Search Results
JEL Code: C13

684,773 Total downloads

Viewing: 1 - 50 of 3,442 papers

1.

Non-Life Insurance: Mathematics & Statistics

Number of pages: 307 Posted: 03 Sep 2013 Last Revised: 07 Jan 2020
Working Paper Series
RiskLab, ETH Zurich
Downloads 9,630
2.

A Stochastic Processes Toolkit for Risk Management

Number of pages: 43 Posted: 19 Mar 2008 Last Revised: 05 Oct 2008
Working Paper Series
Imperial College London - Department of Mathematics, University College London, Fitch Ratings Inc. and Paris School of Economics, Pantheon Sorbonne University
Downloads 6,063
3.

Pricing Default Swaps: Empirical Evidence

Journal of International Money and Finance, Vol. 24, pp. 1200-1225, 2005, EFA 2002 Berlin Meetings Presented Paper, EFMA 2002 London Meetings, ERIM Report Series
Number of pages: 49 Posted: 24 Dec 2001
Accepted Paper Series
Robeco Investment Research and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 4,866
4.

Dts (Duration Times Spread)

Journal of Portfolio Management, Winter 2007
Number of pages: 48 Posted: 14 Jan 2007
Accepted Paper Series
Lehman Brothers, New York - Fixed Income Research, Lehman Brothers, Lehman Brothers, Robeco Investment Research, Robeco Asset Management and Robeco Asset Management
Downloads 4,201
5.

Analyzing Volatility Risk and Risk Premium in Option Contracts: A New Theory

NYU Tandon Research Paper No. 1701685
Number of pages: 56 Posted: 03 Nov 2010 Last Revised: 26 Jun 2017
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 4,160
6.

Local Stochastic Volatility Models: Calibration and Pricing

Number of pages: 57 Posted: 11 Jun 2014 Last Revised: 15 Jul 2014
Working Paper Series
Independent
Downloads 3,852
7.

Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework

Festschrift in Honor of Peter Schmidt, W.C. Horrace and R.C. Sickles, eds., Forthcoming
Number of pages: 44 Posted: 13 Apr 2011 Last Revised: 23 Oct 2013
Accepted Paper Series
Independent, Dept. of International Trade, Dong-A University and University of Melbourne
Downloads 3,780
8.

The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee

Number of pages: 74 Posted: 30 Jul 2004
Working Paper Series
Bank of Italy - Banking and Finance Supervision Department
Downloads 3,729
9.

Returns to Investment in Education: A Further Update

World Bank Policy Research Working Paper No. 2881
Number of pages: 29 Posted: 06 Mar 2003
Working Paper Series
Georgetown University and World Bank

Multiple version iconThere are 3 versions of this paper

Downloads 3,411
10.

The Present and Future of Financial Risk Management

ISMA Centre Discussion Paper No. DP2003-12
Number of pages: 25 Posted: 26 Feb 2004
Working Paper Series
University of Sussex Business School
Downloads 3,381
11.

Conditional Value-at-Risk: Aspects of Modeling and Estimation

MIT Dept. of Economics Working Paper No. 01-19
Number of pages: 28 Posted: 07 Jun 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Stanford University - Management Science & Engineering
Downloads 3,072
12.

Support Vector Machines (SVM) as a Technique for Solvency Analysis

DIW Berlin Discussion Paper No. 811
Number of pages: 18 Posted: 25 Jun 2009
Working Paper Series
affiliation not provided to SSRN and German Institute for Economic Research (DIW Berlin)
Downloads 3,061
13.

Common Errors: How to (and Not to) Control for Unobserved Heterogeneity

Review of Financial Studies, 2014, 27(2), 617-61, AFA 2013 San Diego Meetings Paper
Number of pages: 58 Posted: 17 Mar 2012 Last Revised: 17 Jun 2014
Accepted Paper Series
Washington University in St. Louis and Northwestern University - Kellogg School of Management
Downloads 3,017
14.

Credit Risk Evaluation: Modeling - Analysis - Management

Center for Risk & Evaluation, 2002-2003
Number of pages: 195 Posted: 14 Jun 2005
Accepted Paper Series
Wehrspohn GmbH & Co. KG
Downloads 2,901
15.

Making Markowitz's Portfolio Optimization Theory Practically Useful

Number of pages: 45 Posted: 08 May 2006 Last Revised: 08 Oct 2016
Working Paper Series
Northeast Normal University, Northeast Normal University and Asia University, Department of Finance
Downloads 2,900
16.

A Forecast Comparison of Volatility Models: Does Anything Beat a Garch(1,1)?

Brown Univ. Economics Working Paper No. 01-04
Number of pages: 23 Posted: 13 Apr 2001
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management
Downloads 2,888
17.

A Practical Guide to GMM (with Applications to Option Pricing)

Number of pages: 74 Posted: 10 May 2001
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business and University of Otago - Department of Accountancy and Finance
Downloads 2,871
18.

Principal Component Analysis of Volatility Smiles and Skews

EFMA 2001 Lugano Meetings; University of Reading Working Paper in Finance 2000-10
Number of pages: 16 Posted: 08 Dec 2000
Working Paper Series
University of Sussex Business School
Downloads 2,782
19.

Implied Risk-Neutral Probability Density Functions from Option Prices: Theory and Application

Bank of England Working Paper No 66
Number of pages: 56 Posted: 19 Apr 1998
Working Paper Series
Bank of England
Downloads 2,579
20.

Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation

Number of pages: 43 Posted: 24 Jun 2005
Working Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University Finance and Risk Engineering
Downloads 2,577
21.

Fat Tail Risk in Portfolios of Hedge Funds and Traditional Investments

EFMA 2004 Basel Meetings Paper
Number of pages: 29 Posted: 09 May 2004
Working Paper Series
RMF Investment Management and RMF Investment Products
Downloads 2,571
22.

A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices

Journal of Finance, Forthcoming
Number of pages: 54 Posted: 17 Mar 2008 Last Revised: 14 Jul 2011
Accepted Paper Series
University of Notre Dame - Mendoza College of Business and University of Notre Dame - Department of Finance
Downloads 2,564
23.

The Integrated Impact of Credit and Interest Rate Risk on Banks: An Economic Value and Capital Adequacy Perspective

Bank of England Working Paper No. 339
Number of pages: 40 Posted: 02 Mar 2007
Working Paper Series
Bank for International Settlements (BIS), Moody's Investor Services and Bank of England
Downloads 2,526
24.

Honey, I Shrunk the Sample Covariance Matrix

UPF Economics and Business Working Paper No. 691
Number of pages: 21 Posted: 18 Sep 2003
Working Paper Series
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 2,512
25.

Jurisdictional Competition for Trust Funds: An Empirical Analysis of Perpetuities and Taxes

Yale Law Journal, Vol. 115, p. 356, 2005, Northwestern Law & Econ Research Paper No. 05-07, NYU, Law and Economics Research Paper No. 05-26
Number of pages: 83 Posted: 14 Feb 2005
Accepted Paper Series

Multiple version iconThere are 2 versions of this paper

Downloads 2,403
26.

Understanding the Fine Structure of Electricity Prices

Journal of Business, Vol. 79, No. 3, 2006
Number of pages: 74 Posted: 31 Dec 2004
Accepted Paper Series
University of London - Economics, Mathematics and Statistics and ESSEC Business School
Downloads 2,300
27.

Modeling Term Structure Dynamics: An Infinite Dimensional Approach

CMAPX Internal Report No. 402
Number of pages: 32 Posted: 25 Feb 1999
Working Paper Series
University of Oxford
Downloads 2,260
28.

Effects of Dormitory Living on Student Performance

Number of pages: 14 Posted: 22 Mar 2010
Working Paper Series
Colorado College and University of Wisconsin - La Crosse – Department of Economics
Downloads 2,248
29.

International Asset Allocation with Time-Varying Correlations

Number of pages: 80 Posted: 07 Apr 1999
Working Paper Series
Columbia Business School - Finance and Economics and BlackRock, Inc

Multiple version iconThere are 2 versions of this paper

Downloads 2,235
30.

Estimating the Effects of Dormitory Living on Student Performance

Number of pages: 15 Posted: 21 Feb 2010
Working Paper Series
Colorado College and affiliation not provided to SSRN
Downloads 2,232
31.

Development and Validation of Credit Scoring Models

Journal of Credit Risk, Forthcoming
Number of pages: 70 Posted: 30 Jul 2008
Accepted Paper Series
Government of the United States of America - Office of the Comptroller of the Currency (OCC), Cornell University - Department of Economics, Promontory Financial Group and Purdue University - Department of Consumer Sciences & Retailing
Downloads 2,229
32.

Know Your System! – Turning Data Mining from Bias to Benefit Through System Parameter Permutation

2014 NAAIM Wagner Award Winner
Number of pages: 33 Posted: 30 Apr 2014
Working Paper Series
StatisTrade
Downloads 2,226
33.

Skewed Generalized Error Distribution of Financial Assets and Option Pricing

Multinational Finance Journal, 2015, vol. 19, no. 4, pp. 223-266
Number of pages: 50 Posted: 13 May 2000 Last Revised: 26 Aug 2019
Accepted Paper Series
Cyprus University of Technology
Downloads 2,125
34.

The Joint Estimation of Term Structures and Credit Spreads

Journal of Empirical Finance, Vol. 8, No. 3, pp. 297-323, 2001
Number of pages: 25 Posted: 27 Apr 1999
Accepted Paper Series
Robeco Investment Research, University of Amsterdam - Department of Quantitative Economics (KE) and Robeco Asset Management
Downloads 2,073
35.

Using Comparable Companies to Estimate the Betas of Private Companies

Journal of Applied Finance, Forthcoming
Number of pages: 28 Posted: 14 Feb 2007
Accepted Paper Series
University of Auckland - Department of Accounting and Finance and Macquarie New Zealand
Downloads 2,016
36.

An MCMC Approach to Classical Estimation

MIT Department of Economics Working Paper No. 03-21
Number of pages: 55 Posted: 15 Jul 2003
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Independent
Downloads 1,943
37.

An Improved Estimator for Black-Scholes-Merton Implied Volatility

ERIM Report Series No. ERS-2004-054-F&A
Number of pages: 21 Posted: 23 Jul 2004
Working Paper Series
Robeco Asset Management, Quantitative Investment Research
Downloads 1,923
38.

A New Perspective on Gaussian Dynamic Term Structure Models

Review of Financial Studies, Forthcoming, AFA 2010 Atlanta Meetings Paper
Number of pages: 55 Posted: 23 Mar 2009 Last Revised: 13 Oct 2010
Working Paper Series
University of Southern California, Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,884
39.

Better Investing Through Factors, Regimes and Sensitivity Analysis

Number of pages: 100 Posted: 30 Jan 2015
Working Paper Series
Independent
Downloads 1,875
40.

The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes

Number of pages: 12 Posted: 10 Dec 2011
Working Paper Series
Independent and affiliation not provided to SSRN
Downloads 1,849
41.

Inflation in Pakistan: Money or Wheat?

IMF Working Paper No. 06/60
Number of pages: 28 Posted: 26 Apr 2006
Working Paper Series
International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 1,843
42.

Constrained Optimization Approaches to Estimation of Structural Models

Econometrica Forthcoming
Number of pages: 21 Posted: 13 Feb 2008 Last Revised: 14 Jan 2012
Accepted Paper Series
University of Chicago - Booth School of Business and Stanford University - The Hoover Institution on War, Revolution and Peace
Downloads 1,837
43.

Asset Allocation and Long-Term Returns: An Empirical Approach

Number of pages: 53 Posted: 02 Jan 2006
Working Paper Series
Morgan Stanley and Morgan Stanley
Downloads 1,807
44.

Volatility of Aggregate Volatility and Hedge Fund Returns

Journal of Financial Economics, Vol. 125, No. 3, 491-510, 2017
Number of pages: 64 Posted: 29 Sep 2014 Last Revised: 09 Aug 2019
Accepted Paper Series
Georgia State University, NEOMA Business School and London Business School - Institute of Finance and Accounting
Downloads 1,801
45.

Modeling Electricity Prices: International Evidence

EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 32 Posted: 06 Feb 2002
Working Paper Series
Universidad Carlos III de Madrid - Department of Economics, Universidad Carlos III de Madrid - Department of Business Administration and Comisión Nacional de Energía
Downloads 1,790
46.

Comparing Possible Proxies of Corporate Bond Liquidity

Journal of Banking and Finance, Vol. 29, No. 6, pp. 1331-1358, 2005, EFA 2003 Annual Conference Paper No. 298
Number of pages: 39 Posted: 01 Aug 2003
Accepted Paper Series
Robeco Investment Research, AEGON Group - AEGON Asset Management and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 1,773
47.

A Brief History of Production Functions

Number of pages: 26 Posted: 10 Oct 2007 Last Revised: 07 Dec 2007
Working Paper Series
North-Eastern Hill University (NEHU)

Multiple version iconThere are 2 versions of this paper

Downloads 1,699
48.

Macro Factors in the Term Structure of Credit Spreads

BIS Working Paper No. 203
Number of pages: 68 Posted: 20 Sep 2007
Working Paper Series
Goldman Sachs International and Square Macro
Downloads 1,671
49.

Using Stocks or Portfolios in Tests of Factor Models

AFA 2009 San Francisco Meetings Paper
Number of pages: 65 Posted: 17 Mar 2008 Last Revised: 10 Aug 2018
Working Paper Series
BlackRock, Inc, University of California, San Diego (UCSD) - Rady School of Management and University of Pennsylvania - Finance Department
Downloads 1,654
50.

Corporate Credit Risk Modeling: Quantitative Rating System and Probability of Default Estimation

Number of pages: 70 Posted: 17 May 2005
Working Paper Series
Banco BPI
Downloads 1,630