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Incl. Fee Electronic Paper Combining Scenario and Historical Data in the Loss Distribution Approach: A New Procedure that Incorporates Measures of Agreement between Scenarios and Historical Data
Journal of Operational Risk, Vol. 10, No. 1, 2015
Riaan de Jongh , T de Wet , Helgard Raubenheimer and Johannes Hendrik Venter
North-West University , North-West University , North-West University and North-West University - Center for Business Mathematics
Date Posted: June 30, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Improved Goodness-of-Fit Measures
Journal of Operational Risk, Vol. 10, No. 1, 2015
Peter Mitic
Santander Bank
Date Posted: June 30, 2016
Accepted Paper Series

Incl. Fee Electronic Paper An Assessment of the Efficiency of Operational Risk Management in Taiwan's Banking Industry: An Application of the Stochastic Frontier Approach
Journal of Operational Risk, Vol. 10, No. 1, 2015
Hsiang-Hsi Liu and Mauricio Cortes
National Taipei University and National Taipei University
Date Posted: June 30, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Modeling Correlated Frequencies with Application in Operational Risk Management
Journal of Operational Risk, Vol. 10, No. 1, 2015
Andrei L Badescu , Gong Lan , X. Sheldon Lin and Dameng Tang
University of Toronto - Department of Statistics , University of Toronto , University of Toronto
Date Posted: June 30, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Signalling Properties of the Shape of the Credit Default Swap Term Structure
Journal of Risk, Vol. 17, No. 4, 2015
Jenny Castellanos , Nick Constantinou and Wing Lon Ng
University of Essex - Centre for Computational Finance and Economic Agents , University of Essex - Essex Business School and Bounded Rationality Advancement in Computational Intelligence Laboratory (BRACIL)
Date Posted: June 29, 2016
Accepted Paper Series

Incl. Fee Electronic Paper What Is the Best Risk Measure in Practice? A Comparison of Standard Measures
Journal of Risk, Vol. 18, No. 2, 2015
Susanne Emmer , Marie Kratz and Dirk Tasche
ESSEC Business School , ESSEC Business School and Swiss Financial Market Supervisory Authority (FINMA)
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Nonnegative Risk Components
Journal of Risk, Vol. 18, No. 2, 2015
Jeremy C. Staum
Northwestern University - Department of Industrial Engineering and Management Sciences
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Does Bonus Deferral Reduce Risk-Taking?
Journal of Risk, Vol. 18, No. 2, 2015
Dietmar Leisen
University of Mainz - Department of Banking
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Historical Simulation with Component Weight and Ghosted Scenarios
Journal of Risk, Vol. 18, No. 1, 2015
Xinyi Liu
ASEAN+3 Macroeconomic Research (AMRO)
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Extreme Value Theory, Asset Ranking and Threshold Choice: A Practical Note on VAR Estimation
Journal of Risk, Vol. 18, No. 1, 2015
Benjamin R. Auer
University of Leipzig
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Bayesian Synthesis of Portfolio Credit Risk with Missing Ratings
Journal of Risk, Vol. 18, No. 1, 2015
Dror Parnes
University of South Florida
Date Posted: June 25, 2016
Accepted Paper Series

Recursive Profit-and-Loss Sharing
Journal of Risk, Vol. 17, No. 6, 2015
Walid Mansour , Med Ben and Almas Heshmati
King Abdulaziz University , Independent and Sogang University
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Management of Refinancing Risk in Islamic Banks
Journal of Risk, Vol. 17, No. 6, 2015
Kenneth Baldwin
Islamic Financial Analytics Limited
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Commodity Risk Hedging Through Risk Sharing: Reengineering Islamic Forwards
Journal of Risk, Vol. 17, No. 6, 2015
Ali Kafou and Ahmed Chakir
National School of Trade and Management and Independent
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Applying the Cornish-Fisher Expansion to Value-at-Risk Estimation in Islamic Banking
Journal of Risk, Vol. 17, No. 6, 2015
Hylmun Izhar
Islamic Research & Training Institute, Islamic Development Bank
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Advanced Risk Profile Analysis of Islamic Equity Investment: Evidence from the American, Asian and European Markets
Journal of Risk, Vol. 17, No. 6, 2015
Mondher Bellalah and Chayeh Zeineb
Universite de Cergy-Pontoise and Université Paris VI Pierre et Marie Curie
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Impact of Model Risk on Capital Reserves: A Quantitative Analysis
Journal of Risk, Vol. 17, No. 5, 2015
Philip Bertram , Philipp Sibbertsen and Gerhard Stahl
Leibniz Universität Hannover , University of Hannover and European Union - Committee of the Regions
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Improved Estimation Methods for Value-at-Risk, Expected Shortfall and Risk Contributions with High Precision
Journal of Risk, Vol. 17, No. 5, 2015
Yukio Muromachi
Tokyo Metropolitan University
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Applications of Weather Derivatives in the Energy Market
Journal of Energy Markets, Vol. 8, No. 1, 2015
Kaijie Cui and Anatoliy V. Swishchuk
University of Calgary and University of Calgary
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Nonmaturity Deposits and Banks’ Exposure to Interest Rate Risk: Issues Arising from the Basel Regulatory Framework
Journal of Risk, Vol. 17, No. 5, 2015
Rosa Cocozza , Domenico Curcio and Igor Gianfrancesco
University of Naples Federico II - Faculty of Economics , University of Naples Federico II and Banco di Desio e della Brianza
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Simple Normal Inverse Gaussian-Type Approach to Calculate Value-at-Risk Based on Realized Moments
Journal of Risk, Vol. 17, No. 4, 2015
Christian Lau
Martin Luther Universitat Halle Wittenberg
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper First- and Second-Order Greeks in the Heston Model
Journal of Risk, Vol. 17, No. 4, 2015
Jiun Hong Chan , Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies , University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Mergers and Acquisitions: Collar Contracts
Journal of Risk, Vol. 17, No. 4, 2015
An Chen and Christian Hilpert
University of Ulm and University of Hamburg
Date Posted: June 24, 2016
Working Paper Series

Incl. Fee Electronic Paper A Construction of Volatility Surfaces for Futures Markets
Journal of Energy Markets, Vol. 8, No. 1, 2015
Qimou Su , Ni Xiao and J Randall Curtis
SciComp Inc. , University of Chicago and University of Washington
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Ultra-Fast Scenario Analysis of Mortgage Prepayment Risk
Journal of Risk, Vol. 17, No. 3, 2015
Alexios Theiakos , Jurgen M.C Tas , Han van der Lem and Drona Kandhai
University of Amsterdam , ING Bank - Netherlands Office , ING Bank - Netherlands Office and University of Amsterdam
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Combining Alpha Streams with Costs
Journal of Risk, Vol. 17, No. 3, 2015
Zura Kakushadze
Quantigic Solutions LLC
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Pricing and Hedging Quanto Options in Energy Markets
Journal of Energy Markets, Vol. 8, No. 1, 2015
Fred Espen Benth , Nina Lange and Tor Age Myklebust
University of Oslo - Department of Mathematics , Copenhagen Business School and Norwegian School of Economics (NHH)
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Crude Oil Price Volatility Spillovers into Major Equity Markets
Journal of Energy Markets, Vol. 8, No. 1, 2015
Bahram Adrangi , Arjun Chatrath , Joseph Macri and Kambiz Raffiee
University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration , University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration , Macquarie University - Department of Economics and University of Nevada, Reno - College of Business Administration - Department of Economics
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Reduced-Form Contingent Convertible Bond Model with Deterministic Conversion Intensity
Journal of Risk, Vol. 17, No. 3, 2015
Patrick Cheridito and Zhikai Xu
ETH Zurich and AQR Capital Management, LLC
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Transform-Based Evaluation of Prices and Greeks of Lookback Options Driven by Lévy Processes
Journal of Computational Finance, Vol. 20, No. 2, 2016
Naser M Asghari and Michel Mandjes
University of Amsterdam and University of Amsterdam
Date Posted: June 23, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Finite Difference Methods for Estimating Marginal Risk Contributions in Asset Management
Journal of Risk, Vol. 18, No. 5, 2016
Michael Olschewsky , Stefan Lüdemann and Thorsten Poddig
Hamburger Sparkasse , University of Bremen and University of Bremen
Date Posted: June 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Counting Processes for Retail Default Modeling
Journal of Credit Risk, Vol. 11, No. 3, Pages 45–72, 2015,
Nicholas M. Kiefer and C. Erik Larson
Cornell University - Department of Economics and Promontory Financial Group
Date Posted: June 16, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Default Predictors in Credit Scoring: Evidence from France's Retail Banking Institution
Journal of Credit Risk, Vol. 11, No. 2, Pages 41–66, 2015,
Ha-Thu Nguyen
University Paris Ouest Nanterre La Defense
Date Posted: June 16, 2016
Accepted Paper Series

Incl. Fee Electronic Paper An Analytical Value-at-Risk Approach for a Credit Portfolio with Liquidity Horizon and Portfolio Rebalancing
Journal of Credit Risk, Vol. 11, No. 4, 2015
Haohan Huang , Eugene Wang , Huang Huaxiong and Yong Wang
York University , RBC Financial Group , York University and Everbright Securities Company Limited
Date Posted: June 16, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Loss Distributions: Computational Efficiency in an Extended Framework
Journal of Credit Risk, Vol. 11, No. 4, 2015
Daniel H Stahl
Branch Banking and Trust Corporate (BB&T)
Date Posted: June 16, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Are All Collections Equal? The Case of Medical Debt
Journal of Credit Risk, Vol. 11, No. 4, 2015
Kenneth P. Brevoort and Michelle Kambara
Consumer Financial Protection Bureau and Consumer Financial Protection Bureau
Date Posted: June 16, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Time Series Models for Credit Default Swap Premiums
Journal of Credit Risk, Vol. 11, No. 3, 2015
Márton Eifert
Technische Universität München (TUM)
Date Posted: June 16, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Hermite Approximations in Credit Portfolio Modeling with Probability of Default-Loss Given Default Correlation
Journal of Credit Risk, Vol. 11, No. 3, 2015
Anthony W Owen , James Samuel Bryers and Francois Buet-Golfouse
Barclays , Barclays and Barclays
Date Posted: June 16, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Credit Risk: Taking Fluctuating Asset Correlations into Account
Journal of Credit Risk, Vol. 11, No. 3, 2015
Thilo A Schmitt , Rudi Schäfer and Thomas Guhr
University of Duisburg-Essen , University of Duisburg-Essen and University of Duisburg-Essen
Date Posted: June 16, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Relationship between Counterparty Default and Interest Rate Volatility and its Impact on the Credit Risk of Interest Rate Derivatives
Journal of Credit Risk, Vol. 11, No. 1, 2015
Jiarui Yang , Tao L. Wu and Geoffrey Harris
FactSet , Illinois Institute of Technology and Federal Reserve Bank of Chicago
Date Posted: June 16, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Default Risk of Money-Market Fund Portfolios
Journal of Credit Risk, Vol. 11, No. 4, 2015
Matulya Bansal
Columbia University - Columbia Business School
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Robustness of Estimators in Structural Credit Loss Distributions
Journal of Credit Risk, Vol. 11, No. 2, 2015
Enrique Batiz-Zuk , George A. Christodoulakis and Ser-Huang Poon
Banco de México , Manchester Business School and University of Manchester - Manchester Business School
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper How Banks’ Capital Ratio and Size Affect the Stability of the Banking System: A Simulation-Based Study
Journal of Credit Risk, Vol. 11, No. 1, 2015
Mitja Steinbacher and Matjaz Steinbacher
Fakulteta za poslovne vede and Kiel Institute for the World Economy
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Sovereign Risk and the Pricing of Corporate Credit Default Swaps
Journal of Credit Risk, Vol. 11, No. 1, 2015
Matthias Haerri , Stefan Morkoetter and Simone Westerfeld
University of Applied Sciences Northwestern Switzerland (CH) , University of St. Gallen - School of Finance and University of St. Gallen (HSG), School of Finance
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper On the Application of Spectral Filters in a Fourier Option Pricing Technique
Journal of Computational Finance, Vol. 19, No. 1, Pages 75–106, 2015,
Marjon Ruijter , Mark Versteegh and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI) , Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Robust Set-Valued Scenario Approach for Handling Modeling Risk in Portfolio Optimization
Journal of Computational Finance, Vol. 19, No. 1, Pages 11–40, 2015,
Shushang Zhu , Xiaodong Ji and Duan Li
Zhongshan University , Hebei Normal University and Chinese University of Hong Kong
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Importance Sampling for Jump Processes and Applications to Finance
Journal of Computational Finance, Vol. 19, No. 2, Pages 109–139, 2015,
Laetitia Badouraly Kassim , Jérôme Lelong and Imane Loumrhari
University Grenoble Alpes , Université Grenoble Alpes and University Grenoble Alpes
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Numerical Methods for the Quadratic Hedging Problem in Markov Models with Jumps
Journal of Computational Finance, Vol. 19, No. 2, Pages 29–67, 2015,
Carmine De Franco , Peter Tankov and Xavier Warin
OSSIAM , Université Paris Diderot and EDF Energy
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Optimal Investment: Bounds and Heuristics
Journal of Computational Finance, Vol. 19, No. 2, Pages 1–28, 2015,
L. C. G. Rogers and Pawel Zaczkowski
University of Cambridge - Centre for Mathematical Sciences and University of Cambridge
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper SLADI: A Semi-Lagrangian Alternating-Direction Implicit Method for the Numerical Solution of Advection–Diffusion Problems with Application to Electricity Storage Valuations
Journal of Computational Finance, Vol. 19, No. 2, Pages 69–108, 2015,
Javier Hernández Ávalos , Paul V. Johnson and Peter W Duck
University of Manchester , University of Manchester and University of Manchester
Date Posted: June 15, 2016
Accepted Paper Series


 

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