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Risk Management eJournal
4,064,490 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Showing Papers 1 - 50 of 11,291
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Incl. Electronic Paper Trading Fast and Slow the Role of Deliberation in Experimental Financial Markets
Center for Relationship Banking and Economics (CERBE) Working Paper Series No. 7
Giovanni Ferri, Matteo Ploner and Matteo Rizzolli
LUMSA University, Università degli Studi di Trento and LUMSA University
Date Posted: March 27, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Momentum Returns, Market States, and Market Dynamics: Is China Different?
Muhammad A. Cheema and Gilbert V. Nartea
University of Waikato and University of Waikato
Date Posted: March 27, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Level 3 Assets and Credit Risk
May Xiaoyan Bao and Yixin Liu
University of New Hampshire and University of New Hampshire
Date Posted: March 25, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper A Novel Approach to Quantification of Model Risk for Practitionners
Zuzana Krajcovicova, Pedro Pablo Pérez-Velasco and Carlos Vázquez Cendón
University of Coruña - Department of Mathematics, Banco Santander and University of Coruña - Department of Mathematics
Date Posted: March 25, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Do Risk Disclosures Matter When it Counts? Evidence from the Swiss Franc Shock
Luzi Hail, Maximilian Muhn and David Oesch
University of Pennsylvania - The Wharton School, Humboldt University of Berlin and University of Zurich
Date Posted: March 25, 2017
Working Paper Series
41 downloads

Incl. Electronic Paper Pathetic Protection: The Elusive Benefits of Protective Puts
Roni Israelov
AQR Capital Management, LLC
Date Posted: March 23, 2017
Working Paper Series
76 downloads

Incl. Electronic Paper Measuring Interest Rate Risk Using a Duration Vector
Manfred Jaeger-Ambrozewicz
Hochschule für Technik und Wirtschaft Berlin
Date Posted: March 22, 2017
Working Paper Series
26 downloads

Incl. Electronic Paper Banking on Deposits: Maturity Transformation Without Interest Rate Risk
Itamar Drechsler, Alexi Savov and Philipp Schnabl
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Date Posted: March 22, 2017
Working Paper Series
11 downloads

Incl. Fee Electronic Paper Structuring an Enterprise Risk Assessment Protocol: Traditional Practice and New Methods
Risk Management and Insurance Review, Vol. 20, Issue 1, pp. 79-97, 2017
Mark Abkowitz and Janey Camp
Vanderbilt University and Vanderbilt University
Date Posted: March 22, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Testing for Changes in (Extreme) VAR
The Econometrics Journal, Vol. 20, Issue 1, pp. 23-51, 2017
Yannick Hoga
University of Duisburg-Essen
Date Posted: March 22, 2017
Accepted Paper Series

Incl. Electronic Paper In Search of a Better Volatility
Firas Kotite and Clemens Kownatzki
Claremont Colleges - Claremont Graduate University and Pepperdine University - Graziadio School of Business and Management
Date Posted: March 21, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper Interquantile Expectation Regression
Tinbergen Institute Discussion Paper 2017-034/III
Sander Barendse
Erasmus University Rotterdam (EUR)
Date Posted: March 21, 2017
Working Paper Series
29 downloads

Risk and Uncertainty Communication
Annual Review of Statistics and Its Application, Vol. 4, Issue 1, pp. 31-60, 2017
David Spiegelhalter
University of Cambridge
Date Posted: March 21, 2017
Accepted Paper Series

Incl. Electronic Paper Systemic Risk and Cyclical Economic Environment
Hong Mao
Shanghai Second Polytechnic University
Date Posted: March 20, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper The New Era of Expected Credit Loss Provisioning
BIS Quarterly Review, March 2017
Benjamin H. Cohen and Gerald A. Edwards Jr.
Bank for International Settlements (BIS) and JaeBre Dynamics, LLC
Date Posted: March 20, 2017
Working Paper Series
27 downloads

Incl. Electronic Paper Margin Calculation of Multi-Leg Option Strategies
Yuanyuan Chen and Duan Li
National University of Singapore (NUS) - Risk Management Institute and Chinese University of Hong Kong
Date Posted: March 20, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Securitization, Ratings, and Credit Supply
Brendan Daley, Brett S. Green and Victoria Vanasco
Duke University - Fuqua School of Business, University of California, Berkeley - Haas School of Business and Stanford Graduate School of Business
Date Posted: March 20, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper Do Auditors Overemphasize Contextual Benchmarks? Archival Evidence on Contrast Effects in Auditors’ Assessment of Client Risk
Nicholas Hallman
University of Texas at Austin
Date Posted: March 20, 2017
Last Revised: March 25, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper The Reactions of Equity and Credit Markets to Unconventional Monetary Policy - Are the Markets Buying It?
Richard Lennart Mertens
University of Bremen - Department of Business Administration
Date Posted: March 20, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Indicators of Financial Vulnerability: A Household Level Study
Bank of Italy Occasional Paper No. 369
Valentina Michelangeli and Cristiana Rampazzi
Bank of Italy and Bank of Italy
Date Posted: March 17, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper Copula-Based Random Effects Models for Clustered Data
Bank of Italy Temi di Discussione (Working Paper) No. 1092
Santiago Pereda Fernández
Bank of Italy
Date Posted: March 17, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Cross-Sectional and Time-Series Momentum Returns and Market States
Muhammad A. Cheema, Gilbert V. Nartea and Yimei Man
University of Waikato, University of Waikato and University of Waikato
Date Posted: March 16, 2017
Last Revised: March 24, 2017
Working Paper Series
153 downloads

Incl. Electronic Paper Is Bigger Better? Firm Size Implications of Corporate Governance Risk Management Over Financial Derivatives
Rubeena Tashfeen and Tashfeen Azhar
Victoria University of Wellington, Victoria Business School, Student/Alumni and (UMT) University of Management and Technology (Pakistan) - School of Business and Economics
Date Posted: March 16, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Controlling Systemic Risk Through Corporate Governance
CIGI Policy Brief No. 99 - February 2017, Duke Law School Public Law & Legal Theory Series 2017
Steven L. Schwarcz
Duke University School of Law
Date Posted: March 16, 2017
Accepted Paper Series
47 downloads

Incl. Electronic Paper Investor Capabilities and Dynamic Exposure to Risk
Knut N. Kjaer
Independent
Date Posted: March 16, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Asset Securitization and Risk: Does Bank Type Matter?
Omneya Abdelsalam, Marwa Sami Elnahass, Sabur Mollah and Stergios Leventis
Durham University, Newcastle University (UK), Hull University Business School and International Hellenic University - School of Economics and Business Administration
Date Posted: March 16, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Enterprise Risk Management (ERM) Implementation: Some Empirical Evidence from Large Australian Companies
Proceedings of the International Conference on Accounting Studies (ICAS 2014), 18-19 August 2014, Kuala Lumpur, Malaysia , Procedia - Social and Behavioral Sciences 164 ( 2014 ) 541 – 547 ,
Saudah Ahmad, Chew Ng and Lisa McManus
Universiti Utara Malaysia - School of Accountancy, Griffith University - Griffith Business School and Charles Darwin University
Date Posted: March 16, 2017
Accepted Paper Series
8 downloads

Incl. Fee Electronic Paper The Effects of Tax on Bank Liability Structure
CEPR Discussion Paper No. DP11893
Leonardo Gambacorta, Giacomo Ricotti, Suresh M. Sundaresan and Zhenyu Wang
Bank for International Settlements (BIS), Bank of Italy, Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business
Date Posted: March 16, 2017
Working Paper Series

Incl. Electronic Paper The Role of Cointegration for Optimal Hedging with Heteroscedastic Error Term
Lukasz Gatarek and Soren Johansen
European Central Bank (ECB) - Directorate General Statistics and University of Copenhagen - Department of Economics
Date Posted: March 15, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper Challenges in Implementing Worst-Case Analysis
Jon Danielsson, Lerby Murat Ergun and Casper G. de Vries
London School of Economics - Systemic Risk Centre, London School of Economics & Political Science (LSE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Date Posted: March 15, 2017
Working Paper Series
24 downloads

Incl. Electronic Paper Lambda Value at Risk and Regulatory Capital: A Dynamic Approach to Tail Risk
Asmerilda Hitaj, Cesario Mateus and Ilaria Peri
Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Greenwich Business School and University of Greenwich
Date Posted: March 15, 2017
Working Paper Series
17 downloads

Incl. Electronic Paper Investor Sentiment Dynamics and the Cross-Section of Stock Returns
Muhammad A. Cheema and Gilbert V. Nartea
University of Waikato and University of Waikato
Date Posted: March 14, 2017
Last Revised: March 21, 2017
Working Paper Series
76 downloads

Incl. Electronic Paper Large Deviations of Factor Models with Regularyly-Varying Tails: Asymptotics and Efficient Estimation
Farzad Pourbabaee
University of California, Berkeley - Department of Economics
Date Posted: March 14, 2017
Working Paper Series
38 downloads

Incl. Electronic Paper Fundamental Indexation for Developed, Emerging, and Frontier Government Bond Markets
Journal of Asset Management, Forthcoming
Vanja Piljak and Laurentius (Laurens) Adrianus Petrus Swinkels
University of Vaasa - Department of Accounting and Finance and Erasmus University Rotterdam (EUR)
Date Posted: March 14, 2017
Accepted Paper Series
31 downloads

Incl. Electronic Paper Mortgage Characteristics and the Racial Incidence of Default
Phillip Li and Tom Mayock
Office of the Comptroller of the Currency and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Date Posted: March 13, 2017
Working Paper Series
21 downloads

Incl. Electronic Paper Foreign Bank Subsidiaries’ Risk-Taking Behavior: Impact of Home and Host Country National Culture
Badar Nadeem Ashraf
East China Jiao Tong University
Date Posted: March 10, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Backtesting Distributional Forecasts in Counterparty Risk: Theoretical Aspects in Long Horizon Testing and Autocorrelations
Hany Farag
CIBC
Date Posted: March 09, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper Automatic Portmanteau Tests with Applications to Market Risk Management
CAEPR Working Paper #2017-002
Zaichao Du, Juan Carlos Escanciano and Guangwei Zhu
Southwestern University of Finance and Economics (SWUFE) - Research Institute of Economics & Management, Indiana University Bloomington - Department of Economics and Southwestern University of Finance and Economics (SWUFE)
Date Posted: March 09, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Risk Taking and Interest Rates: Evidence from Decades in the Global Syndicated Loan Market
IMF Working Paper No. 17/16
Seung Jung Lee, Lucy Qian Liu and Viktors Stebunovs
Board of Governors of the Federal Reserve System, International Monetary Fund (IMF) and Board of Governors of the Federal Reserve System
Date Posted: March 09, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper Why ARCH/GARCH Are Used in Finance? An Application of Sport Related Stocks in Turkey
Hülya Ünlü and Merve Karacaer Ulusoy
Çankırı Karatekin University and Yildirim Beyazit University
Date Posted: March 09, 2017
Last Revised: March 10, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Why Do Bank-Dependent Firms Bear Interest-Rate Risk?
IMF Working Paper No. 17/3
Divya Kirti
International Monetary Fund (IMF)
Date Posted: March 07, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper What Broker Charges Reveal about Mortgage Credit Risk
Sveriges Riksbank Working Paper Series No. 336, Riksbank Research Paper Series No. 160
Antje Berndt, Burton Hollifield and Patrik Sandås
Australian National University, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Date Posted: March 07, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper Market Discipline through Credit Ratings and Too-Big-to-Fail in Banking
Swiss Finance Institute Research Paper No. 17-09
Sascha Kolaric, Florian Kiesel and Steven Ongena
Technische Universität Darmstadt, Technische Universität Darmstadt and University of Zurich - Department of Banking and Finance
Date Posted: March 07, 2017
Working Paper Series
66 downloads

Incl. Electronic Paper Portfolio Optimization of Global Reits Returns: High-Dimensional Copula-Based Approach
Proceedings of the 18th International Academic Conference, London. International Institute of Social and Economic Sciences (IISES): pp. 698 - 709. DOI: 10.20472/IAC.2015.018.122. ISBN 978-80-87927-11-3
Roengchai Tansuchat
Faculty of Economics - Chiang Mai University
Date Posted: March 06, 2017
Last Revised: March 08, 2017
Working Paper Series
9 downloads

Issues and Challenges in Model Risk Quantification - A Research Study
Niraj Kumar Mahapatra
Management Development Institute, Students
Date Posted: March 05, 2017
Working Paper Series

Incl. Fee Electronic Paper Investment Opportunities Forecasting: A Genetic Programming-Based Dynamic Portfolio Trading System under a Directional-Change Framework
Journal of Computational Finance, Forthcoming
Monira Essa Aloud
King Saud University
Date Posted: March 04, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Efficient Pricing and Super-Replication of Corridor Variance Swaps and Related Products
Journal of Computational Finance, Forthcoming
Christoph Burgard and Olaf Torné
Bank of America - Bank of America Merrill Lynch and Barclays
Date Posted: March 04, 2017
Accepted Paper Series

Incl. Electronic Paper Credit Risk Models: Lessons for Nigerian Banks
Oluseun A. Paseda
University of Lagos, Faculty of Business Administration
Date Posted: March 03, 2017
Working Paper Series
25 downloads

Incl. Electronic Paper Bitcoin for Energy Commodities Before and After the December 2013 Crash: Diversifier, Hedge or Safe Haven?
Applied Economics, Forthcoming
Elie Bouri, Naji P Jalkh, Peter Molnár and David Roubaud
Université Saint Esprit de Kaslik (USEK), Independent, University of Stavanger and Montpellier Business School
Date Posted: March 02, 2017
Accepted Paper Series
42 downloads

Incl. Electronic Paper How Do Banks Make the Trade-Offs Among Risks? The Role of Corporate Governance
Journal of Banking & Finance 72 (2016) S39–S69,
Hsiao-Jung Chen and Kuan-Ting Lin
Department of Finance and Southern Taiwan University of Science and Technology - Department of Finance
Date Posted: March 02, 2017
Accepted Paper Series
16 downloads


 

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