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JEL Code: C15

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Viewing: 1 - 50 of 2,430 papers

1.

Making Sense Out of Variable Spending Strategies for Retirees

Number of pages: 18 Posted: 17 Mar 2015
Working Paper Series
The American College
Downloads 8,472
2.

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
Number of pages: 29 Posted: 03 Mar 1999 Last Revised: 30 Jan 2011
Accepted Paper Series
Board of Governors of the Federal Reserve
Downloads 7,852
3.

Market Madness? The Case of Mad Money

Number of pages: 37 Posted: 16 Dec 2005 Last Revised: 07 Nov 2010
Working Paper Series
University of California, San Diego (UCSD) - Rady School of Management, Kellogg School of Management - Department of Finance and University of South Florida
Downloads 7,173
4.

An Efficient Frontier for Retirement Income

Number of pages: 12 Posted: 25 Sep 2012
Working Paper Series
The American College
Downloads 6,703
5.

The 4 Percent Rule is Not Safe in a Low-Yield World

Number of pages: 15 Posted: 16 Jan 2013 Last Revised: 17 Jan 2013
Working Paper Series
The American College, The American College and Morningstar Investment Management
Downloads 6,637
6.

Mutual Fund Performance

Number of pages: 86 Posted: 19 Jan 2007
Working Paper Series
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and University College Cork
Downloads 6,314
7.

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 5,558
8.

Real Options Valuation: A Monte Carlo Approach

Faculty of Management, University of Calgary WP No. 2002/3; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 71 Posted: 06 Mar 2002
Working Paper Series
University of Warwick - Finance Group
Downloads 4,916
9.

Risk Management in an Asset Management Company: A Practical Case

Number of pages: 14 Posted: 06 Feb 2001
Case and Teaching Paper Series
Ras Asset Management SGR SpA, Ras Asset Management SGR SpA - Risk Management and Ras Asset Management SGR SpA
Downloads 4,554
10.

Risk Analysis for Asset Managers: Historical Simulation, the Bootstrap Approach and Value at Risk Calculation

EFMA 2001 Lugano Meetings
Number of pages: 44 Posted: 12 Jan 2001
Working Paper Series
Ras Asset Management SGR SpA and Ras Asset Management SGR SpA - Risk Management
Downloads 4,537
11.

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
Number of pages: 42 Posted: 07 Jan 2007 Last Revised: 16 Mar 2011
Accepted Paper Series
Bloomberg L.P., Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Downloads 3,426
12.

A Mixture of Gaussians Approach to Mathematical Portfolio Oversight: The EF3M Algorithm

Quantitative Finance, 2013, Forthcoming, Johnson School Research Paper Series No. 39-2011
Number of pages: 34 Posted: 22 Sep 2011 Last Revised: 27 Oct 2013
Accepted Paper Series
Guggenheim Partners, LLC and University of California, Irvine
Downloads 3,241
13.

Nonparametric Rank Tests for Event Studies

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 59 Posted: 25 Aug 2008 Last Revised: 19 Aug 2014
Working Paper Series
Texas A&M University, Department of Finance and University of Vaasa, Department of Mathematics and Statistics
Downloads 3,231
14.

Correcting for Cross-Sectional and Time-Series Dependence in Accounting Research

Accounting Review, Forthcoming
Number of pages: 49 Posted: 31 Jul 2008 Last Revised: 24 Oct 2010
Accepted Paper Series
University of Melbourne, University of Navarra, IESE Business School and University of Pennsylvania - The Wharton School
Downloads 3,224
15.

Incorporating Home Equity into a Retirement Income Strategy

Number of pages: 17 Posted: 04 Nov 2015
Working Paper Series
The American College
Downloads 3,198
16.

Risk Assessment for Banking Systems

14th Annual Utah Winter Finance Conference Paper; EFA 2003 Annual Conference Paper No. 437
Number of pages: 37 Posted: 25 Aug 2004
Working Paper Series
Austrian National Bank - Economic Studies Division, University of Calgary - Haskayne School of Business and Oesterreichische Nationalbank (OeNB)
Downloads 3,122
17.

A Behavioral Model of Digital Music Piracy

Journal of Organizational Computing and Electronic Commerce, Forthcoming
Number of pages: 34 Posted: 10 Apr 2004
Accepted Paper Series
University of Connecticut - Department of Operations & Information Management, SUNY at Buffalo - School of Management, University of Connecticut - Department of Operations & Information Management, University of South Florida - College of Business Administration and Niagara University
Downloads 2,988
18.

Do Artists Benefit from Online Music Sharing?

Journal of Business, Forthcoming
Number of pages: 43 Posted: 10 Apr 2004
Accepted Paper Series
University of Connecticut - Department of Operations & Information Management, University of Connecticut - Department of Operations & Information Management and SUNY at Buffalo - School of Management
Downloads 2,961
19.

Downside Correlation and Expected Stock Returns

EFA 2002 Berlin Meetings Presented Paper; USC Finance & Business Econ. Working Paper No. 01-25
Number of pages: 47 Posted: 09 Nov 2001
Working Paper Series
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
Downloads 2,954
20.

Value at Risk (VaR) in Real Options Analysis

Number of pages: 42 Posted: 20 May 2003
Working Paper Series
University of L'Aquila - Department of Information Engineering, Computer Science
Downloads 2,947
21.

Discounting Revisited: Valuation Under Funding, Counterparty Risk and Collateralization

Number of pages: 34 Posted: 17 May 2010 Last Revised: 14 Mar 2011
Working Paper Series
Ludwig Maximilian University of Munich - Department of Mathematics
Downloads 2,894
22.

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 2,799
23.

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 University of Aarhus - School of Economics and Management
Downloads 2,774
24.

Event Studies: A Methodology Review

Number of pages: 36 Posted: 02 Aug 2009 Last Revised: 20 Aug 2010
Working Paper Series
Deakin University - School of Accounting, Economics & Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2,765
25.

Relative Strength and Portfolio Management

Dorsey Wright Money Management, January 2012
Number of pages: 17 Posted: 04 Feb 2012
Accepted Paper Series
Dorsey Wright Money Management
Downloads 2,725
26.

Macro Stress Testing with a Macroeconomic Credit Risk Model for Finland

Bank of Finland Discussion Paper No. 18/2004
Number of pages: 48 Posted: 24 Nov 2004
Working Paper Series
Bank of Finland

Multiple version iconThere are 2 versions of this paper

Downloads 2,669
27.

An Agent-Based Model of the Flash Crash of May 6, 2010, with Policy Implications

Number of pages: 39 Posted: 07 Oct 2013 Last Revised: 27 Feb 2014
Working Paper Series
Triangle Intelligence and University of Cambridge
Downloads 2,586
28.

On the Profit and Loss Distribution of Dynamic Hedging Strategies

Discussion Paper Series No. 9899-03
Number of pages: 24 Posted: 02 Feb 1999
Working Paper Series
Quant Isle Ltd. and JP Morgan Securities Inc.

Multiple version iconThere are 2 versions of this paper

Downloads 2,584
29.

Are the Gains from International Portfolio Diversification Exaggerated? The Influence of Downside Risk in Bear Markets

EFMA 2002 London Meetings
Number of pages: 26 Posted: 12 May 2000
Working Paper Series
Michigan State University and Illinois State University - Department of Finance, Insurance and Law
Downloads 2,413
30.

Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?

Journal of Financial Services Research, Forthcoming
Number of pages: 29 Posted: 18 Feb 2004
Accepted Paper Series
Sveriges Riksbank - Research Division, Sveriges Riksbank - Research Division and Norges Bank
Downloads 2,338
31.

A Simple and Exact Simulation Approach to Heston Model

Number of pages: 16 Posted: 01 Jul 2008
Working Paper Series
LPA
Downloads 2,318
32.

The True Impact of Immediate Annuities on Retirement Sustainability: A Total Wealth Perspective

Number of pages: 18 Posted: 23 Jul 2013
Working Paper Series
The Kitces Report & Nerd's Eye View and The American College
Downloads 2,282
33.

Implied Volatility Surface: Construction Methodologies and Characteristics

Number of pages: 38 Posted: 10 Jul 2011
Working Paper Series
Independent
Downloads 2,260
34.

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 2,227
35.

Mutual Fund Performance: Skill or Luck?

Journal of Empirical Finance, 2008, Vol. 15, Issue 4, pp. 613-634.
Number of pages: 48 Posted: 15 Feb 2005 Last Revised: 27 May 2013
Accepted Paper Series
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and University College Cork
Downloads 2,143
36.

Collectively Fluctuating Assets in the Presence of Arbitrage Opportunities and Option Pricing

Number of pages: 10 Posted: 02 Feb 1999
Working Paper Series
NAFT and Quant Isle Ltd.
Downloads 2,115
37.

Measuring Real Activity Management

Number of pages: 54 Posted: 24 Mar 2011 Last Revised: 06 Aug 2016
Working Paper Series
University of Texas at Dallas - Naveen Jindal School of Management, University of Illinois at Chicago, Simon School, University of Rochester and Ohio State University (OSU) - Fisher College of Business
Downloads 1,995
38.

A Risk Based Approach to Tactical Asset Allocation

Number of pages: 27 Posted: 28 Nov 2011 Last Revised: 08 Dec 2011
Working Paper Series
Symphonia Sgr and University of Turin
Downloads 1,980
39.

A Dynamic Model of Active Portfolio Management and Mutual Fund Performance Evaluation

Number of pages: 42 Posted: 16 Mar 2005
Working Paper Series
Nanyang Technological University
Downloads 1,978
40.

An Empirical Study of Exposure at Default

Number of pages: 36 Posted: 23 Jun 2008 Last Revised: 15 Feb 2010
Working Paper Series
Accenture Consulting
Downloads 1,838
41.

Model Selection Using Database Characteristics: Developing a Classification Tree for Longitudinal Incidence Data

Number of pages: 50 Posted: 18 Jun 2012 Last Revised: 11 Jul 2013
Working Paper Series
University of Michigan, Stephen M. Ross School of Business, University of Pennsylvania - Marketing Department and University of Pennsylvania - Marketing Department
Downloads 1,813
42.

Conditional Analytic Monte-Carlo Pricing Scheme of Auto-Callable Products

Number of pages: 28 Posted: 05 May 2008 Last Revised: 07 Apr 2010
Working Paper Series
Ludwig Maximilian University of Munich - Department of Mathematics and University of Melbourne - Centre for Actuarial Studies
Downloads 1,774
43.

Cheap Donuts and Expensive Broccoli: The Effect of Relative Prices on Obesity

Number of pages: 36 Posted: 01 Apr 2007 Last Revised: 17 Dec 2009
Working Paper Series
University of Pennsylvania Law School, University of Pennsylvania Law School and George Mason University - Buchanan Center Political Economy
Downloads 1,758
44.

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 1,756
45.

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 1,738
46.

Do Liquidity Measures Measure Liquidity?

Journal of Financial Economics (JFE), Vol. 92, No. 153-181, 2009
Number of pages: 68 Posted: 24 Mar 2008 Last Revised: 02 Sep 2017
Accepted Paper Series
McGill University - Desautels Faculty of Management, Indiana University - Kelley School of Business - Department of Finance and Indiana University - Kelley School of Business - Department of Finance
Downloads 1,710
47.

Arbitrage Relaxation of Instruments with Temporal Constraints

Number of pages: 21 Posted: 01 Jun 1998
Working Paper Series
NAFT, NAFT and Quant Isle Ltd.
Downloads 1,697
48.

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 1,646
49.

Which Team Will Win the 2014 FIFA World Cup? A Bayesian Approach for Dummies

Number of pages: 31 Posted: 15 Feb 2014
Working Paper Series
Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF) and Universidade Federal do Rio de Janeiro (UFRJ)
Downloads 1,589
50.

Pricing Convertible Bonds with Monte Carlo Simulation

Number of pages: 33 Posted: 09 Mar 2005
Working Paper Series
Goethe University Frankfurt - Department of Finance and University of Basel
Downloads 1,581