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SSRN eLibrary Search Results
Adapting the Basel II Advanced Internal-Ratings-Based Models for International Financial Reporting Standard 9
Journal of Credit Risk, Vol. 13, No. 2, 2017
Peter Miu and Bogie Ozdemir
McMaster University - DeGroote School of Business and Standard & Poor's
Date Posted: June 23, 2017
Accepted Paper Series
Portfolio Credit Risk Model with Extremal Dependence of Defaults and Random Recovery
Journal of Credit Risk, Vol. 13, No. 2, 2017
Jong-June Jeon, Sunggon Kim and Yonghee Lee
University of Seoul, University of Seoul and University of Seoul
Date Posted: June 23, 2017
Accepted Paper Series
How Aggregate Volatility-of-Volatility Affects Stock Returns
Review of Asset Pricing Studies, Forthcoming
Fabian Hollstein and Marcel Prokopczuk
Leibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Date Posted: June 23, 2017
Accepted Paper Series
9 downloads
Risk Estimation and Spurious Seasonality
Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 19, 2017
Malte S. Kurz and Stefan Mittnik
Ludwig-Maximilians-Universität München - Department of Statistics - Chair of Financial Econometrics and University of Kiel - Institute of Statistics & Econometrics
Date Posted: June 22, 2017
Working Paper Series
3 downloads
On Term Structure of Yield Rates. 2. The Cox – Ingersoll – Ross Model
Tomsk State University Journal of Control and Computer Science. 2012. No. 2(19). pp. 102-111.
Gennady Medvedev
Belarusian State University
Date Posted: June 20, 2017
Accepted Paper Series
19 downloads
Factors Affecting Interest Rate Risk: The Case of Kosovo
Florin Aliu, Adriana Knapkova, Khatai Aliyev and Orkhan Nadirov
Tomas Bata University, Tomas Bata University, Qafqaz University and Tomas Bata University - Faculty of Management and Economics
Date Posted: June 19, 2017
Working Paper Series
6 downloads
Banking Deregulation and Credit Risk: Evidence from the EU
Journal of Financial Stability 2 (4): 356–390. 2007. DOI: 10.1016/j.jfs.2006.11.002,
Xiaofen Chen
Truman State University - Department of Economics
Date Posted: June 19, 2017
Accepted Paper Series
Are Corporate Risk Managers Influenced by Prior Gains and Losses? Revisiting the Evidence
Andreas Hecht and Niklas Lampenius
University of Hohenheim and University of Hohenheim
Date Posted: June 19, 2017
Last Revised: June 22, 2017
Working Paper Series
6 downloads
The Probability Density of the Processes of Short Interest Rates
Medvedev G. A. (2016)The probability density of the processes ofshortinterest rates.Vestnik Tomskogo gosudarstvennogo universiteta. Informatika i vychislitel’naya tekhnika. –Tomsk State University Journal of Control and Computer Science.№3(36).P.35–48. (In Russian).
,
Gennady Medvedev
Belarusian State University
Date Posted: June 19, 2017
Accepted Paper Series
8 downloads
Calibration of Credit Default Probabilities in Discrete Default Intensity and Logit Models
Anand Deo, Sandeep Juneja and Aakash Kalyani
Tata Institute of Fundamental Research (TIFR), Tata Institute of Fundamental Research (TIFR) and Boston University
Date Posted: June 19, 2017
Working Paper Series
6 downloads
Toward 'Cyber-Finance’ Cyber Risk Management Frameworks of Practice: Bridging Networks, Systems, and, Controls Frameworks
The Journal of Operational Risk, March 2018, Forthcoming
Yogesh Malhotra
Global Risk Management Network, LLC
Date Posted: June 19, 2017
Accepted Paper Series
Corporate Hedging and Collateral Constraints: Evidence from a Difference-in-Difference Approach
Håkan Jankensgård
Lund University - Department of Business Administration
Date Posted: June 17, 2017
Working Paper Series
15 downloads
Comparison of Model for Pricing Volatility Swaps
Documento de Trabajo del Banco Central de Chile N.º 708
,
Nestor Romero
University of Manchester - Alliance Manchester Business School
Date Posted: June 16, 2017
Working Paper Series
14 downloads
Can Economically Intuitive Factors Improve Ability of Proprietary Algorithms to Predict Defaults of Peer-to-Peer Loans?
Atay Kizilaslan and Aziz A. Lookman
Independent and AIG
Date Posted: June 16, 2017
Working Paper Series
4 downloads
The Best Strategies for the Worst Crises
Michael Cook, Edward Hoyle, Matthew Sargaison, Dan Taylor and Otto Van Hemert
Man AHL, Man AHL, Man AHL, Numeric Investors and Man AHL
Date Posted: June 16, 2017
Working Paper Series
155 downloads
Stable Risk Sharing and Its Monotonicity
Xin Chen, Zhenyu Hu and Shuanglong Wang
University of Illinois at Urbana-Champaign, National University of Singapore (NUS) - Department of Decision Sciences and Department of Industrial and Enterprise Systems Engineering, University of Illinois at Urbana-Champaign
Date Posted: June 16, 2017
Working Paper Series
14 downloads
A First‐Order BSPDE for Swing Option Pricing: Classical Solutions
Mathematical Finance, Vol. 27, Issue 3, pp. 902-925, 2017
Christian Bender and Nikolai Dokuchaev
Saarland University and Curtin University of Technology - Department of Mathematics and Statistics
Date Posted: June 15, 2017
Accepted Paper Series
A Primal–Dual Algorithm for BSDEs
Mathematical Finance, Vol. 27, Issue 3, pp. 866-901, 2017
Christian Bender, Nikolaus Schweizer and Jia Zhuo
Saarland University, Tilburg School of Economics and Management and University of Southern California
Date Posted: June 15, 2017
Accepted Paper Series
A State‐Constrained Differential Game Arising in Optimal Portfolio Liquidation
Mathematical Finance, Vol. 27, Issue 3, pp. 779-802, 2017
Alexander Schied and Tao Zhang
University of Mannheim and University of Mannheim
Date Posted: June 15, 2017
Accepted Paper Series
Approximate Hedging Problem with Transaction Costs in Stochastic Volatility Markets
Mathematical Finance, Vol. 27, Issue 3, pp. 832-865, 2017
Thai Huu Nguyen and Serguei Pergamenshchikov
CNRS and CNRS
Date Posted: June 15, 2017
Accepted Paper Series
Explicit Implied Volatilities for Multifactor Local‐Stochastic Volatility Models
Mathematical Finance, Vol. 27, Issue 3, pp. 926-960, 2017
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Date Posted: June 15, 2017
Accepted Paper Series
Option Pricing and Hedging with Execution Costs and Market Impact
Mathematical Finance, Vol. 27, Issue 3, pp. 803-831, 2017
Olivier Edmond Guéant and Jiang Pu
Université Paris VII Denis Diderot and Europlace Institute of Finance
Date Posted: June 15, 2017
Accepted Paper Series
Portfolio Optimization and Stochastic Volatility Asymptotics
Mathematical Finance, Vol. 27, Issue 3, pp. 704-745, 2017
Jean‐Pierre Fouque, Ronnie Sircar and Thaleia Zariphopoulou
University of California Santa Barbara, Princeton University - Department of Operations Research and Financial Engineering and University of Texas at Austin - Red McCombs School of Business
Date Posted: June 15, 2017
Accepted Paper Series
Pricing for Large Positions in Contingent Claims
Mathematical Finance, Vol. 27, Issue 3, pp. 746-778, 2017
Scott Robertson
Questrom School of Business, Boston University
Date Posted: June 15, 2017
Accepted Paper Series
Shadow Prices for Continuous Processes
Mathematical Finance, Vol. 27, Issue 3, pp. 623-658, 2017
Christoph Czichowsky, Walter Schachermayer and Junjian Yang
Vienna University of Technology, Universität Wien, Fakultät für Mathematik and University of Vienna
Date Posted: June 15, 2017
Accepted Paper Series
Competition and Adverse Selection in an Online Lending Market
Don Carmichael
University of Houston - C.T. Bauer College of Business
Date Posted: June 15, 2017
Working Paper Series
9 downloads
Beta Dispersion and Market-Timing
Laura-Chloé Kuntz
University of Goettingen
Date Posted: June 14, 2017
Last Revised: June 23, 2017
Working Paper Series
163 downloads
Stability of Core-Periphery Interbank Networks
Christian Freund
Christian-Albrechts-Universität zu Kiel
Date Posted: June 14, 2017
Working Paper Series
6 downloads
Metro Area Common House Price Declines and US Recessions
Charlotte Christiansen, Jonas Nygaard Eriksen and Stig Vinther Møller
Aarhus University - CREATES, Aarhus University - CREATES and University of Aarhus - CREATES
Date Posted: June 14, 2017
Working Paper Series
11 downloads
Maxentropic and Quantitative Methods in Operational Risk Modeling
Erika Gomes-Gonçalves
Independent
Date Posted: June 14, 2017
Working Paper Series
2 downloads
Back to the Future: Backtesting Systemic Risk Measures During Historical Bank Runs and the Great Depression
Christian T. Brownlees, Benjamin Remy Chabot, Eric Ghysels and Christopher Johann Kurz
Universitat Pompeu Fabra - Department of Economics and Business, Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Board of Governors of the Federal Reserve System
Date Posted: June 14, 2017
Working Paper Series
22 downloads
A Note on the Statistical Robustness of Risk Measures
Journal of Operational Risk, Forthcoming
Mikhail Zhelonkin and Valérie Chavez-Demoulin
Erasmus University Rotterdam (EUR) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Date Posted: June 14, 2017
Accepted Paper Series
Systemic Risk for Financial Institutions of Major Petroleum-Based Economies: The Role of Oil
SAFE Working Paper No. 172
Ahmed A.A. Khalifa, Massimiliano Caporin, Michele Costola and Shawkat M. Hammoudeh
King Fahd University of Petroleum & Minerals (KFUPM), University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Research Center SAFE and Drexel University - Lebow College of Business
Date Posted: June 14, 2017
Last Revised: June 22, 2017
Working Paper Series
24 downloads
Derivatives Market: Innovations and Its Effects
Financial Derivatives: Market & Application, New Delhi, ISBN 978-81-8387-482-3, 2011
Velmurugan Palaniyappa Shanmugam
Pondicherry University - Department of Commerce
Date Posted: June 14, 2017
Accepted Paper Series
6 downloads
Cyclical Patterns in Risk Indicators Based on Financial Market Infrastructure Transaction Data
De Nederlandsche Bank Working Paper No. 558
Monique Timmermans, Ronald Heijmans and Hennie Daniels
De Nederlandsche Bank, De Nederlandsche Bank and Erasmus Research Institute of Management (ERIM)
Date Posted: June 13, 2017
Working Paper Series
16 downloads
Pricing Asian Options with Stochastic Convenience Yield and Jumps
Christian-Oliver Ewald, Yuexiang Wu and Aihua Zhang
University of Glasgow, University of Glasgow - Adam Smith Business School and University of Leicester - Department of Mathematics
Date Posted: June 13, 2017
Working Paper Series
17 downloads
Environmental Hazards and Mortgage Credit Risk: Evidence from Texas Pipeline Incidents
Minhong Xu and Yilan Xu
University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics and University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics
Date Posted: June 13, 2017
Working Paper Series
10 downloads
An Evaluation of the Different Approaches and Methodologies for Evaluating Investment Holding Companies' Credit Ratings
Efraim Benmelech
Northwestern University - Kellogg School of Management
Date Posted: June 13, 2017
Working Paper Series
13 downloads
On the Dynamic Measurement of Capital Adequacy and Leverage for Basel III
Vincent B.Y. Gan and Mohd Azhar Abdul Karim
University Putra Malaysia and University Putra Malaysia
Date Posted: June 13, 2017
Working Paper Series
9 downloads
Рейтинги и Оценка Кредитоспособности: История Развития и Тенденции в Исследованиях (Ratings and Credit Risk Measurement: The History and the Current State of Research Agenda)
Проблемы теории и практики управления. 2017. № 3. С. 98-109. (Problemy teorii i praktiki upravlenija (Russia). 2017. № 3. P. 98-109),
Olga N. Volkova, Jana V. Loginova and Irina V. Lvova
National Research University Higher School of Economics, National Research University Higher School of Economics (Moscow), Students and National Research University Higher School of Economics (Moscow), Students
Date Posted: June 12, 2017
Accepted Paper Series
2 downloads
The Golden Egg of a Black Swan
Suhayl Abidi and Manoj Joshi
Independent and Amity University, Lucknow Campus - Amity Business School
Date Posted: June 12, 2017
Last Revised: June 13, 2017
Working Paper Series
14 downloads
Risky Business: Publicly Insuring Against Rising Tides
Environmental Practice, 19(2), 87-91. doi/10.1080/14660466.2017.1309890
Chad J. McGuire
University of Massachusetts Dartmouth
Date Posted: June 12, 2017
Accepted Paper Series
Value at Risk (VaR) Historical Approach: Could It Be More Historical and Representative of the Real Financial Risk Environment?
Theoretical Economics Letters (ABS 1), 7, 951-974, 2017
Evangelos Vasileiou
University of the Aegean - Business Administration
Date Posted: June 12, 2017
Last Revised: June 19, 2017
Accepted Paper Series
21 downloads
Arbitrage Theory: Quantitative Methods
Rossano Giandomenico
Independent
Date Posted: June 10, 2017
Last Revised: June 22, 2017
Working Paper Series
18 downloads
Illiquid Collateral and Bank Lending During the European Sovereign Debt Crisis
Banque de France Working Paper No. 631
Jean Barthelemy, Vincent Bignon and Benoît Nguyen
Sciences Po - Department of Economics, Banque de France (Microeconomic research unit) and Banque de France
Date Posted: June 10, 2017
Working Paper Series
5 downloads
Chapter 18: Psychological Factors in Estate Planning
Financial Behavior: Players, Services, Products, and Markets. H. Kent Baker, Greg Filbeck, and Victor Ricciardi, editors, 337-355, New York, NY: Oxford University Press, 2017.
John Guerin and L. Paul Hood Jr.
Independent and Independent
Date Posted: June 10, 2017
Accepted Paper Series
Chapter 17: Insurance and Risk Management
Financial Behavior: Players, Services, Products, and Markets. H. Kent Baker, Greg Filbeck, and Victor Ricciardi, editors, 302-317, New York, NY: Oxford University Press, 2017.
James M. Moten and C. W. Copeland
East Central University and Independent
Date Posted: June 10, 2017
Accepted Paper Series
Perturbative Solution of the SABR Eikonal Equation
Andras Vanyolos
Independent
Date Posted: June 09, 2017
Working Paper Series
11 downloads
On a Family of Weighted Cramér–Von Mises Goodness-of-Fit Tests in Operational Risk Modeling
Journal of Operational Risk, Forthcoming
Kirill Mayorov, James Hristoskov and Narayanaswamy Balakrishnan
McMaster University, Faculty of Science, Department of Mathematics and Statistics, Students, RBC Financial Group and McMaster University
Date Posted: June 09, 2017
Accepted Paper Series
Chapter 21: Behavioral Aspects of Portfolio Investments
Financial Behavior: Players, Services, Products, and Markets. H. Kent Baker, Greg Filbeck, and Victor Ricciardi, editors, 378-396. New York, NY: Oxford University Press, 2017.
Nathan Mauck
University of Missouri - Kansas City
Date Posted: June 09, 2017
Last Revised: June 12, 2017
Accepted Paper Series
