SSRN Risk Management eJournal

1.

A Guide to Modeling Counterparty Credit Risk

GARP Risk Review, July/August 2007

Number of pages: 7 Posted: 16 Jan 2008 Last Revised: 04 Mar 2008

Accepted Paper Series

Steven H. Zhu and Michael Pykhtin

Banc of America Merrill Lynch and Board of Governors of the Federal Reserve System

Downloads 27,894

2.

Exercises in Advanced Risk and Portfolio Management (ARPM) with Solutions and Code

Number of pages: 281 Posted: 11 Aug 2009 Last Revised: 08 Mar 2016

Working Paper Series

Attilio Meucci

ARPM - Advanced Risk and Portfolio Management

Downloads 23,697

3.

Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2015 Edition

Number of pages: 120 Posted: 21 Mar 2015

Working Paper Series

Aswath Damodaran

New York University - Stern School of Business

Downloads 23,591

4.

101 Formulaic Alphas

Wilmott Magazine 2016(84) (2016) 72-80

Number of pages: 22 Posted: 10 Dec 2015 Last Revised: 29 Jul 2016

Accepted Paper Series

Zura Kakushadze

Quantigic Solutions LLC

Downloads 23,323

5.

Risk Management for Hedge Funds: Introduction and Overview

Number of pages: 36 Posted: 13 Sep 2001

Working Paper Series

Andrew W. Lo

Massachusetts Institute of Technology (MIT) - Sloan School of Management

There are 2 versions of this paper

Downloads 16,469

6.

Risk Management in Commercial Banks (A Case Study of Public and Private Sector Banks)

Indian Institute of Capital Markets 9th Capital Markets Conference Paper

Number of pages: 22 Posted: 25 Jan 2006

Working Paper Series

Rekha Arunkumar and G. Kotreshwar

Bapuji Institute of Engineering & Technology and University of Mysore

Downloads 15,001

7.

What Happened to the Quants in August 2007?

Number of pages: 67 Posted: 21 Sep 2007 Last Revised: 17 Jan 2008

Working Paper Series

Amir Khandani and Andrew W. Lo

Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Sloan School of Management

There are 2 versions of this paper

Downloads 14,498

8.

The Crisis of Fair Value Accounting: Making Sense of the Recent Debate

Chicago Booth Research Paper No. 33, Accounting, Organizations and Society, Vol. 34, 2009

Number of pages: 28 Posted: 21 Apr 2009

Accepted Paper Series

Christian Laux and Christian Leuz

Vienna University of Economics and Business and University of Chicago - Booth School of Business

Downloads 13,924

9.

‘The Prayer’ Ten-Step Checklist for Advanced Risk and Portfolio Management

Number of pages: 29 Posted: 11 May 2011 Last Revised: 14 May 2011

Working Paper Series

Attilio Meucci

ARPM - Advanced Risk and Portfolio Management

Downloads 12,240

10.

Slapped in the Face by the Invisible Hand: Banking and the Panic of 2007

Number of pages: 53 Posted: 18 May 2009

Working Paper Series

Gary B. Gorton

Yale School of Management

Downloads 11,151

11.

Quant Nugget 2: Linear vs. Compounded Returns – Common Pitfalls in Portfolio Management

GARP Risk Professional, pp. 49-51, April 2010

Number of pages: 5 Posted: 09 Apr 2010 Last Revised: 15 Nov 2010

Accepted Paper Series

Attilio Meucci

ARPM - Advanced Risk and Portfolio Management

Downloads 10,957

12.

Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis

Journal of Investment Consulting, Forthcoming

Number of pages: 44 Posted: 25 May 2005

Accepted Paper Series

Andrew W. Lo

Massachusetts Institute of Technology (MIT) - Sloan School of Management

There are 2 versions of this paper

Downloads 10,840

13.

Easy Volatility Investing

Number of pages: 34 Posted: 23 Apr 2013

Working Paper Series

Tony Cooper

Double-Digit Numerics

Downloads 10,765

14.

Mean-Reversion and Optimization

Journal of Asset Management 16(1) (2015) 14-40

Number of pages: 41 Posted: 11 Aug 2014 Last Revised: 15 Feb 2016

Accepted Paper Series

Zura Kakushadze

Quantigic Solutions LLC

Downloads 10,640

15.

SRISK: A Conditional Capital Shortfall Measure of Systemic Risk

Number of pages: 47 Posted: 18 May 2010 Last Revised: 05 Aug 2016

Working Paper Series

Christian T. Brownlees and Robert F. Engle

Universitat Pompeu Fabra - Department of Economics and Business and New York University - Leonard N. Stern School of Business - Department of Economics

Downloads 10,183

16.

Risk Management and Corporate Governance: The Case of Enron

Connecticut Law Review, Vol. 35, No. 1157, 2003

Number of pages: 28 Posted: 05 Jan 2004

Accepted Paper Series

Robert Rosen

University of Miami - School of Law

Downloads 10,172

17.

'P' Versus 'Q': Differences and Commonalities between the Two Areas of Quantitative Finance

GARP Risk Professional, pp. 47-50, February 2011

Number of pages: 8 Posted: 23 Jan 2011

Accepted Paper Series

Attilio Meucci

ARPM - Advanced Risk and Portfolio Management

Downloads 9,962

18.

Institutional Investors and Stock Market Volatility

MIT Department of Economics Working Paper No. 03-30

Number of pages: 51 Posted: 11 Sep 2003 Last Revised: 01 Jun 2010

Accepted Paper Series

Xavier Gabaix, Parameswaran Gopikrishnan, Vasiliki Plerou and H. Eugene Stanley

Harvard University - Department of Economics, Boston University - Center for Polymer Studies, Boston University - Center for Polymer Studies and Boston University - Center for Polymer Studies

There are 2 versions of this paper

Downloads 9,940

19.

Review of Discrete and Continuous Processes in Finance: Theory and Applications

Number of pages: 33 Posted: 05 Apr 2009 Last Revised: 06 Dec 2010

Working Paper Series

Attilio Meucci

ARPM - Advanced Risk and Portfolio Management

Downloads 9,901

20.

The Skin In The Game Heuristic for Protection Against Tail Events

Review of Behavioral Economics, 2014, 1: 1–21, NYU Tandon Research Paper No. 2298292,

Number of pages: 12 Posted: 26 Jul 2013 Last Revised: 27 Jun 2017

Accepted Paper Series

Nassim Nicholas Taleb and Constantine Sandis

NYU-Tandon School of Engineering and Oxford Brookes University

Downloads 9,871

21.

The Profitability of Technical Analysis: A Review

AgMAS Project Research Report No. 2004-04

Number of pages: 106 Posted: 15 Oct 2004

Working Paper Series

Cheol-Ho Park and Scott H. Irwin

Chungbuk National University and University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics

Downloads 9,859

22.

The Promise and Perils of Credit Derivatives

University of Cincinnati Law Review, Vol. 75, p. 1019, 2007, U of Penn, Inst for Law & Econ Research Paper No. 06-22, U of Penn Law School, Public Law Working Paper No. 06-36, San Diego Legal Studies Paper No. 07-74

Number of pages: 33 Posted: 13 Sep 2006 Last Revised: 20 Mar 2010

Accepted Paper Series

David A. Skeel Jr. and Frank Partnoy

University of Pennsylvania Law School and University of San Diego School of Law

Downloads 9,686

23.

The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation

Number of pages: 42 Posted: 08 Aug 2012 Last Revised: 27 Aug 2015

Working Paper Series

Andrew Clare, James Seaton, Peter N. Smith and Steve Thomas

City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School

There are 3 versions of this paper

Downloads 9,665

24.

Reducing Retirement Risk with a Rising Equity Glide-Path

Number of pages: 19 Posted: 13 Sep 2013

Working Paper Series

Wade D. Pfau and Michael E. Kitces

The American College and The Kitces Report & Nerd's Eye View

Downloads 9,633

25.

Country Risk: Determinants, Measures and Implications – The 2016 Edition

Number of pages: 103 Posted: 21 Jul 2016

Working Paper Series

Aswath Damodaran

New York University - Stern School of Business

Downloads 9,621

26.

The Illusions of Dynamic Replication

Quantitative Finance, Vol. 5, No. 4, pp. 323-326, August 2005

Number of pages: 5 Posted: 09 May 2005 Last Revised: 16 Nov 2012

Accepted Paper Series

Emanuel Derman and Nassim Nicholas Taleb

Columbia University and NYU-Tandon School of Engineering

Downloads 9,603

27.

Can Hedge-Fund Returns Be Replicated?: The Linear Case

Number of pages: 54 Posted: 27 Aug 2006

Working Paper Series

Jasmina Hasanhodzic and Andrew W. Lo

Babson College - Finance Division and Massachusetts Institute of Technology (MIT) - Sloan School of Management

There are 2 versions of this paper

Downloads 9,389

28.

Fuel Hedging in the Airline Industry: The Case of Southwest Airlines

Number of pages: 33 Posted: 21 Aug 2004

Working Paper Series

David Carter, Daniel A. Rogers and Betty J. Simkins

Oklahoma State University - Stillwater - Department of Finance, Portland State University - School of Business Administration and Oklahoma State University - Stillwater - Department of Finance

Downloads 9,189

29.

The Economics of Structured Finance

Harvard Business School Finance Working Paper No. 09-060

Number of pages: 37 Posted: 22 Oct 2008

Working Paper Series

Joshua D. Coval, Jakub W. Jurek and Erik Stafford

Harvard Business School - Finance Unit, University of Pennsylvania - Finance Department and Harvard Business School - Finance Unit

Downloads 9,172

30.

Efficient Simulation of the Heston Stochastic Volatility Model

Number of pages: 38 Posted: 22 Nov 2006

Working Paper Series

Leif B. G. Andersen

Bank of America Merrill Lynch

Downloads 8,985

31.

The Tactical and Strategic Value of Commodity Futures

Number of pages: 61 Posted: 03 Feb 2005

Working Paper Series

Claude B. Erb and Campbell R. Harvey

TR and Duke University - Fuqua School of Business

There are 2 versions of this paper

Downloads 8,964

32.

The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategies

ISMA Finance Discussion Paper No. 2002-08

Number of pages: 55 Posted: 05 Aug 2002

Working Paper Series

Carol Alexander and Anca Dimitriu

University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre

Downloads 8,828

33.

Integrated Risk Management for the Firm: A Senior Manager's Guide

Number of pages: 39 Posted: 26 Feb 2002

Working Paper Series

Lisa K. Meulbroek

Claremont McKenna College - Robert Day School of Economics and Finance

Downloads 8,745

34.

Systemic Risk

Duke Law School Legal Studies Paper No. 163, Georgetown Law Journal, Vol. 97, No. 1, 2008

Number of pages: 58 Posted: 19 Mar 2008 Last Revised: 26 Sep 2008

Accepted Paper Series

Steven L. Schwarcz

Duke University School of Law

Downloads 8,408

35.

Economists' Hubris - The Case of Risk Management

Journal of Financial Transformation, Vol. 28, pp. 25-35, April 2010

Number of pages: 10 Posted: 16 Feb 2010 Last Revised: 17 Mar 2010

Accepted Paper Series

Shahin Shojai and George Feiger

Capco Institute and Aston Business School

Downloads 8,264

36.

Securitization: The Tool of Financial Transformation

Yale ICF Working Paper No. 07-07

Number of pages: 14 Posted: 28 Jun 2007

Working Paper Series

Frank J. Fabozzi and Vinod Kothari

EDHEC Business School and Indian Institute of Management (IIM), Kolkata

Downloads 8,232

37.

Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication

Alternative Investment Research Centre Working Paper No. 27, Cass Business School Research Paper

Number of pages: 52 Posted: 30 Nov 2005

Working Paper Series

Harry M. Kat and Helder P. Palaro

Independent and Independent

Downloads 8,152

38.

Collateralized Debt Obligations and Credit Risk Transfer

Yale ICF Working Paper No. 07-06

Number of pages: 14 Posted: 02 Jul 2007

Working Paper Series

Douglas J. Lucas, Laurie S. Goodman and Frank J. Fabozzi

UBS - CDO Research, The Urban Institute - Housing Finance Policy Center and EDHEC Business School

Downloads 8,118

39.

Factors on Demand: Building a Platform for Portfolio Managers, Risk Managers and Traders

Risk, Vol. 23, No.7, p. 84-89

Number of pages: 28 Posted: 08 Mar 2010 Last Revised: 11 Oct 2010

Accepted Paper Series

Attilio Meucci

ARPM - Advanced Risk and Portfolio Management

Downloads 8,096

40.

Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask

Number of pages: 82 Posted: 18 Feb 2013 Last Revised: 03 Apr 2013

Working Paper Series

Ferdinando M. Ametrano and Marco Bianchetti

Milan Bicocca University - Department of Statistics and Quantitative Methods and Intesa Sanpaolo - Financial and Market Risk Management

Downloads 8,007

41.

The Volatility Effect: Lower Risk Without Lower Return

Journal of Portfolio Management, pp. 102-113, Fall 2007, ERIM Report Series Reference No. ERS-2007-044-F&A

Number of pages: 23 Posted: 17 Apr 2007

Accepted Paper Series

David Blitz and Pim van Vliet

Robeco Asset Management - Quantitative Strategies and Robeco Asset Management - Quantitative Strategies

Downloads 7,962

42.

Hedge Fund Returns: You Can Make Them Yourself!

AIRC Working Paper No. 0023, Cass Business School Research Paper

Number of pages: 15 Posted: 15 Sep 2005

Working Paper Series

Harry M. Kat and Helder P. Palaro

Independent and Independent

Downloads 7,959

43.

The Risk Profile of Private Equity

Number of pages: 33 Posted: 07 Feb 2004

Working Paper Series

Tom Weidig and Pierre-Yves Mathonet

QuantExperts and European Investment Fund

Downloads 7,956

44.

Risk Management Failures: What are They and When do They Happen?

Fisher College of Business Working Paper No. 2008-03-017, Charles A. Dice Center Working Paper No. 2008-18

Number of pages: 25 Posted: 06 Oct 2008

Working Paper Series

René M. Stulz

Ohio State University (OSU) - Department of Finance

There are 2 versions of this paper

Downloads 7,830

45.

Forecasting Default with the KMV-Merton Model

AFA 2006 Boston Meetings Paper

Number of pages: 36 Posted: 31 Dec 2004

Working Paper Series

Sreedhar T. Bharath and Tyler Shumway

Arizona State University - W.P. Carey School of Business and University of Michigan at Ann Arbor, The Stephen M. Ross School of Business

Downloads 7,642

46.

Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves

Number of pages: 29 Posted: 29 Jan 2009 Last Revised: 22 Jun 2016

Working Paper Series

Marco Bianchetti

Intesa Sanpaolo - Financial and Market Risk Management

There are 2 versions of this paper

Downloads 7,371

47.

Portfolio Performance Manipulation and Manipulation-Proof Performance Measures

Yale ICF Working Paper No. 02-08, AFA 2003 Washington, DC Meetings

Number of pages: 48 Posted: 22 Mar 2002

Working Paper Series

William N. Goetzmann, Jonathan E. Ingersoll Jr., Matthew I. Spiegel and Ivo Welch

Yale School of Management - International Center for Finance, Yale School of Management - International Center for Finance, Yale University - Yale School of Management, International Center for Finance and University of California, Los Angeles (UCLA)

There are 2 versions of this paper

Downloads 7,314

48.

Finiteness of Variance is Irrelevant in the Practice of Quantitative Finance

Complexity, Vol. 14, Issue 3, pp. 66–76, January/February 2009,

Number of pages: 12 Posted: 09 Jun 2008 Last Revised: 16 Nov 2012

Working Paper Series

Nassim Nicholas Taleb

NYU-Tandon School of Engineering

Downloads 7,286

49.

The Probability of Backtest Overfitting

Journal of Computational Finance (Risk Journals), 2015, Forthcoming

Number of pages: 34 Posted: 16 Sep 2013 Last Revised: 05 Jul 2015

Accepted Paper Series

David H. Bailey, Jonathan M. Borwein, Marcos Lopez de Prado and Qiji Jim Zhu

Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC and Western Michigan University

There are 2 versions of this paper

Downloads 7,240

50.

Preparing a Referee Report: Guidelines and Perspectives

Number of pages: 9 Posted: 11 Jan 2015 Last Revised: 21 Dec 2016

Working Paper Series

Jonathan Berk, Campbell R. Harvey and David A. Hirshleifer

Stanford Graduate School of Business, Duke University - Fuqua School of Business and University of California, Irvine - Paul Merage School of Business

Downloads 7,196

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