SSRN JEL Code: C19

1.

Surprised by the Gambler's and Hot Hand Fallacies? A Truth in the Law of Small Numbers

IGIER Working Paper No. 552

Number of pages: 68 Posted: 07 Jul 2015 Last Revised: 16 Nov 2016

Working Paper Series

Joshua Benjamin Miller and Adam Sanjurjo

Bocconi University - Department of Decision Sciences and Universidad de Alicante - Departamento de Fundamentos del Análisis Económico

Downloads 11,113

2.

Modelling Operational Risk

Journal of Risk, Vol. 5, No. 3, pp. 1-16, 2003

Number of pages: 23 Posted: 11 Dec 2001 Last Revised: 06 Jan 2010

Working Paper Series

Silvan Ebnöther, Paolo Vanini, Alexander McNeil and Pierre Antolinez-Fehr

Zurich Cantonal Bank, University of Basel, ETH Zürich - Department of Mathematics and Zurich Cantonal Bank

Downloads 5,273

3.

The Quantification of Operational Risk

Number of pages: 38 Posted: 30 Dec 2003

Working Paper Series

Markus Leippold and Paolo Vanini

University of Zurich - Department of Banking and Finance and University of Basel

There are 2 versions of this paper

Downloads 3,742

4.

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

Marco Moscadelli

Bank of Italy - Banking and Finance Supervision Department

Downloads 3,366

5.

ARCH, GARCH and EGARCH Models: Applications to Financial Series

Cuadernos de Economía, Vol. 27, No. 48, 2008,

Number of pages: 33 Posted: 27 Aug 2008

Accepted Paper Series

Marta Casas and Edilberto Cepeda

Universidad de los Andes, Colombia - Department of Economics and National University of Colombia

Downloads 2,367

6.

Operational Risk: A Practitioner's View

Journal of Risk, Vol. 5, No. 3, pp. 1-16, 2003

Number of pages: 15 Posted: 18 Nov 2002 Last Revised: 15 Feb 2011

Accepted Paper Series

Paolo Vanini, Silvan Ebnöther, Pierre Antolinez-Fehr and Alexander McNeil

University of Basel, Zurich Cantonal Bank, Zurich Cantonal Bank and ETH Zürich - Department of Mathematics

There are 2 versions of this paper

Downloads 2,240

7.

A Simple Model of Credit Contagion

EFA 2004 Maastricht Meetings

Number of pages: 55 Posted: 05 Jan 2004 Last Revised: 18 Dec 2008

Working Paper Series

Markus Leippold, Daniel Egloff and Paolo Vanini

University of Zurich - Department of Banking and Finance, QuantAlea GmbH and University of Basel

Downloads 2,023

8.

From Operational Risk to Operational Excellence

Number of pages: 18 Posted: 20 Jul 2003

Working Paper Series

Paolo Vanini, Markus Leippold and Barbara Doebeli

University of Basel, University of Zurich - Department of Banking and Finance and Swiss National Bank, International Monetary Relations

Downloads 1,640

9.

Quanto Pricing with Copulas

University of Warwick Statistics Department Research Report No. 415

Number of pages: 44 Posted: 25 Jul 2003

Working Paper Series

Michael N. Bennett and Joanne Kennedy

Merrill Lynch, UK and University of Warwick - Department of Statistics

Downloads 1,588

10.

Interpolation Schemes in the Displaced-Diffusion LIBOR Market Model and the Efficient Pricing and Greeks for Callable Range Accruals

Number of pages: 46 Posted: 26 Aug 2009 Last Revised: 27 Feb 2010

Working Paper Series

Christopher Beveridge and Mark S. Joshi

University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies

Downloads 1,539

11.

Robust Standard Error Estimation in Fixed-Effects Panel Models

Number of pages: 30 Posted: 30 Sep 2004

Working Paper Series

Gabor Kezdi

Central European University (CEU) - Department of Economics

Downloads 1,486

12.

The Model Confidence Set

Number of pages: 41 Posted: 30 Mar 2004 Last Revised: 07 Jul 2014

Working Paper Series

Peter Reinhard Hansen, Asger Lunde and James M. Nason

University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Aarhus - School of Economics and Management and North Carolina State University - Department of Economics

Downloads 1,484

13.

A Survey of the Literature on Hedge Fund Performance

Number of pages: 58 Posted: 04 Dec 2004

Working Paper Series

Walter Géhin

EDHEC Business School - EDHEC Risk and Asset Management Research Centre

Downloads 1,420

14.

Using Monte Carlo Simulation and Importance Sampling to Rapidly Obtain Jump-Diffusion Prices of Continuous Barrier Options

Number of pages: 15 Posted: 12 Jun 2006

Working Paper Series

Mark S. Joshi and Terence Leung

University of Melbourne - Centre for Actuarial Studies and University College London

Downloads 1,417

15.

Sensitivity Analyses Of The Deterrence Hypothesis: Let's Keep The Econ In Econometrics

Number of pages: 43 Posted: 02 Nov 1999

Working Paper Series

Isaac Ehrlich and Zhiqiang Liu

State University of New York at Buffalo - Department of Economics and SUNY at Buffalo, College of Arts & Sciences, Department of Economics

There are 2 versions of this paper

Downloads 1,187

16.

Foreign Direct Investment and Macroeconomic Factors: Evidence From the Indian Economy

Asia-Pacific Journal of Management Research and Innovation, 2015, Vol. 11 No. 01, pp. 46-56

Number of pages: 12 Posted: 19 Nov 2012 Last Revised: 01 May 2015

Accepted Paper Series

Vanita Tripathi, Ritika Seth and Varun Bhandari

University of Delhi India - Delhi School of Economics - Department of Commerce, Hansraj College, University of Delhi and University of Delhi - Department of Commerce

Downloads 1,171

17.

Confidence Intervals for Cronbach's Coefficient Alpha Values

ERIM Report Series Reference No. ERS-2003-041-MKT

Number of pages: 47 Posted: 26 Aug 2006

Working Paper Series

Alex J. Koning and Philip Hans Franses

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Department of Econometrics

Downloads 1,146

18.

New and Robust Drift Approximations for the Libor Market Model

Number of pages: 17 Posted: 12 Jun 2006

Working Paper Series

Mark S. Joshi and Alan M. Stacey

University of Melbourne - Centre for Actuarial Studies and Lehman Brothers International, Europe

Downloads 1,073

19.

Intensity Gamma: A New Approach to Pricing Portfolio Credit Derivatives

Number of pages: 14 Posted: 12 Jun 2006

Working Paper Series

Mark S. Joshi and Alan M. Stacey

University of Melbourne - Centre for Actuarial Studies and Lehman Brothers International, Europe

Downloads 1,009

20.

Option Pricing and the Dirichlet Problem

Number of pages: 5 Posted: 20 Jun 2006

Working Paper Series

Mark S. Joshi

University of Melbourne - Centre for Actuarial Studies

Downloads 1,001

21.

Effective Implementation of Generic Market Models

Number of pages: 16 Posted: 12 Jun 2006

Working Paper Series

Mark S. Joshi and Lorenzo Liesch

University of Melbourne - Centre for Actuarial Studies and UBM - Financial Risks

Downloads 923

22.

The Rasch Model to Measure Service Quality

UNIMI Economics Working Paper No. 27.2003

Number of pages: 18 Posted: 23 Dec 2004

Working Paper Series

Silvia Salini, Giovanna Nicolini and Francesca De Battisti

University of Milan - Department of Business Policy and Economics (DEPA), Universita degli Studi di Milano and Universita degli Studi di Milano - Dipartimento Economia Politica e Aziendale - Sezione di Statistica e Matematica

Downloads 905

23.

Risk Aversion and Skewness Preference: A Comment

ERIM Report Series Reference No. ERS-2003-009-F&A, Journal of Banking and Finance, Vol. 32, No. 7, pp. 1178-1187, 2008

Number of pages: 19 Posted: 23 Feb 2006

Working Paper Series

Thierry Post, Pim van Vliet and Haim Levy

Koc University - Graduate School of Business, Robeco Asset Management - Quantitative Strategies and Hebrew University of Jerusalem - Jerusalem School of Business Administration

Downloads 900

24.

Business and Default Cycles for Credit Risk

Tinbergen Institute Discussion Paper No. 03-062/2

Number of pages: 23 Posted: 29 Sep 2003

Working Paper Series

Siem Jan Koopman and Andre Lucas

VU University Amsterdam and VU University Amsterdam - Faculty of Economics and Business

Downloads 875

25.

Portfolio Optimization with Respect to Risk Diversification

Number of pages: 7 Posted: 16 Nov 2008

Working Paper Series

Thomas Neukirch

HQ Trust GmbH

Downloads 856

26.

The Challenge of Hedge Fund Performance Measurement: A Toolbox Rather Than a Pandora's Box

Number of pages: 61 Posted: 24 Nov 2006

Working Paper Series

Walter Géhin

EDHEC Business School - EDHEC Risk and Asset Management Research Centre

Downloads 821

27.

Monte Carlo Bounds for Callable Products with Non-Analytic Break Costs

Number of pages: 10 Posted: 13 Jun 2006

Working Paper Series

Mark S. Joshi

University of Melbourne - Centre for Actuarial Studies

Downloads 812

28.

The Structure of the Toyota Supply Network: An Empirical Analysis

Saïd Business School WP 2014-3,

Number of pages: 24 Posted: 23 Mar 2014 Last Revised: 18 Feb 2017

Working Paper Series

Tomomi Kito, Alexandra Brintrup, Steve New and Felix Reed-Tsochas

University of Oxford - Said Business School, Cranfield University, Said Business School and University of Oxford - Said Business School

Downloads 811

29.

A Formative Model for Measuring Customer Satisfaction with a Degree Course

UNIMI Economics Working Paper No. 23.2003

Number of pages: 16 Posted: 14 Jan 2005

Working Paper Series

Francesca De Battisti and Giovanna Nicolini

Universita degli Studi di Milano - Dipartimento Economia Politica e Aziendale - Sezione di Statistica e Matematica and Universita degli Studi di Milano

Downloads 727

30.

Building Trust in eCommerce - Quantitative Analysis

Number of pages: 27 Posted: 23 Dec 2004

Working Paper Series

Pawel Kossecki

The Polish National Film, Television and Theatre School

Downloads 717

31.

Portfolio Credit Risk and Macroeconomic Shocks: Applications to Stress Testing Under Data-Restricted Environments

IMF Working Paper No. 06/283

Number of pages: 52 Posted: 12 Jan 2007

Working Paper Series

Miguel Segoviano Basurto and Pablo Padilla

International Monetary Fund (IMF) - Monetary and Financial Systems Department and Universidad Nacional Autónoma de México (UNAM)

Downloads 715

32.

Optimal Credit Limit Management Under Different Information Regimes

Number of pages: 29 Posted: 12 Oct 2003

Working Paper Series

Markus Leippold, Paolo Vanini and Silvan Ebnöther

University of Zurich - Department of Banking and Finance, University of Basel and Zurich Cantonal Bank

Downloads 692

33.

Implied Volatility from Asian Options Via Monte Carlo Methods

Number of pages: 33 Posted: 19 Jan 2007 Last Revised: 03 Jan 2008

Working Paper Series

Christian-Oliver Ewald, Zhaojun Yang and Yajun Xiao

University of Glasgow, Southern University of Science and Technology - Department of Finance and University of Freiburg - Department of Economics

There are 2 versions of this paper

Downloads 685

34.

Value-at-Risk Model Risk

Number of pages: 24 Posted: 09 Feb 2011

Working Paper Series

Carol Alexander and José María Sarabia

University of Sussex - School of Business, Management and Economics and University of Cantabria - Department of Economics

Downloads 681

35.

Sell in May and Go Away in the Equity Index Futures Markets

Number of pages: 8 Posted: 24 Jan 2016

Working Paper Series

Constantine S. Dzhabarov and William T. Ziemba

Alpha Lake Financial Analytics Corp and University of British Columbia (UBC) - Sauder School of Business

Downloads 678

36.

An Intuitive Guide to Wavelets for Economists

Bank of Finland Research Discussion Paper No. 1/2005

Number of pages: 71 Posted: 30 Aug 2005

Working Paper Series

Patrick M. Crowley

Texas A&M University - Corpus Christi

Downloads 640

37.

Choosing the Best Volatility Models: The Model Confidence Set Approach

Brown University Economics Working Paper No. 03-05; FRB of Atlanta Working Paper No. 2003-28

Number of pages: 26 Posted: 22 May 2003

Working Paper Series

Peter Reinhard Hansen, Asger Lunde and James M. Nason

University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Aarhus - School of Economics and Management and North Carolina State University - Department of Economics

Downloads 637

38.

A Mathematical Approach to the Study of the United States Code

Physica A, Vol. 389, 2010

Number of pages: 6 Posted: 29 Mar 2010 Last Revised: 02 Aug 2012

Accepted Paper Series

Michael James Bommarito II and Daniel Martin Katz

LexPredict, LLC and Illinois Tech - Chicago Kent College of Law

Downloads 621

39.

Visualization of Chaos for Finance Majors

Adelaide University Working Paper No. 00-7

Number of pages: 31 Posted: 07 Jan 2001

Working Paper Series

Cornelis A. Los

University of California at Irvine - The Paul Merage School of Business

Downloads 598

40.

Asymmetry between Uptrend and Downtrend Identification: A Tale of Moving Average Trading Strategy

Number of pages: 15 Posted: 24 Jan 2017

Working Paper Series

Carlin chun-fai Chu

The Open University of Hong Kong

Downloads 578

41.

Concept and Mathematics of Islamic Financial Engineering

8th International Conference on Islamic Economics and Finance, 20 December 2011, Doha, Qatar

Number of pages: 21 Posted: 06 Aug 2012 Last Revised: 08 Aug 2012

Working Paper Series

Nadi Serhan Aydin and Martin Rainer

Institute of Applied Mathematics, Middle East Technical University and ENAMEC Institute

Downloads 567

42.

Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation

EFA 2003 Annual Conference Paper No. 211; Vrije University Finance Working Paper

Number of pages: 31 Posted: 27 Jul 2003

Working Paper Series

Siem Jan Koopman, Andre Lucas and Pieter Klaassen

VU University Amsterdam, VU University Amsterdam - Faculty of Economics and Business and UBS AG

Downloads 567

43.

Scenario Based Principal Component Value-at-Risk: An Application to Italian Banks' Interest Rate Risk Exposure

Bank of Italy Economic Research Paper No. 602

Number of pages: 55 Posted: 06 Oct 2006

Working Paper Series

Roberta Fiori and simonetta iannotti

Bank of Italy and Bank of Italy

Downloads 547

44.

Who and How Should Build the Trust in eCommerce? Research of Polish Internet Shops

Number of pages: 12 Posted: 16 Feb 2005

Working Paper Series

Pawel Kossecki

The Polish National Film, Television and Theatre School

Downloads 492

45.

Do U.S. Financial Regulators Listen to the Public? Testing the Regulatory Process with the RegRank Algorithm

Robert H. Smith School Research Paper

Number of pages: 20 Posted: 12 Jan 2014 Last Revised: 30 Jun 2014

Working Paper Series

Andrei A. Kirilenko, Shawn Mankad and George Michailidis

Imperial College London - Centre for Global Finance and Technology, Cornell University and University of Michigan at Ann Arbor

Downloads 491

46.

Determinants of Islamic Bond (Sukuk): Evidence in Malaysia

Number of pages: 23 Posted: 18 Aug 2013 Last Revised: 19 Aug 2013

Working Paper Series

Rusmawati Said, Wan Nurhanan W. Suhaimi and Asmaddy Haris

Universiti Putra Malaysia, Universiti Sains Islam Malaysia (USIM) and Universiti Sains Islam Malaysia (USIM)

Downloads 479

47.

The Impact of Stock Returns Volatility on Credit Default Swap Rates: A Copula Study

International Journal of Theoretical and Applied Finance, Vol. 8, No. 8, pp. 1135-1155, 2005

Number of pages: 23 Posted: 21 May 2005 Last Revised: 05 Aug 2008

Working Paper Series

Fathi Abid and Nader Naifar

University of Sfax - Faculty of Economics and Management (FSEGS) and University of Sfax, Tunisia

Downloads 436

48.

Exploring the CDS-Bond Basis

National Bank of Belgium Working Paper No. 104

Number of pages: 41 Posted: 07 Oct 2010

Working Paper Series

Jan De Wit

affiliation not provided to SSRN

Downloads 429

49.

Beyond ‘Bayesian vs. VaR’ Dilemma to Empirical Model Risk Management: How to Manage Risk (After Risk Management Has Failed) for Hedge Funds

Number of pages: 50 Posted: 16 Dec 2014 Last Revised: 17 Apr 2015

Working Paper Series

Yogesh Malhotra

Global Risk Management Network, LLC

Downloads 428

50.

Using Machine Learning to Predict Outcomes in Tax Law

Number of pages: 23 Posted: 20 Oct 2016

Working Paper Series

Benjamin Alarie, Anthony Niblett and Albert Yoon

University of Toronto - Faculty of Law, University of Toronto - Faculty of Law and University of Toronto - Faculty of Law

Downloads 418

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