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
27,498
2.
The Golden Dilemma
Financial Analysts Journal, vol. 69, no. 4 (July/August 2013) 10-42.
Number of pages: 48
Posted: 06 Jun 2012
Last Revised: 28 Aug 2015
Accepted Paper Series
TR and Duke University - Fuqua School of Business
There are 2 versions of this paper
The Golden Dilemma
Financial Analysts Journal, vol. 69, no. 4 (July/August 2013) 10-42.
Number of pages: 48
Posted: 06 Jun 2012
Last Revised: 28 Aug 2015
Downloads
22,646
Downloads
130
Downloads
22,646
3.
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
11,820
4.
Value-at-Risk: Implementing a Risk Measurement Standard
96-47
Number of pages: 34
Posted: 01 Feb 1997
Working Paper Series
EDHEC Risk and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads
10,325
5.
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 San Diego School of Law
Downloads
9,832
6.
Competition and Crisis in Mortgage Securitization
Indiana Law Journal, Vol. 88, p.213, (2013)
Number of pages: 59
Posted: 10 Sep 2011
Last Revised: 22 Sep 2013
Accepted Paper Series
USC Gould School of Law
There are 2 versions of this paper
Competition and Crisis in Mortgage Securitization
Indiana Law Journal, Vol. 88, p.213, (2013)
Number of pages: 59
Posted: 10 Sep 2011
Last Revised: 22 Sep 2013
Downloads
9,607
Competition and Crisis in Mortgage Securitization
Canadian Law & Economics Association Conference, September 2011
Number of pages: 54
Posted: 02 Oct 2011
Last Revised: 11 Jan 2012
Downloads
755
Downloads
9,607
7.
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
Università Milano-Bicocca - Department of Statistics and Quantitative Methods and Intesa Sanpaolo - Financial and Market Risk Management
Downloads
9,475
8.
Did Securitization Lead to Lax Screening? Evidence from Subprime Loans
EFA 2008 Athens Meetings Paper
Number of pages: 59
Posted: 03 Mar 2008
Last Revised: 11 Jan 2009
Working Paper Series
The Wharton School - University of Pennsylvania, Real Estate Department, Sorin Capital Management, LLC, Stanford University and London Business School
Downloads
9,202
9.
Discount Rate (Risk-Free Rate and Market Risk Premium) Used for 41 Countries in 2015: A Survey
Number of pages: 16
Posted: 25 Apr 2015
Last Revised: 18 Oct 2017
Working Paper Series
University of Navarra - IESE Business School, University of Navarra, IESE Business School and University of Navarra - University of Navarra, Students
Downloads
8,404
10.
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), Lawrence Berkeley National Laboratory 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
8,366
The Probability of Backtest Overfitting
Journal of Computational Finance, Forthcoming
Number of pages: 31
Posted: 21 Sep 2016
Downloads
8,366
11.
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
8,294
12.
Fallacies, Irrelevant Facts, and Myths in the Discussion of Capital Regulation: Why Bank Equity is Not Socially Expensive
Max Planck Institute for Research on Collective Goods 2013/23, Rock Center for Corporate Governance at Stanford University Working Paper No. 161, Stanford University Graduate School of Business Research Paper No. 13-7
Number of pages: 77
Posted: 04 Nov 2013
Last Revised: 12 Jan 2016
Working Paper Series
Stanford Graduate School of Business, Stanford Graduate School of Business, Max Planck Institute for Research on Collective Goods and Stanford Graduate School of Business
Downloads
7,572
13.
Non-Life Insurance: Mathematics & Statistics
Number of pages: 295
Posted: 03 Sep 2013
Last Revised: 22 Dec 2017
Working Paper Series
RiskLab, ETH Zurich
Downloads
6,940
14.
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
Lawrence Berkeley National Laboratory
Downloads
6,917
15.
Valuing Interest Rate Swaps Using OIS Discounting
Boston U. School of Management Research Paper No. 2012-11
Number of pages: 26
Posted: 09 Apr 2012
Last Revised: 12 Jul 2012
Working Paper Series
Boston University - Department of Finance & Economics
Downloads
6,652
16.
Measuring Loss Potential of Hedge Fund Strategies
Journal of Alternative Investments, Vol. 7, No. 1, pp. 7-31, Summer 2004
Number of pages: 25
Posted: 04 Jan 2005
Accepted Paper Series
Lawrence Berkeley National Laboratory and UBS Wealth Managment Research
Downloads
6,165
17.
Statistical Risk Models
The Journal of Investment Strategies 6(2) (2017) 1-40
Number of pages: 44
Posted: 15 Feb 2016
Last Revised: 12 Mar 2017
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads
5,890
18.
Pension Fund Asset Allocation and Liability Discount Rates
Number of pages: 53
Posted: 29 May 2012
Last Revised: 22 Feb 2017
Working Paper Series
Erasmus University Rotterdam, Erasmus School of Economics, Maastricht University and University of Notre Dame
Downloads
5,101
19.
Mean-Variance Investing
Columbia Business School Research Paper No. 12/49
Number of pages: 62
Posted: 19 Aug 2012
Working Paper Series
BlackRock, Inc
Downloads
4,968
20.
Forecasting a Volatility Tsunami
Number of pages: 18
Posted: 11 Apr 2017
Working Paper Series
Independent
Downloads
4,841
21.
Multifactor Risk Models and Heterotic CAPM
The Journal of Investment Strategies 5(4) (2016) 1-49
Number of pages: 49
Posted: 26 Jan 2016
Last Revised: 10 Sep 2016
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads
4,813
22.
Backtesting
Number of pages: 32
Posted: 27 Oct 2013
Last Revised: 30 Jul 2015
Working Paper Series
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads
4,688
23.
The Future of Peer-to-Peer Finance
Zeitschrift für Betriebswirtschaftliche Forschung, August/September 2013, p. 466-487
,
Number of pages: 28
Posted: 20 May 2014
Accepted Paper Series
WHU - Otto Beisheim School of Management and WHU - Otto Beisheim School of Management
Downloads
4,496
24.
The Effect of Credit Risk on the Performance of Commercial Banks in Nigeria
Number of pages: 18
Posted: 11 Dec 2014
Working Paper Series
Olabisi Onabanjo University (OOU)
Downloads
4,048
25.
Financial Crisis: Where did Risk Management Fail?
Number of pages: 17
Posted: 24 Aug 2009
Working Paper Series
affiliation not provided to SSRN
Downloads
3,852
26.
Implementing Momentum: What Have We Learned?
Number of pages: 24
Posted: 11 Dec 2017
Working Paper Series
AQR Capital Management, LLC, Yale University, Yale SOM, AQR Capital Management, LLC and AQR Capital Management
Downloads
3,766
27.
An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization
Algorithms, 6(1), pp.169-196, 2013
Number of pages: 29
Posted: 08 Jan 2013
Last Revised: 02 Jan 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads
3,710
28.
Heterotic Risk Models
Wilmott Magazine 2015(80) (2015) 40-55
Number of pages: 41
Posted: 30 Apr 2015
Last Revised: 25 Jan 2016
Accepted Paper Series
Quantigic Solutions LLC
Downloads
3,585
29.
Hedge Funds: A Dynamic Industry in Transition
Number of pages: 135
Posted: 29 Jul 2015
Working Paper Series
University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, AlphaSimplex Group, LLC and Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 3 versions of this paper
Hedge Funds: A Dynamic Industry in Transition
Number of pages: 135
Posted: 29 Jul 2015
Downloads
3,574
Hedge Funds: A Dynamic Industry in Transition
NBER Working Paper No. w21449
Number of pages: 136
Posted: 18 Aug 2015
Downloads
38
Hedge Funds: A Dynamic Industry in Transition
Annual Review of Financial Economics, Vol. 7, pp. 483-577, 2015
Posted: 11 Dec 2015
Downloads
3,574
30.
Estimating Lifetime Expected Credit Losses Under IFRS 9
Number of pages: 22
Posted: 04 Apr 2016
Last Revised: 05 Mar 2017
Working Paper Series
Unisys Machine Learning and Advanced Analytics Services
Downloads
3,573
31.
4-Factor Model for Overnight Returns
Wilmott Magazine 2015(79) (2015) 56-62
Number of pages: 19
Posted: 20 Oct 2014
Last Revised: 24 Sep 2015
Accepted Paper Series
Quantigic Solutions LLC
Downloads
3,518
32.
Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits
Number of pages: 24
Posted: 08 Apr 2016
Last Revised: 13 Apr 2016
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads
3,515
33.
Economic Aspects of Bitcoin and Other Decentralized Public-Ledger Currency Platforms
University of Chicago Coase-Sandor Institute for Law & Economics Research Paper No. 685
Number of pages: 27
Posted: 14 Apr 2014
Last Revised: 17 May 2014
Working Paper Series
Global Economics Group
Downloads
3,449
34.
Risk Management of Risk Under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
Number of pages: 31
Posted: 21 Feb 2011
Working Paper Series
National Chung Hsing University - Department of Applied Economics, Department of Finance, Complutense University of Madrid, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads
3,445
35.
Understanding ETNs on VIX Futures
Number of pages: 41
Posted: 22 Apr 2012
Last Revised: 20 May 2012
Working Paper Series
University of Sussex - School of Business, Management and Economics and University of Reading - ICMA Centre
Downloads
3,425
36.
What to Look for in a Backtest
Number of pages: 58
Posted: 12 Aug 2013
Last Revised: 05 Jul 2015
Working Paper Series
Lawrence Berkeley National Laboratory
Downloads
3,417
37.
CDS Rate Construction Methods by Machine Learning Techniques
Number of pages: 51
Posted: 15 May 2017
Last Revised: 23 Mar 2018
Working Paper Series
University of Reims Champagne-Ardenne and Birkbeck, University of London
Downloads
3,368
38.
Advances in High Frequency Strategies
Doctoral Dissertation, Complutense University, Madrid, 2011
Number of pages: 42
Posted: 14 Jul 2012
Last Revised: 08 Aug 2015
Working Paper Series
Lawrence Berkeley National Laboratory
Downloads
3,273
39.
Liquid-Claim Production, Risk Management, and Bank Capital Structure: Why High Leverage is Optimal for Banks
Charles A. Dice Center Working Paper No. 2013-8, Fisher College of Business Working Paper No. 2013-03-08, ECGI - Finance Working Paper No. 356
Number of pages: 45
Posted: 23 Apr 2013
Last Revised: 18 Oct 2014
Working Paper Series
University of Southern California - Marshall School of Business - Finance and Business Economics Department and Ohio State University (OSU) - Department of Finance
There are 2 versions of this paper
Liquid-Claim Production, Risk Management, and Bank Capital Structure: Why High Leverage is Optimal for Banks
Charles A. Dice Center Working Paper No. 2013-8, Fisher College of Business Working Paper No. 2013-03-08, ECGI - Finance Working Paper No. 356
Number of pages: 45
Posted: 23 Apr 2013
Last Revised: 18 Oct 2014
Downloads
3,217
Why High Leverage is Optimal for Banks
NBER Working Paper No. w19139
Number of pages: 22
Posted: 21 Jun 2013
Downloads
22
Downloads
3,217
40.
Risk Accounting: An Accounting Based Approach to Measuring Enterprise Risk and Risk Appetite
Number of pages: 40
Posted: 22 Oct 2012
Last Revised: 29 Jul 2013
Working Paper Series
Durham University Business School, Financial InterGroup, Durham Business School - Centre for Banking, Institutions & Development, University of York - The York Management School and University of Leeds - Leeds University Business School (LUBS)
Downloads
3,198
41.
Credit Risk Scoring Models
Number of pages: 15
Posted: 03 Feb 2010
Working Paper Series
affiliation not provided to SSRN
Downloads
3,197
42.
Deep Learning for Mortgage Risk
Number of pages: 83
Posted: 23 Jun 2016
Last Revised: 10 Mar 2018
Working Paper Series
Imperial College London - Department of Mathematics, Stanford University and Stanford University - Management Science & Engineering
Downloads
3,099
43.
Asset Quality Misrepresentation by Financial Intermediaries: Evidence from RMBS Market
Journal of Finance, Forthcoming, Columbia Business School Research Paper No. 13-7
, Fama-Miller Working Paper, Kreisman Working Papers Series in Housing Law and Policy No. 9
Number of pages: 74
Posted: 13 Feb 2013
Last Revised: 08 Jan 2015
Working Paper Series
Columbia Business School - Finance and Economics, Stanford University and Columbia University - Columbia Business School
There are 2 versions of this paper
Asset Quality Misrepresentation by Financial Intermediaries: Evidence from RMBS Market
Journal of Finance, Forthcoming, Columbia Business School Research Paper No. 13-7
, Fama-Miller Working Paper, Kreisman Working Papers Series in Housing Law and Policy No. 9
Number of pages: 74
Posted: 13 Feb 2013
Last Revised: 08 Jan 2015
Downloads
3,074
Asset Quality Misrepresentation by Financial Intermediaries: Evidence from Rmbs Market
NBER Working Paper No. w18843
Number of pages: 80
Posted: 12 Mar 2013
Last Revised: 21 Mar 2013
Downloads
18
Downloads
3,074
44.
Key Factors in Determining the Financial Performance of the Indian Banking Sector
Number of pages: 78
Posted: 02 Aug 2012
Working Paper Series
University of East London
Downloads
2,961
45.
The Bitcoin Blockchain as Financial Market Infrastructure: A Consideration of Operational Risk
18 NYU Journal of Legislation and Public Policy 837 (2015)
Number of pages: 58
Posted: 17 Mar 2015
Last Revised: 28 Jan 2016
Accepted Paper Series
St. Mary's University School of Law
Downloads
2,949
46.
Shadow Insurance
Econometrica, Vol. 84, No. 3, 2016, Swiss Finance Institute Research Paper No. 14-64
Number of pages: 50
Posted: 06 Sep 2013
Last Revised: 19 May 2016
Accepted Paper Series
New York University (NYU) - Department of Finance and Princeton University - Department of Economics
There are 2 versions of this paper
Shadow Insurance
Econometrica, Vol. 84, No. 3, 2016, Swiss Finance Institute Research Paper No. 14-64
Number of pages: 50
Posted: 06 Sep 2013
Last Revised: 19 May 2016
Downloads
2,932
Downloads
2,932
47.
KVA: Capital Valuation Adjustment
Risk, December 2014
Number of pages: 25
Posted: 24 Feb 2014
Last Revised: 06 Nov 2014
Accepted Paper Series
Scotiabank, MUFG Securities EMEA plc and Lloyds Banking Group
Downloads
2,928
48.
The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality
Journal of Portfolio Management, 40 (5), pp. 94-107. 2014 (40th Anniversary Special Issue).
Number of pages: 22
Posted: 01 Jul 2014
Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads
2,885
49.
A Theoretical and Empirical Comparison of Systemic Risk Measures
HEC Paris Research Paper No. FIN-2014-1030
Number of pages: 47
Posted: 21 Dec 2011
Last Revised: 21 Jan 2014
Working Paper Series
Université Paris Dauphine - LEDa-SDFi, University of Orleans, University of Orleans and HEC Paris - Finance Department
Downloads
2,737
50.
Government Guarantees and Banks' Earnings Management
Number of pages: 56
Posted: 21 Jun 2016
Last Revised: 24 Apr 2018
Working Paper Series
Cornell University, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University, Samuel Curtis Johnson Graduate School of Management, Department of Finance and Accounting, Students
Downloads
2,730
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