper Series
22 downloads

Incl. Electronic Paper Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization
Jonathan Yu-Meng Li
Telfer School of Management, University of Ottawa
Date Posted: September 14, 2016
Working Paper Series
18 downloads

Derivatives Segment and Cash Segment in India: A Comparative Performance Analysis
The IUP Journal of Applied Finance, Vol. 22, No. 2, April 2016, pp. 34-46
Soheli Ghose and Adarsh Rathi
St. Xavier’s College (Autonomous), Kolkata and St. Xavier’s College (Autonomous), Kolkata
Date Posted: September 13, 2016
Accepted Paper Series

Incl. Electronic Paper Risk Aversion, Uncertainty, and Monetary Policy in Unconventional Environments
Jaehoon Hahn, Woonwook Jang and Seongjin Kim
Yonsei University - Yonsei University School of Business, Yonsei University and Yonsei University - Yonsei University School of Business
Date Posted: September 13, 2016
Working Paper Series
8 downloads

Incl. Electronic Paper Correlation Stress in a Historical VAR Setting
Michael A. Clayton
Michael A. Clayton Consulting, Inc.
Date Posted: September 13, 2016
Working Paper Series
18 downloads

Systemic Risk in Carry-Trade Portfolios
Finance Research Letters, Forthcoming
Chih-Liang Liu and Hsin-Feng Yang
National Yunlin University of Science and Technology - Department of Finance and Independent
Date Posted: September 12, 2016
Accepted Paper Series

Interest Rate Risk Propagation: Evidence from the Credit Crunch
North American Journal of Economics and Finance, Vol. 28, p. 242-264, 2014
Hsin-Feng Yang, Chih-Liang Liu and Ray Y. Chou
Independent, National Yunlin University of Science and Technology - Department of Finance and Academia Sinica
Date Posted: September 12, 2016
Accepted Paper Series

Incl. Electronic Paper The Risk Parity Principle Applied on a Corporate Bond Index Using Duration Times Spread
Lauren Stagnol
Université Paris Ouest - Nanterre, La Défense - EconomiX
Date Posted: September 10, 2016
Working Paper Series
33 downloads

Incl. Electronic Paper Quantitative Easing in the Euro Area: The Dynamics of Risk Exposures and the Impact on Asset Prices.
Ralph S. J. Koijen, Francois Koulischer, Benoît Nguyen and Motohiro Yogo
New York University (NYU) - Department of Finance, Banque de France, Banque de France and Princeton University - Department of Economics
Date Posted: September 09, 2016
Working Paper Series
114 downloads

Incl. Electronic Paper The Pricing of the Illiquidity Factor's Systematic Risk
Yakov Amihud and Joonki Noh
New York University - Stern School of Business and Case Western Reserve University - Department of Banking and Finance
Date Posted: September 09, 2016
Working Paper Series
53 downloads

Application of Analytic Hierarchy Process to Develop Credit Scoring Models for Financial Institution Obligors in Vietnam Commercial Banks
Journal of Economics and Development, Forthcoming
Vuong Minh Giang and Hoa Tuc Ngo
Bank for Foreign Trade of Vietnam (Vietcombank) and John von Neumann Institute (VNUHCM), Students
Date Posted: September 07, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy
NBER Working Paper No. w22592
Wenxin Du, Carolin E. Pflueger and Jesse Schreger
Federal Reserve Board, University of British Columbia (UBC) - Division of Finance and Harvard Business School
Date Posted: September 07, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Bond Market Asymmetries Across Recessions and Expansions: New Evidence on Risk Premia
CREATES Research Paper 2016-26
Martin M. Andreasen, Tom Engsted, Stig Vinther Møller and Magnus Sander
University of Aarhus, University of Aarhus - CREATES, University of Aarhus - CREATES and University of Aarhus - CREATES
Date Posted: September 07, 2016
Working Paper Series
48 downloads

Incl. Electronic Paper Risk-Adjusted Covered Interest Parity: Theory and Evidence
HKIMR Working Paper No.16/2016
Alfred Wong, Calvin Ng and David W. Y. Leung
Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Date Posted: September 06, 2016
Working Paper Series
25 downloads

Application of BMA Approach to Develop Credit Scoring Models for Vietnam SMEs
Vuong Minh Giang and Thanh Thiên Nguyễn
Bank for Foreign Trade of Vietnam (Vietcombank) and Independent
Date Posted: September 06, 2016
Working Paper Series

Bank Risk, Capitalisation and Technical Efficiency in Vietnamese Banking
Tu Le
University of Canberra - Faculty of Business, Government and Law
Date Posted: September 05, 2016
Working Paper Series

Incl. Electronic Paper Financial Intermediation, Credit Risk, and Credit Supply During the Housing Boom
Tim Landvoigt
University of Texas at Austin
Date Posted: September 03, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Credit Defaults, Bank Lending and the Real Economy
De Nederlandsche Bank Working Paper No. 518
Sebastiaan Pool
De Nederlandsche Bank - Research Department
Date Posted: September 02, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper Can Exposure to Aggregate Tail Risk Explain Size, Book-to-Market, and Idiosyncratic Volatility Anomalies?
Sofiane Aboura and Yakup Eser Arisoy
Université Paris XIII Sorbonne Paris Cité and Université Paris Dauphine - DRM Finance
Date Posted: September 02, 2016
Last Revised: September 17, 2016
Working Paper Series
280 downloads

Incl. Electronic Paper Liquidity Constraints, Home Equity and Residential Mortgage Losses
CIFR Paper No. 122/2016
Hung Xuan Do, Daniel Rösch and Harald (Harry) Scheule
University of Technology, Sydney, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Date Posted: September 02, 2016
Working Paper Series
10 downloads

Incl. Fee Electronic Paper Systematic Risk in Conventional and Islamic Equity Markets
International Review of Finance, Vol. 16, Issue 3, pp. 457-466, 2016
Ahmet Sensoy
Borsa Istanbul
Date Posted: September 02, 2016
Accepted Paper Series


 

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