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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. 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. Fee Electronic Paper Finite Difference Techniques for Arbitrage-Free SABR
Journal of Computational Finance, Forthcoming
fabien le floch and Gary J. Kennedy
affiliation not provided to SSRN and Clarus Financial Technology
Date Posted: August 19, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Determinants of Regime Switching in the Natural Gas and Crude Oil Cointegrating Relationship
Journal of Energy Markets, Forthcoming
Matthew Brigida
Clarion University of Pennsylvania
Date Posted: August 17, 2016
Accepted Paper Series

Incl. Fee Electronic Paper An Analysis of Energy Futures
Journal of Energy Markets, Forthcoming
Coleen C. Pantalone, Joseph McCarthy and Hsi-Cheng Li
Northeastern University - Finance and Insurance Area, Bryant University and Bryant University
Date Posted: August 13, 2016
Accepted Paper Series

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. Fee Electronic Paper A Mixed Monte Carlo and Partial Differential Equation Variance Reduction Method for Foreign Exchange Options Under the Heston–Cox–Ingersoll–Ross Model
Journal of Computational Finance, Forthcoming
Andrei Cozma and Christoph Reisinger
University of Oxford and University of Oxford - Oxford-Man Institute of Quantitative Finance
Date Posted: August 12, 2016
Accepted Paper Series

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. Fee Electronic Paper The Forward Smile in Local–Stochastic Volatility Models
Journal of Computational Finance, Forthcoming
Andrea Mazzon and Andrea Pascucci
Gran Sasso Science Institute and University of Bologna - Department of Mathematics
Date Posted: August 10, 2016
Accepted Paper Series

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 Self‐Insurance, Self‐Protection, and Saving: On Consumption Smoothing and Risk Management
Journal of Risk and Insurance, Vol. 83, Issue 3, pp. 719-734, 2016
Annette Hofmann and Richard Peter
Institute for Risk and Insurance - Faculty of Economics and Social Sciences and Ludwig Maximilian University of Munich - Faculty of Business Administration (Munich School of Management)
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 The Valuation of Lifetime Health Insurance Policies with Limited Coverage
Journal of Risk and Insurance, Vol. 83, Issue 3, pp. 777-800, 2016
Shang‐Yin Yang, Chou‐Wen Wang and Hong‐Chih Huang
Tunghai University - Finance, National Kaohsiung First University of Science & Technology (NKFUST) and National Chengchi University (NCCU) - College of Commerce
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. 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. Fee Electronic Paper Numerical Solution of the Hamilton – Jacobi – Bellman Formulation for Continuous-Time Mean – Variance Asset Allocation Under Stochastic Volatility
Journal of Computational Finance, Forthcoming
K Ma and Peter A. Forsyth
University of Waterloo and University of Waterloo - Cheriton School of Computer Science
Date Posted: August 04, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Convenience Yield Implied in the European Natural Gas Markets: The Impact of Storage and Weather
Journal of Energy Markets, Forthcoming
Thomas Reinhard Kremser and Margarethe Rammerstorfer
Vienna University of Economics and Business - Institute for Finance, Banking and Insurance and Modul University Vienna
Date Posted: August 04, 2016
Accepted Paper Series

Incl. Fee Electronic Paper High-Performance American Option Pricing
Journal of Computational Finance, 20(1), 39-87, DOI:10.21314/JCF.2016.312
Leif B. G. Andersen, Mark Lake and Dimitri Offengenden
Bank of America Merrill Lynch, Bank of America Merrill Lynch and Strategist
Date Posted: August 02, 2016
Accepted Paper Series

Incl. Electronic Paper The Robustness of EU Financial Crimes Legislation: A Critical Review of the EU and UK Anti-Fraud and Money Laundering Scheme
European Business Law Review, 2017, Forthcoming
Ester Herlin-Karnell and Nicholas Ryder
VU University Amsterdam - Faculty of Law and University of the West of England (UWE) - Bristol Law School
Date Posted: August 02, 2016
Working Paper Series
23 downloads

Incl. Fee Electronic Paper Adjusting Exponential Lévy Models Toward the Simultaneous Calibration of Market Prices for Crash Cliquets
Journal of Computational Finance, 20(1), 89-111, DOI:10.21314/JCF.2016.309
Peter Carr, Ajay Khanna and Dilip B. Madan
New York University (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) and University of Maryland - Robert H. Smith School of Business
Date Posted: July 28, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Impact of Loan-to-Value on the Default Rate of Residential Mortgage-Backed Securities
Journal of Credit Risk, Forthcoming
Luis Otero González, Pablo Duran Santomil, Rubén Lado-Sestayo and Milagros Vivel Búa
Universidade de Santiago de Compostela - Faculty of Economic Science and Business Studies, Universidade de Santiago de Compostela - Faculty of Economic Science and Business Studies, University of La Coruña and Universidade de Santiago de Compostela - Faculty of Economic Science and Business Studies
Date Posted: July 28, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Modeling Redemption Risks of Mutual Funds Using Extreme Value Theory
Journal of Risk 18(6), 1–37 DOI:10.21314/JOR.2016.336 ,
Sascha Desmettre and Matthias Deege
University of Kaiserslautern - Department of Mathematics and IPConcept (Luxemburg) S.A.
Date Posted: July 26, 2016
Accepted Paper Series

Incl. Fee Electronic Paper An Exact and Efficient Method for Computing Cross-Gammas of Bermudan Swaptions and Cancelable Swaps Under the Libor Market Model
Journal of Computational Finance, Forthcoming
Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
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. 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. Fee Electronic Paper A Note on Capital IQ's Credit Line Data
Financial Review, Vol. 51, Issue 3, pp. 435-461, 2016
Ani Manakyan Mathers and Emanuela Giacomini
Salisbury University and University of Florida - Warrington College of Business Administration
Date Posted: July 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Impact of Cross‐Listing on the Home Market's Information Environment and Stock Price Efficiency
Financial Review, Vol. 51, Issue 3, pp. 299-328, 2016
Olga Dodd and Aaron B. Gilbert
Auckland University of Technology and Auckland University of Technology - Faculty of Business & Law
Date Posted: July 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Front‐Running Scalping Strategies and Market Manipulation: Why Does High‐Frequency Trading Need Stricter Regulation?
Financial Review, Vol. 51, Issue 3, pp. 363-402, 2016
Viktor Manahov
University of York
Date Posted: July 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Mitigating Estimation Risk in Asset Allocation: Diagonal Models Versus 1/N Diversification
Financial Review, Vol. 51, Issue 3, pp. 403-433, 2016
Chris T. Stivers and Licheng Sun
University of Louisville and Old Dominion University
Date Posted: July 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Tax Exemption to Subchapter S Banks: Who Gets the Benefit?
Financial Review, Vol. 51, Issue 3, pp. 329-362, 2016
Chun-Hao Chang, Ajeet Jain, Edward R. Lawrence and Arun J. Prakash
Florida International University (FIU), Alabama A&M University - Department of Economics, Finance, and Office Systems Management, Florida International University and Florida International University (FIU) - Department of Finance
Date Posted: July 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Bank Diversification and Overall Financial Strength: International Evidence
Financial Markets, Institutions & Instruments, Vol. 25, Issue 3, pp. 169-213, 2016
Michael Doumpos, Chrysovalantis Gaganis and Fotios Pasiouras
Technical University of Crete (TUC) - Department of Production Engineering and Management, University of Crete - Faculty of Social Sciences - Department of Economics and Technical University of Crete
Date Posted: July 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Efficient Computation of Exposure Profiles on Real-World and Risk-Neutral Scenarios for Bermudan Swaptions
Journal of Computational Finance, Forthcoming
Qian Feng, Shashi Jain, Patrik Karlsson, Drona Kandhai and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI), ING Bank - Netherlands Office, ING Bank, University of Amsterdam and Center for Mathematics and Computer Science (CWI)
Date Posted: July 13, 2016
Accepted Paper Series

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
7 downloads

Incl. Fee Electronic Paper Bridging Sustainability and Finance: The Value Driver Adjustment Approach
Journal of Applied Corporate Finance, Vol. 28, Issue 2, pp. 17-28, 2016
Willem Schramade
Robeco Asset Management
Date Posted: July 12, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Corporate Philanthropy and Innovation: The Case of the Pharmaceutical Industry
Journal of Applied Corporate Finance, Vol. 28, Issue 2, pp. 80-86, 2016
Frederick L. Bereskin and Po-Hsuan Hsu
University of Delaware and University of Hong Kong
Date Posted: July 12, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Delaware Public Benefit Corporations: Widening the Fiduciary Aperture to Broaden the Corporate Mission
Journal of Applied Corporate Finance, Vol. 28, Issue 2, pp. 66-74, 2016
Frederick H. Alexander
Morris, Nichols, Arsht & Tunnell, Attorneys At Law - Corporation Law Counseling Group
Date Posted: July 12, 2016
Accepted Paper Series

Incl. Fee Electronic Paper ESG for All? The Impact of ESG Screening on Return, Risk, and Diversification
Journal of Applied Corporate Finance, Vol. 28, Issue 2, pp. 47-55, 2016
Robert G. Eccles, Tim Verheyden and Andreas Feiner
Harvard Business School, Arabesque Asset Management Ltd and Arabesque Asset Management
Date Posted: July 12, 2016
Accepted Paper Series
4 downloads

Incl. Fee Electronic Paper ESG Integration in Investment Management: Myths and Realities
Journal of Applied Corporate Finance, Vol. 28, Issue 2, pp. 10-16, 2016
Sakis Kotsantonis, Chris Pinney and George Serafeim
Independent, High Meadows Institute and Harvard University - Harvard Business School
Date Posted: July 12, 2016
Accepted Paper Series

Incl. Fee Electronic Paper ESG Investing in Emerging and Frontier Markets
Journal of Applied Corporate Finance, Vol. 28, Issue 2, pp. 96-101, 2016
Jamieson Odell and Usman Ali
Caravel Management LLC and Caravel Management LLC
Date Posted: July 12, 2016
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Governance and Climate Change: A Success Story in Mobilizing Investor Support for Corporate Responses to Climate Change
Journal of Applied Corporate Finance, Vol. 28, Issue 2, pp. 29-33, 2016
Mats Andersson, Patrick Bolton and Frédéric Samama
AP4, Columbia Business School - Department of Economics and SWF Research Initiative, Amundi
Date Posted: July 12, 2016
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Integrating Systemic Risk into Modern Portfolio Theory and Practice
Journal of Applied Corporate Finance, Vol. 28, Issue 2, pp. 56-61, 2016
Steve Lydenberg
Domini Social Investments
Date Posted: July 12, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Managing the 'S' in ESG: The Case of Indigenous Peoples and Extractive Industries
Journal of Applied Corporate Finance, Vol. 28, Issue 2, pp. 87-95, 2016
Nick Pelosi and Rebecca Adamson
First Peoples Worldwide and First Peoples Worldwide
Date Posted: July 12, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Materiality in Corporate Governance: The Statement of Significant Audiences and Materiality
Journal of Applied Corporate Finance, Vol. 28, Issue 2, pp. 39-46, 2016
Robert G. Eccles and Timothy Youmans
Harvard Business School and Harvard Business School
Date Posted: July 12, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Measuring What Matters: Industry Specificity Helps Companies and Investors Gain Traction on Sustainability
Journal of Applied Corporate Finance, Vol. 28, Issue 2, pp. 34-38, 2016
Bob Herz and Jean Rogers
Accounting Standards Board and Accounting Standards Board
Date Posted: July 12, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Morgan Stanley Perspectives on Sustainable Investing: Acceleration and Integration
Journal of Applied Corporate Finance, Vol. 28, Issue 2, pp. 62-65, 2016
Audrey Choi
Morgan Stanley - Institute for Sustainable Investing
Date Posted: July 12, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Evolution of Integrating ESG Analysis into Wealth Management Decisions
Journal of Applied Corporate Finance, Vol. 28, Issue 2, pp. 75-79, 2016
Peter Roselle
Morgan Stanley
Date Posted: July 12, 2016
Accepted Paper Series
1 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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