1.
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
Quantigic Solutions LLC
Downloads
28,844
2.
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
Banc of America Merrill Lynch and Board of Governors of the Federal Reserve System
Downloads
28,274
3.
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
ARPM - Advanced Risk and Portfolio Management
Downloads
24,967
4.
Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2015 Edition
Number of pages: 120
Posted: 21 Mar 2015
Working Paper Series
New York University - Stern School of Business
Downloads
24,862
5.
Risk Management for Hedge Funds: Introduction and Overview
Number of pages: 36
Posted: 13 Sep 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 2 versions of this paper
Risk Management for Hedge Funds: Introduction and Overview
Number of pages: 36
Posted: 13 Sep 2001
Downloads
17,035
Risk Management for Hedge Funds: Introduction and Overview
Financial Analysts Journal, Vol. 57, No. 6, November/December 2001
Posted: 31 Jul 2001
Downloads
17,035
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
Bapuji Institute of Engineering & Technology and University of Mysore
Downloads
16,107
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
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 2 versions of this paper
What Happened to the Quants in August 2007?
Number of pages: 67
Posted: 21 Sep 2007
Last Revised: 17 Jan 2008
Downloads
14,801
What Happened to the Quants in August 2007?
Journal of Investment Management, Vol. 5, No. 4, Fourth Quarter 2007
Posted: 17 Jan 2008
Downloads
14,801
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
Vienna University of Economics and Business and University of Chicago - Booth School of Business
Downloads
14,493
9.
Easy Volatility Investing
Number of pages: 34
Posted: 23 Apr 2013
Working Paper Series
Double-Digit Numerics
Downloads
13,036
10.
‘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
ARPM - Advanced Risk and Portfolio Management
Downloads
12,792
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
ARPM - Advanced Risk and Portfolio Management
Downloads
12,356
12.
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
Quantigic Solutions LLC
Downloads
12,340
13.
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
Yale School of Management
Downloads
11,682
14.
Country Risk: Determinants, Measures and Implications – The 2016 Edition
Number of pages: 103
Posted: 21 Jul 2016
Working Paper Series
New York University - Stern School of Business
Downloads
11,586
15.
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
Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 2 versions of this paper
Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis
Journal of Investment Consulting, Forthcoming
Number of pages: 44
Posted: 25 May 2005
Downloads
11,267
Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis
Journal of Investment Consulting, Vol. 7, No. 2, pp. 21-44, 2005
Number of pages: 28
Posted: 05 Nov 2010
Downloads
1,805
Downloads
11,267
16.
'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
ARPM - Advanced Risk and Portfolio Management
Downloads
11,073
17.
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
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads
11,002
18.
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
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
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
Downloads
10,620
The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation
Number of pages: 34
Posted: 08 Jun 2013
Downloads
567
The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation
Number of pages: 34
Posted: 16 May 2013
Downloads
282
Downloads
10,620
19.
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
University of Miami - School of Law
Downloads
10,615
20.
Reducing Retirement Risk with a Rising Equity Glide-Path
Number of pages: 19
Posted: 13 Sep 2013
Working Paper Series
The American College and The Kitces Report & Nerd's Eye View
Downloads
10,430
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
Chungbuk National University and University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics
Downloads
10,393
22.
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
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
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
Downloads
10,193
Institutional Investors and Stock Market Volatility
NBER Working Paper No. w11722
Number of pages: 52
Posted: 18 Jan 2006
Last Revised: 14 Jul 2010
Downloads
103
Downloads
10,193
23.
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
ARPM - Advanced Risk and Portfolio Management
Downloads
10,149
24.
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
Digital Gold Institute and Intesa Sanpaolo - Financial and Market Risk Management
Downloads
10,102
25.
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
University of Pennsylvania Law School and University of California, Berkeley - School of Law
Downloads
9,870
26.
Can Hedge-Fund Returns Be Replicated?: The Linear Case
Number of pages: 54
Posted: 27 Aug 2006
Working Paper Series
Babson College - Finance Division and Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 2 versions of this paper
Can Hedge-Fund Returns Be Replicated?: The Linear Case
Number of pages: 54
Posted: 27 Aug 2006
Downloads
9,637
Can Hedge-Fund Returns Be Replicated?: The Linear Case
Journal of Investment Management, Vol. 5, No. 2, Second Quarter 2007
Posted: 30 May 2007
Downloads
9,637
27.
Efficient Simulation of the Heston Stochastic Volatility Model
Number of pages: 38
Posted: 22 Nov 2006
Working Paper Series
Bank of America Merrill Lynch
Downloads
9,551
28.
Fuel Hedging in the Airline Industry: The Case of Southwest Airlines
Number of pages: 33
Posted: 21 Aug 2004
Working Paper Series
Oklahoma State University - Stillwater - Department of Finance, Portland State University - School of Business Administration and Oklahoma State University - Stillwater - Department of Finance
Downloads
9,522
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
Harvard Business School - Finance Unit, University of Pennsylvania - Finance Department and Harvard Business School - Finance Unit
Downloads
9,436
30.
The Tactical and Strategic Value of Commodity Futures
Number of pages: 61
Posted: 03 Feb 2005
Working Paper Series
TR and Duke University - Fuqua School of Business
There are 2 versions of this paper
The Tactical and Strategic Value of Commodity Futures
Number of pages: 61
Posted: 03 Feb 2005
Downloads
9,406
The Tactical and Strategic Value of Commodity Futures
NBER Working Paper No. w11222
Number of pages: 46
Posted: 29 Apr 2005
Last Revised: 01 Sep 2010
Downloads
339
Downloads
9,406
31.
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
University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre
Downloads
9,173
32.
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
Robeco Asset Management - Quantitative Strategies and Robeco Asset Management - Quantitative Strategies
Downloads
9,157
33.
Integrated Risk Management for the Firm: A Senior Manager's Guide
Number of pages: 39
Posted: 26 Feb 2002
Working Paper Series
Claremont McKenna College - Robert Day School of Economics and Finance
Downloads
9,051
34.
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
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), AQR Capital Management, LLC and Western Michigan University
There are 2 versions of this paper
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
Downloads
8,949
The Probability of Backtest Overfitting
Journal of Computational Finance, Forthcoming
Number of pages: 31
Posted: 21 Sep 2016
Downloads
8,949
35.
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
Duke University School of Law
Downloads
8,678
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
EDHEC Business School and Indian Institute of Management (IIM), Kolkata
Downloads
8,509
37.
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
Ohio State University (OSU) - Department of Finance
There are 2 versions of this paper
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
Downloads
8,506
Risk Management Failures: What are They and When do They Happen?
Journal of Applied Corporate Finance, Vol. 20, No. 4, pp. 39-48, Fall 2008
Number of pages: 12
Posted: 18 Dec 2008
Downloads
6
Downloads
8,506
38.
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
ARPM - Advanced Risk and Portfolio Management
Downloads
8,426
39.
Preparing a Referee Report: Guidelines and Perspectives
Number of pages: 9
Posted: 11 Jan 2015
Last Revised: 21 Dec 2016
Working Paper Series
Stanford Graduate School of Business, Duke University - Fuqua School of Business and University of California, Irvine - Paul Merage School of Business
Downloads
8,334
40.
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
UBS - CDO Research, The Urban Institute - Housing Finance Policy Center and EDHEC Business School
Downloads
8,332
41.
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
Capco Institute and Aston Business School
Downloads
8,306
42.
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
Independent and Independent
Downloads
8,265
43.
Forecasting Default with the Kmv-Merton Model
AFA 2006 Boston Meetings Paper
Number of pages: 36
Posted: 31 Dec 2004
Working Paper Series
Arizona State University (ASU) - Finance Department and University of Michigan at Ann Arbor, The Stephen M. Ross School of Business
Downloads
8,220
44.
The Risk Profile of Private Equity
Number of pages: 33
Posted: 07 Feb 2004
Working Paper Series
QuantExperts and European Investment Fund
Downloads
8,177
45.
Building Diversified Portfolios that Outperform Out-of-Sample
Journal of Portfolio Management, 2016, Forthcoming
Number of pages: 31
Posted: 28 Dec 2015
Last Revised: 24 May 2016
Accepted Paper Series
AQR Capital Management, LLC
Downloads
8,162
46.
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
Independent and Independent
Downloads
8,060
47.
The Sharpe Ratio Efficient Frontier
Journal of Risk, Vol. 15, No. 2, Winter 2012/13
Number of pages: 36
Posted: 24 Apr 2011
Last Revised: 23 Apr 2014
Accepted Paper Series
Lawrence Berkeley National Laboratory and AQR Capital Management, LLC
Downloads
7,633
48.
On the Properties of Equally-Weighted Risk Contributions Portfolios
Number of pages: 23
Posted: 23 Sep 2008
Last Revised: 05 Jun 2009
Working Paper Series
Lyxor Asset Management, Amundi Asset Management and Unigestion
Downloads
7,586
49.
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
Intesa Sanpaolo - Financial and Market Risk Management
There are 2 versions of this paper
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
Downloads
7,576
Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Risk, August 2010
Posted: 15 Sep 2011
Last Revised: 10 Sep 2018
Downloads
7,576
50.
Evaluating Trading Strategies
Number of pages: 16
Posted: 03 Aug 2014
Last Revised: 26 Aug 2014
Working Paper Series
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads
7,426
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