Search Results
JEL Code: C13

803,999 Total downloads

Viewing: 1 - 50 of 3,769 papers

1.

Non-Life Insurance: Mathematics & Statistics

Number of pages: 315 Posted: 03 Sep 2013 Last Revised: 17 Dec 2020
Working Paper Series
RiskLab, ETH Zurich
Downloads 13,644
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
Number of pages: 70 Posted: 01 Mar 2021 Last Revised: 31 Mar 2021
Working Paper Series
Stanford University, Graduate School of Business, Stanford University - Graduate School of Business and Harvard Business School (HBS)
Downloads 7,298
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 6,386
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 5,204
5.

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 4,916
6.

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 4,908
7.

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 4,672
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 4,543
9.

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 3,974
10.

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 3,849
11.

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 3,563
12.

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 3,415
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, 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 3,387
14.

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 3,263
15.

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 3,117
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 3,055
17.

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 3,020
18.

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 3,010
19.

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 2,960
20.

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 2,956
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 2,954
22.

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 2,908
23.

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 2,812
24.

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 2,802
25.

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 2,787
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 2,692
27.

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 2,674
28.

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 2,645
29.

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 2,624
30.

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 2,554
31.

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 2,464
32.

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 2,393
33.

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 2,360
34.

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 2,359
35.

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 2,357
36.

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 2,287
37.

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 2,256
38.

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 2,220
39.

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 2,212
40.

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 2,205
41.

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 2,109
42.

Better Investing Through Factors, Regimes and Sensitivity Analysis

Number of pages: 100 Posted: 30 Jan 2015
Working Paper Series
Independent
Downloads 2,084
43.

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 2,038
44.

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 1,976
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 1,966
46.

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 1,942
47.

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 1,922
48.

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 - Department of Finance and Business Economics, Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,893
49.

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 1,855
50.

Using Stocks or Portfolios in Tests of Factor Models

AFA 2009 San Francisco Meetings Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 65 Posted: 17 Mar 2008 Last Revised: 11 Aug 2020
Working Paper Series
BlackRock, Inc, University of California, San Diego (UCSD) - Rady School of Management and Board of Governors of the Federal Reserve System
Downloads 1,853