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JEL Code: C19

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Viewing: 1 - 50 of 338 papers

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

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

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

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

Multiple version iconThere 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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
University of Toronto - Faculty of Law, University of Toronto - Faculty of Law and University of Toronto - Faculty of Law
Downloads 418