Search Results
JEL Code: C13

883,913 Total downloads

Viewing: 1 - 50 of 3,913 papers

1.

Non-Life Insurance: Mathematics & Statistics

Number of pages: 319 Posted: 03 Sep 2013 Last Revised: 07 Feb 2022
Working Paper Series
RiskLab, ETH Zurich
Downloads 15,352
2.

How Much Should We Trust Staggered Difference-In-Differences Estimates?

European Corporate Governance Institute – Finance Working Paper No. 736/2021, Rock Center for Corporate Governance at Stanford University Working Paper No. 246, Journal of Financial Economics (JFE), Forthcoming
Number of pages: 61 Posted: 01 Mar 2021 Last Revised: 27 Jan 2022
Working Paper Series
Stanford Graduate School of Business, Stanford University - Graduate School of Business and Harvard Business School (HBS)
Downloads 10,837
3.

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 LondonUBS AG, Fitch Ratings Inc. and Paris School of Economics, Pantheon Sorbonne University
Downloads 6,572
4.

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 5,965
5.

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 Asset Management, Robeco Asset Management and Robeco Asset Management
Downloads 5,490
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 5,403
7.

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 Asset Management and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 4,932
8.

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 4,920
9.

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
Deutsche Bundesbank and German Institute for Economic Research (DIW Berlin)
Downloads 4,302
10.

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 4,108
11.

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, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 58 Posted: 17 Mar 2012 Last Revised: 11 Aug 2020
Accepted Paper Series
Washington University in St. Louis and Northwestern University - Kellogg School of Management
Downloads 3,601
12.

Returns to Investment in Education: A Further Update

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 3,592
13.

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 3,452
14.

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 3,441
15.

Seeing Double Voting: An Extension of the Birthday Problem

7 Election L. J. 111 (2008), 2nd Annual Conference on Empirical Legal Studies Paper
Number of pages: 12 Posted: 03 Jul 2007 Last Revised: 21 May 2014
Accepted Paper Series
George Mason University - Government and PoliticsUniversity of Florida and Loyola Law School Los Angeles
Downloads 3,295
16.

Principal Component Analysis of Volatility Smiles and Skews

Number of pages: 16 Posted: 08 Dec 2000
Working Paper Series
University of Sussex Business School
Downloads 3,236
17.

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 3,152
18.

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

Number of pages: 28 Posted: 07 Jun 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Stanford University - Department of Management Science & Engineering
Downloads 3,139
19.

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 3,080
20.

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 3,072
21.

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 CREATESAarhus University - School of Business and Social Sciences
Downloads 3,064
22.

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 3,049
23.

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
Downloads 3,005
24.

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 2,983
25.

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 2,961
26.

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 2,951
27.

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 2,945
28.

Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices

Number of pages: 57 Posted: 26 Jul 2021 Last Revised: 15 Jun 2022
Working Paper Series
HEC Montreal - Department of Decision Sciences, University of Neuchâtel - Institute of Financial Analysis and University of Neuchatel - Institute of Financial Analysis
Downloads 2,944
29.

Option Profit and Loss Attribution and Pricing: A New Framework

Journal of Finance, Forthcoming, Baruch College Zicklin School of Business Research Paper No. 2018-04-01
Number of pages: 63 Posted: 25 Mar 2018 Last Revised: 02 Nov 2019
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 2,842
30.

Statistical Foundations of Actuarial Learning and its Applications

Number of pages: 521 Posted: 21 Apr 2021 Last Revised: 03 Jun 2022
Working Paper Series
RiskLab, ETH Zurich and University of Hamburg
Downloads 2,842
31.

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 2,759
32.

A Statistical Comparison of the CAPM to the Fama-French Three Factor Model and the Carhart's Model

Global Journal of Finance and Banking Issues, Vol. 2, No. 2, 2008
Number of pages: 11 Posted: 20 Jan 2010
Accepted Paper Series
Central Connecticut State University - Finance
Downloads 2,702
33.

Fat Tail Risk in Portfolios of Hedge Funds and Traditional Investments

Number of pages: 29 Posted: 09 May 2004
Working Paper Series
RMF Investment Management and RMF Investment Products
Downloads 2,670
34.

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 2,653
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
Independent and Macquarie New Zealand
Downloads 2,542
36.

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
Harvard University - Harvard Law School and Northwestern University - Pritzker School of Law

Multiple version iconThere are 2 versions of this paper

Downloads 2,500
37.

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 2,441
38.

Understanding the Fine Structure of Electricity Prices

Number of pages: 74 Posted: 31 Dec 2004
Accepted Paper Series
University of London - Economics, Mathematics and Statistics and ESSEC Business School
Downloads 2,384
39.

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
Fintelligence CCT
Downloads 2,350
40.

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 2,302
41.

International Asset Allocation with Time-Varying Correlations

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

Multiple version iconThere are 2 versions of this paper

Downloads 2,279
42.

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 2,261
43.

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 2,198
44.

Predicting Corporate Bond Returns: Merton Meets Machine Learning

Georgetown McDonough School of Business Research Paper No. 3686164, Swiss Finance Institute Research Paper No. 20-110
Number of pages: 70 Posted: 17 Sep 2020 Last Revised: 24 May 2022
Working Paper Series
Georgetown University - McDonough School of Business, University of Lausanne, Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE) and McDonough School of Business, Georgetown University
Downloads 2,172
45.

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 2,161
46.

Better Investing Through Factors, Regimes and Sensitivity Analysis

Number of pages: 100 Posted: 30 Jan 2015
Working Paper Series
Independent
Downloads 2,142
47.

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 Asset Management, University of Amsterdam - Department of Quantitative Economics (KE) and Robeco Asset Management
Downloads 2,122
48.

Multivariate and Propensity Score Matching Software with Automated Balance Optimization: The Matching Package for R

Journal of Statistical Software, Forthcoming
Number of pages: 47 Posted: 29 May 2008
Accepted Paper Series
UC Berkeley
Downloads 2,119
49.

An MCMC Approach to Classical Estimation

Number of pages: 55 Posted: 15 Jul 2003
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Independent
Downloads 2,096
50.

Good Volatility, Bad Volatility and the Cross-Section of Stock Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 77 Posted: 17 Feb 2015 Last Revised: 12 Dec 2018
Accepted Paper Series
Duke University - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Duke University, Department of Economics
Downloads 1,962