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Risk Management & Analysis in Financial Institutions eJournal
850,624 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 4,453
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Incl. Electronic Paper Credit Risk Management and Profitability of Selected Rural Banks in Upper East Region
Journal of Excellence, Leadership, & Stewardship, Vol. 6, No. 2, pp 43 - 55, Forthcoming
Daniel Wireko and Abednego Forson
Kwame Nkrumah University of Science and Technology (KNUST) and Kwame Nkrumah University of Science and Technology (KNUST)
Date Posted: May 26, 2017
Accepted Paper Series
2 downloads

Incl. Electronic Paper A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors
FIRN Research Paper Forthcoming
Mesias Alfeus, Martino Grasselli and Erik Schlogl
UTS Business School/Finance Discipline group, University of Padova - Department of Mathematics and University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group
Date Posted: May 25, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Does Operational Risk Disclosure Quality Increase Operating Cash Flow of UAE Islamic and Conventional Banks?
Haitham Nobanee and Nejla Ellili
Abu Dhabi University and Abu Dhabi University
Date Posted: May 25, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Corporate Risk Disclosure of Islamic and Conventional Banks
Nejla Ellili and Haitham Nobanee
Abu Dhabi University and Abu Dhabi University
Date Posted: May 25, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper How Does Risk Flow in the Credit Default Swap Market?
ECB Working Paper No. 2041
Marco D'Errico, Stefano Battiston, Tuomas A. Peltonen and Martin Scheicher
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance, European Central Bank (ECB) and European Central Bank (ECB)
Date Posted: May 24, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper CDS Rate Construction Methods by Machine Learning Techniques (Presentation Slides)
Zhongmin Luo and Raymond Brummelhuis
Standard Chartered Bank, London and University of Reims Champagne-Ardenne
Date Posted: May 24, 2017
Working Paper Series
32 downloads

Incl. Electronic Paper Distortion Measures on Homogeneous Financial Derivatives
John A Major
Guy Carpenter & Company, LLC
Date Posted: May 24, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper Rating Migration and Bond Valuation: Decomposing Rating Migration Matrices from Market Data Via Default Probability Term Structures
Brian Barnard
Independent
Date Posted: May 24, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Research of the Causalities US Stock Market Returns and G-7 Countries’ Stock Market Volatilities from Pre-Crisis to Post-Crisis of 2008
Advances in Management & Applied Economics, 7(4), 2017, 33-42
Ihsan Erdem Kayral and Semra Karacaer
The Scientific and Technological Research Council of Turkey (TUBITAK) and Hacettepe University
Date Posted: May 24, 2017
Accepted Paper Series
11 downloads

Incl. Electronic Paper Does Risk Disclosure Reporting Quality Reduce Credit Risk?
Haitham Nobanee and Nejla Ellili
Abu Dhabi University and Abu Dhabi University
Date Posted: May 23, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Credit-Loans Non-Local Transactions and Surface-Like Waves
Victor Olkhov
TVEL Fuel Company
Date Posted: May 22, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Macro-Finance Surface-Like Waves of Investment and Profits
Victor Olkhov
TVEL Fuel Company
Date Posted: May 22, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Forecasting Bankruptcy: An European Analysis
Daniela Arzu, Sarah Di Gloria and Guido Max Mantovani
Ca Foscari University of Venice - Department of Management, Ca Foscari University of Venice and Ca' Foscari University in Venice – Department of Management
Date Posted: May 20, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Para Entender La Macrogestión De Liquidez: Comentario Sobre Inside and Outside Liquidity De Holmström Y Tirole (To Understand the Macro-Management of Liquidity: A Comment About Inside and Outside Liquidity by Holmström and Tirole)
ODEON, No. 11, Julio-Diciembre 2016
Orlando Guedez Calderín
Center for the Dissemination of Economic Knowledge (CEDICE)
Date Posted: May 20, 2017
Accepted Paper Series
2 downloads

Incl. Electronic Paper Distributed Calibration of Option Pricing Models with Multiple Contracts Written on Different Underlying Assets
Juho Kanniainen and Marko Koskinen
Tampere University of Technology and Techila Technologies Ltd
Date Posted: May 19, 2017
Working Paper Series
5 downloads

Pricing and Hedging Options with Rollover Parameters
Journal of Risk, Forthcoming
Sol Kim
Hankuk University of Foreign Studies
Date Posted: May 19, 2017
Accepted Paper Series

Incl. Electronic Paper Continuous Time Macro-Finance, Financial Transactions and Waves
Victor Olkhov
TVEL Fuel Company
Date Posted: May 19, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper Quantitative Wave Model of Macro-Finance
International Review of Financial Analysis, Vol. 50, 143-150, 2017
Victor Olkhov
TVEL Fuel Company
Date Posted: May 18, 2017
Accepted Paper Series
21 downloads

Incl. Electronic Paper Long-Dated Swaption Volatility Approximation in the Forward-LIBOR Model
Jacques van Appel, Thomas A McWalter and Johan de Kock
University of Johannesburg, University of Cape Town (UCT) and Libfin, Liberty Life
Date Posted: May 17, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Robust Bootstrap Densities for Dynamic Conditional Correlations: Implications for Portfolio Selection and Value-at-Risk
Carlos Trucíos, Luiz Koodi Hotta and Esther Ruiz
Sao Paulo School of Economics, FGV., University of Campinas (UNICAMP) - Department of Statistics and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Date Posted: May 17, 2017
Working Paper Series
26 downloads

Incl. Electronic Paper Ranking Analysis for Expectation of Binary Outcomes: A Bayesian Approach
Yang Liu
HSBC Bank (Canada)
Date Posted: May 16, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper The Impact of Relative Seniority between Bank Debt and Deposit on Bank Credit Spreads under Stressful Conditions
James Chen
Research137 LLC
Date Posted: May 16, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper Efficient Estimation of Distributional Tail Shape and the Extremal Index With Applications to Risk Management
Journal of Mathematical Finance,Vol. 6, pp. 626-659, 2016
Travis Sapp
Iowa State University - Department of Finance
Date Posted: May 16, 2017
Accepted Paper Series
29 downloads

Incl. Electronic Paper What's (Still) Wrong with Credit Ratings
Washington Law Review, Forthcoming, San Diego Legal Studies Paper No. 17-285
Frank Partnoy
University of San Diego School of Law
Date Posted: May 16, 2017
Working Paper Series
34 downloads

Incl. Electronic Paper The Deferred Tax Asset Valuation Allowance and Firm Creditworthiness
Alexander Edwards
University of Toronto - Rotman School of Management
Date Posted: May 16, 2017
Last Revised: May 22, 2017
Working Paper Series
31 downloads

Incl. Electronic Paper Do Stress Tests Matter? Evidence from the 2014 and 2016 Stress Tests
ECB Working Paper No. 2054
Oana Maria Georgescu, Marco Gross, Daniel Kapp and Christoffer Kok
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Date Posted: May 16, 2017
Working Paper Series
33 downloads

Incl. Electronic Paper Conduct Risk - Distribution Models with Very Thin Tails
Peter Mitic
Santander UK
Date Posted: May 16, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper Random Geometric Analysis in the Stochastic Volatility: Financial Markets States Degeneracy
Analysis and Computations Journal, Forthcoming
Siyabonga Goodwill Chule
Mathematical Sciences (MS) centre, the African Institute for MS
Date Posted: May 15, 2017
Last Revised: May 22, 2017
Accepted Paper Series
23 downloads

Incl. Fee Electronic Paper A Multivariate Analysis of Intercompany Loss Triangles
Journal of Risk and Insurance, Vol. 84, Issue 2, pp. 717-737, 2017
Peng Shi
University of Wisconsin - Madison
Date Posted: May 15, 2017
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Organization Structure and Corporate Demand for Reinsurance: The Case of the Japanese Keiretsu
Journal of Risk and Insurance, Vol. 84, Issue 2, pp. 599-629, 2017
Noriyoshi Yanase and Piman Limpaphayom
Tokyo Keizai University and Sasin GIBA of Chulalongkorn University
Date Posted: May 15, 2017
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Patent Litigation Insurance
Journal of Risk and Insurance, Vol. 84, Issue 2, pp. 631-660, 2017
Anne Duchene
IPAG Business School
Date Posted: May 15, 2017
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Managing Financially Distressed Pension Plans in the Interest of Beneficiaries
Journal of Risk and Insurance, Vol. 84, Issue 2, pp. 539-565, 2017
Joachim Inkmann, David P. Blake and Zhen Shi
University of Melbourne - Department of Finance, City University London - Cass Business School - The Pensions Institute and University of Melbourne
Date Posted: May 15, 2017
Accepted Paper Series
1 downloads

Incl. Electronic Paper CDS Rate Construction Methods by Machine Learning Techniques
Raymond Brummelhuis and Zhongmin Luo
University of Reims Champagne-Ardenne and Standard Chartered Bank, London
Date Posted: May 15, 2017
Working Paper Series
334 downloads

Incl. Electronic Paper Finance as Worship: A Survey of Islamic Finance Research
CEIF Discussion Paper (4/2017)
Mohammed Alzahrani and William L. Megginson
King Fahd University of Petroleum & Minerals and University of Oklahoma
Date Posted: May 15, 2017
Working Paper Series
59 downloads

Does Higher-Frequency Data Always Help to Predict Longer-Horizon Volatility?
Journal of Risk, Forthcoming
Ben Charoenwong and Guanhao Feng
University of Chicago, Booth School of Business, Students and University of Chicago, Booth School of Business, Students
Date Posted: May 13, 2017
Accepted Paper Series

Incl. Electronic Paper Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems
IMF Working Paper No. 17/102
Andreas (Andy) Jobst, Li Lian Ong and Christian Schmieder
World Bank Group, GIC and Bank for International Settlements (BIS) - Financial Stability Board (FSB)
Date Posted: May 12, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Bank Rating Gaps as Proxies for Systemic Risk
Lu Wang
University of Alberta
Date Posted: May 11, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Pricing and Hedging GDP-Linked Bonds in Incomplete Markets
Andrea Consiglio and Stavros A. Zenios
University of Palermo and University of Cyprus
Date Posted: May 11, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper CLO Trading and Collateral Manager Bank Affiliation
Stavros Peristiani and João A. C. Santos
Federal Reserve Bank of New York and Federal Reserve Bank of New York
Date Posted: May 11, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper An Approximation of the Non-Life Reserve Risk Distribution Using the Cornish-Fisher Expansion
Eric Dal Moro
SCOR Global P&C SE Reinsurance (Zurich Branch)
Date Posted: May 10, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Diversification Benefits Under Multivariate Second Order Regular Variation
ESSEC WORKING PAPER 1706
Bikramjit Das and Marie Kratz
Singapore University of Technology and Design (SUTD) and Bikramjit Das, Singapore University of Technology and Design (SUTD)
Date Posted: May 10, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper LSM Reloaded - Differentiate xVA on your iPad Mini
Brian Norsk Huge and Antoine Savine
Danske Bank and Danske Bank
Date Posted: May 10, 2017
Last Revised: May 25, 2017
Working Paper Series
93 downloads

Incl. Electronic Paper Diversity in Financial Risk Management: Revisiting the Lehman Sisters Hypothesis
Elizabeth A. Sheedy and Martin Lubojanski
Macquarie University Department of Applied Finance and Actuarial Studies and Technische Universität München (TUM)
Date Posted: May 10, 2017
Working Paper Series
29 downloads

Incl. Electronic Paper Information Sharing and Lender Specialization: Evidence from the U.S. Commercial Lending Market
Jose Maria Liberti, Jason Sturgess and Andrew Sutherland
Northwestern University - Kellogg School of Management, DePaul University and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: May 10, 2017
Last Revised: May 23, 2017
Working Paper Series
40 downloads

Incl. Electronic Paper Moment Estimators for Autocorrelated Time Series and Their Application to Default Correlations
Christoph Frei and Marcus Wunsch
University of Alberta and UBS AG
Date Posted: May 10, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Forward-Looking and Incentive-Compatible Operational Risk Capital Framework
Marco Migueis
Federal Reserve Board
Date Posted: May 10, 2017
Working Paper Series
177 downloads

Incl. Electronic Paper Decoding Stock Market with Quant Alphas
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Date Posted: May 10, 2017
Working Paper Series
521 downloads

Incl. Electronic Paper Currency Hedging
Roberto Jose Obregon, Frank Benham, Edmund Walsh and Timur Yontar
Meketa Investment Group, Meketa Investment Group, Meketa Investment Group and Meketa Investment Group
Date Posted: May 09, 2017
Working Paper Series
110 downloads

Incl. Fee Electronic Paper Financial Distress Prediction in an International Context: A Review and Empirical Analysis of Altman's Z‐Score Model
Journal of International Financial Management & Accounting, Vol. 28, Issue 2, pp. 131-171, 2017
Edward I. Altman, Malgorzata Iwanicz-Drozdowska, Erkki K. Laitinen and Arto Suvas
New York University (NYU) - Salomon Center, Warsaw School of Economics, Institute of Finance, University of Vaasa and University of Vaasa
Date Posted: May 09, 2017
Accepted Paper Series
2 downloads

Incl. Electronic Paper Credit Information Sharing, Loan Loss Recognition Timeliness, and Financial Stability
Karthik Balakrishnan and Aytekin Ertan
London Business School and London Business School
Date Posted: May 08, 2017
Working Paper Series
35 downloads


 

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