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JEL Code: C15
366,371 Total downloads
Showing Papers 1 - 50 of 1,747
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A Comparative Anatomy of Credit Risk Models Journal of Banking and Finance, Vol. 24, No. 1/2, 2000, Board of Governors of the Federal Reserve System FEDS Paper No. 98-47
Michael B. Gordy
Date Posted: March 03, 1999Last Revised: January 30, 20117118 downloads
Market Madness? The Case of Mad Money
Joseph Engelberg
,
Caroline Sasseville
and
Jared Williams
Date Posted: December 16, 2005Last Revised: November 07, 20106649 downloads
Mutual Fund Performance
Dirk Nitzsche
,
Keith Cuthbertson
and
Niall O'Sullivan
Date Posted: January 19, 20074530 downloads
Real Options Valuation: A Monte Carlo Approach Faculty of Management, University of Calgary WP No. 2002/3; EFA 2002 Berlin Meetings Presented Paper
Andrea Gamba
Date Posted: March 06, 20024051 downloads
Risk Management in an Asset Management Company: A Practical Case
Dario Brandolini ,
Massimiliano Pallotta and
Raffaele Zenti
Date Posted: February 06, 20013999 downloads
A Stochastic Processes Toolkit for Risk Management
Damiano Brigo ,
Antonio Dalessandro ,
Matthias Neugebauer
and
Fares Triki
Date Posted: March 19, 2008Last Revised: October 05, 20083834 downloads
Risk Analysis for Asset Managers: Historical Simulation, the Bootstrap Approach and Value at Risk Calculation EFMA 2001 Lugano Meetings
Raffaele Zenti and
Massimiliano Pallotta
Date Posted: January 12, 20013790 downloads
Risk Assessment for Banking Systems 14th Annual Utah Winter Finance Conference Paper; EFA 2003 Annual Conference Paper No. 437
Helmut Elsinger ,
Alfred Lehar and
Martin Summer
Date Posted: August 25, 20042780 downloads
Analysis of Mortgage Backed Securities: Before and after the Credit Crisis Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity; Bielecki, Tomasz,; Damiano Brigo and Frederic Patras, eds., February 2011
Harvey J. Stein
,
Alexander L. Belikoff ,
Kirill Levin
and
Xusheng Tian
Date Posted: January 07, 2007Last Revised: March 16, 20112716 downloads
A Behavioral Model of Digital Music Piracy Journal of Organizational Computing and Electronic Commerce, Forthcoming
Ram D. Gopal
,
G. L. Sanders ,
Sudip Bhattacharjee ,
Manish K. Agrawal
and
Suzanne C Wagner
Date Posted: April 10, 20042667 downloads
Do Artists Benefit from Online Music Sharing? Journal of Business, Forthcoming
Ram D. Gopal
,
Sudip Bhattacharjee and
G. L. Sanders
Date Posted: April 10, 20042655 downloads
Value at Risk (VaR) in Real Options Analysis
Giuseppe Alesii II
Date Posted: May 20, 20032604 downloads
A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? Brown Univ. Economics Working Paper No. 01-04
Peter Reinhard Hansen and
Asger Lunde
Date Posted: April 13, 20012531 downloads
Downside Correlation and Expected Stock Returns EFA 2002 Berlin Meetings Presented Paper; USC Finance & Business Econ. Working Paper No. 01-25
Andrew Ang ,
Joseph Chen and
Yuhang Xing
Date Posted: November 09, 20012504 downloads
Markowitz meets Darwin: Portfolio Oversight and Evolutionary Divergence Johnson School Research Paper Series No. 39-2011
Marcos Lopez de Prado and
Matthew Foreman
Date Posted: September 22, 2011Last Revised: August 08, 20122493 downloads
On the Profit and Loss Distribution of Dynamic Hedging Strategies Discussion Paper Series No. 9899-03
Sergei Esipov and
Igor Vaysburd
Date Posted: February 02, 19992399 downloads
Correcting for Cross-Sectional and Time-Series Dependence in Accounting Research Accounting Review, Forthcoming
Ian D. Gow
,
Gaizka Ormazabal
and
Daniel J. Taylor
Date Posted: July 31, 2008Last Revised: October 24, 20102359 downloads
Discounting Revisited: Valuation Under Funding, Counterparty Risk and Collateralization
Christian P. Fries
Date Posted: May 17, 2010Last Revised: March 14, 20112327 downloads
Credit Risk Evaluation: Modeling - Analysis - Management Center for Risk & Evaluation, 2002-2003
Uwe Wehrspohn
Date Posted: June 14, 20052308 downloads
Are the Gains from International Portfolio Diversification Exaggerated? The Influence of Downside Risk in Bear Markets EFMA 2002 London Meetings
Kirt C. Butler and
Domingo C. Joaquin
Date Posted: May 12, 20002213 downloads
Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different? Journal of Financial Services Research, Forthcoming
Tor Jacobson ,
Jesper Lindé and
Kasper Roszbach
Date Posted: February 18, 20042129 downloads
An Efficient Frontier for Retirement Income
Wade Pfau
Date Posted: September 25, 20122075 downloads
Collectively Fluctuating Assets in the Presence of Arbitrage Opportunities and Option Pricing
Alexander N. Adamchuk and
Sergei Esipov
Date Posted: February 02, 19992069 downloads
Understanding the Fine Structure of Electricity Prices Journal of Business, Vol. 79, No. 3, 2006
Hélyette Geman and
Andrea Roncoroni
Date Posted: December 31, 20042004 downloads
Relative Strength and Portfolio Management Dorsey Wright Money Management, January 2012
John Lewis
Date Posted: February 04, 20121891 downloads
Nonparametric Rank Tests for Event Studies 21st Australasian Finance and Banking Conference 2008 Paper
James W. Kolari and
Seppo Pynnonen
Date Posted: August 25, 2008Last Revised: October 19, 20111829 downloads
A Simple and Exact Simulation Approach to Heston Model
Jianwei Zhu
Date Posted: July 01, 20081806 downloads
Mutual Fund Performance: Skill or Luck? Cass Business School Research Paper
Keith Cuthbertson
,
Dirk Nitzsche
and
Niall O'Sullivan
Date Posted: February 15, 20051708 downloads
A Dynamic Model of Active Portfolio Management and Mutual Fund Performance Evaluation
Yonggan Zhao
Date Posted: March 16, 20051705 downloads
Arbitrage Relaxation of Instruments with Temporal Constraints
Alexander N. Adamchuk ,
Sergei Adamchuk and
Sergei Esipov
Date Posted: June 01, 19981677 downloads
Event Studies: A Methodology Review
Charles J. Corrado
Date Posted: August 02, 2009Last Revised: August 20, 20101658 downloads
Macro Stress Testing with a Macroeconomic Credit Risk Model for Finland Bank of Finland Discussion Paper No. 18/2004
Kimmo Virolainen
Date Posted: November 24, 20041651 downloads
Asset Allocation and Long-Term Returns: An Empirical Approach
Stephen Coggeshall and
Guowei Wu
Date Posted: January 02, 20061598 downloads
The 4 Percent Rule is Not Safe in a Low-Yield World
Michael S. Finke ,
Wade Pfau
and
David Blanchett
Date Posted: January 16, 2013Last Revised: January 17, 20131529 downloads
Do Measures of Liquidity Measure Liquidity?
Ruslan Goyenko
,
Craig W. Holden and
Charles Trzcinka
Date Posted: March 24, 20081463 downloads
Cheap Donuts and Expensive Broccoli: The Effect of Relative Prices on Obesity
Jonah B. Gelbach ,
Jonathan Klick and
Thomas Stratmann
Date Posted: April 01, 2007Last Revised: December 17, 20091375 downloads
Conditional Analytic Monte-Carlo Pricing Scheme of Auto-Callable Products
Christian P. Fries and
Mark S. Joshi
Date Posted: May 05, 2008Last Revised: April 07, 20101358 downloads
Partial Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks
Christian P. Fries and
Mark S. Joshi
Date Posted: October 03, 20061311 downloads
Trading Costs and Returns for US Equities: The Evidence from Daily Data NYU Stern School Department of Finance Working Paper
Joel Hasbrouck
Date Posted: June 16, 20031267 downloads
Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs EFA 2008 Athens Meetings Paper, Swiss Finance Institute Research Paper No. 08-05
Pierre Bajgrowicz
and
O. Scaillet
Date Posted: March 19, 2008Last Revised: January 25, 20121259 downloads
CDO Rating Methodology: Some Thoughts on Model Risk and its Implications BIS Working Paper No. 163
Ingo Fender and
John Kiff
Date Posted: November 30, 20041252 downloads
GARCH Processes: Theory, Simulations and Testing with Examples
Nitin Kumar
Date Posted: December 05, 20031237 downloads
The Estimation of Time-Invariant Variables in Panel Analyses with Unit Fixed Effects
Thomas Plümper
and
Vera E. Troeger
Date Posted: August 09, 20041230 downloads
Implied Volatility Surface: Construction Methodologies and Characteristics
Cristian Homescu
affiliation not provided to SSRN
Date Posted: July 10, 20111193 downloads
A Risk Based Approach to Tactical Asset Allocation
Stefano Colucci
and
Dario Brandolini
Date Posted: November 28, 2011Last Revised: December 08, 20111167 downloads
An Empirical Study of Exposure at Default
Michael Jacobs Jr.
Date Posted: June 23, 2008Last Revised: February 15, 20101142 downloads
An Algorithm Using GARCH Process, Monte-Carlo Simulation and Wavelets Analysis for Stock Prediction
Eleftherios Giovanis
Date Posted: September 21, 2008Last Revised: December 06, 20091137 downloads
Drawdown Measure in Portfolio Optimization
Alexei Chekhlov ,
Stanislav P. Uryasev and
Michael Zabarankin
Date Posted: May 13, 20041137 downloads
Tourism, Environment and Profitability: The Case of the Paphos Holiday Complex
Savvakis C. Savvides ,
Andreas Andreou and
Glenn P. Jenkins
Date Posted: April 16, 20011134 downloads
A Combined Signal Approach to Technical Analysis on the S&P 500
Camillo Lento
Date Posted: March 29, 2008Last Revised: May 20, 20081117 downloads
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