SSRN Risk Management & Analysis in Financial Institutions eJournal

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

Zura Kakushadze

Quantigic Solutions LLC

Downloads 29,480

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

Claude B. Erb and Campbell R. Harvey

TR and Duke University - Fuqua School of Business

There are 2 versions of this paper

Downloads 22,914

3.

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 14,571

4.

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 12,516

5.

Value-at-Risk: Implementing a Risk Measurement Standard

96-47

Number of pages: 34 Posted: 01 Feb 1997

Working Paper Series

Christopher Marshall and Michael Siegel

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

Downloads 10,414

6.

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

Digital Gold Institute and Intesa Sanpaolo - Financial and Market Risk Management

Downloads 10,389

7.

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

Michael Simkovic

USC Gould School of Law

There are 2 versions of this paper

Downloads 9,917

8.

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 and Frank Partnoy

University of Pennsylvania Law School and University of California, Berkeley - School of Law

Downloads 9,894

9.

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

Benjamin J. Keys, Tanmoy K. Mukherjee, Amit Seru and Vikrant Vig

The Wharton School - University of Pennsylvania, Real Estate Department, Sorin Capital Management, LLC, Stanford University and London Business School

Downloads 9,251

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

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

Lawrence Berkeley National Laboratory, University of Newcastle (Australia), AQR Capital Management, LLC and Western Michigan University

There are 2 versions of this paper

Downloads 9,219

11.

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

Marcos Lopez de Prado

AQR Capital Management, LLC

Downloads 8,798

12.

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

Pablo Fernandez, Alberto Ortiz Pizarro and Isabel Fernández Acín

University of Navarra - IESE Business School, University of Navarra, IESE Business School and University of Navarra - University of Navarra, Students

Downloads 8,516

13.

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 8,314

14.

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 (ASU) - Finance Department and University of Michigan at Ann Arbor, The Stephen M. Ross School of Business

Downloads 8,300

15.

A Comparative Anatomy of Credit Risk Models

Journal of Banking and Finance, Vol. 24, No. 1/2, 2000, Board of Governors of the Federal Reserve System FEDS Paper No. 98-47

Number of pages: 29 Posted: 03 Mar 1999 Last Revised: 30 Jan 2011

Accepted Paper Series

Michael B. Gordy

Federal Reserve Board

Downloads 7,985

16.

Non-Life Insurance: Mathematics & Statistics

Number of pages: 295 Posted: 03 Sep 2013 Last Revised: 22 Dec 2017

Working Paper Series

Mario V. Wuthrich

RiskLab, ETH Zurich

Downloads 7,881

17.

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

Anat R. Admati, Peter M. DeMarzo, Martin F. Hellwig and Paul C. Pfleiderer

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 7,711

18.

Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices

Number of pages: 38 Posted: 24 Mar 2000

Working Paper Series

Suleyman Basak and Alex Shapiro

London Business School and New York University (NYU) - Department of Finance

There are 3 versions of this paper

Downloads 7,009

19.

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

Donald J. Smith

Boston University - Department of Finance & Economics

Downloads 6,875

20.

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

Zura Kakushadze and Willie Yu

Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology

Downloads 6,546

21.

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

Marcos Lopez de Prado and Achim Peijan

AQR Capital Management, LLC and UBS Wealth Managment Research

Downloads 6,250

22.

The Siskel and Ebert of Financial Markets: Two Thumbs Down for the Credit Rating Agencies

Washington University Law Quarterly, Vol 77, pp. 619-712, 1999

Number of pages: 104 Posted: 01 Sep 1999

Accepted Paper Series

Frank Partnoy

University of California, Berkeley - School of Law

Downloads 6,099

23.

151 Trading Strategies

Z. Kakushadze and J.A. Serur. 151 Trading Strategies. Cham, Switzerland: Palgrave Macmillan, an imprint of Springer Nature (Forthcoming)

Number of pages: 257 Posted: 13 Sep 2018

Accepted Paper Series

Zura Kakushadze and Juan A. Serur

Quantigic Solutions LLC and University of CEMA

Downloads 5,940

24.

Systemic Risk: A Survey

ECB Working Paper No. 35

Number of pages: 79 Posted: 13 Mar 2001

Working Paper Series

Olivier de Bandt and Philipp Hartmann

Banque de France - Economic Study and Research Division and European Central Bank (ECB)

There are 2 versions of this paper

Downloads 5,825

25.

Stress-Testing Financial Systems: An Overview of Current Methodologies

BIS Working Paper No. 165

Number of pages: 41 Posted: 20 Sep 2007

Working Paper Series

Marco Sorge

World Bank Group - International Finance Corporation

Downloads 5,692

26.

Network Structure and Systemic Risk in Banking Systems

Number of pages: 41 Posted: 02 Feb 2011 Last Revised: 25 Apr 2012

Working Paper Series

Rama Cont, Amal Moussa and Edson Bastos e Santos

University of Oxford, Columbia University and Central Bank of Brazil

Downloads 5,517

27.

Forecasting a Volatility Tsunami

Number of pages: 18 Posted: 11 Apr 2017

Working Paper Series

Andrew Thrasher, CMT

Independent

Downloads 5,467

28.

Where Did the Risk Go? How Misapplied Bond Ratings Cause Mortgage Backed Securities and Collateralized Debt Obligation Market Disruptions

Number of pages: 87 Posted: 07 Nov 2007

Working Paper Series

Joseph R. Mason and Joshua Rosner

Louisiana State University - Ourso School of Business and Graham Fisher & Co.

Downloads 5,437

29.

Modelling Operational Risk

Journal of Risk, Vol. 5, No. 3, pp. 1-16, 2003

Number of pages: 23 Posted: 11 Dec 2001 Last Revised: 06 Jan 2010

Working Paper Series

Silvan Ebnöther, Paolo Vanini, Alexander McNeil and Pierre Antolinez-Fehr

Zurich Cantonal Bank, University of Basel, ETH Zürich - Department of Mathematics and Zurich Cantonal Bank

Downloads 5,407

30.

Measuring Systemic Risk

AFA 2011 Denver Meetings Paper

Number of pages: 46 Posted: 22 Mar 2010 Last Revised: 09 Aug 2010

Working Paper Series

Viral V. Acharya, Lasse Heje Pedersen, Thomas Philippon and Matthew P. Richardson

New York University - Leonard N. Stern School of Business, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance

There are 2 versions of this paper

Downloads 5,405

31.

The Paradox of Credit Ratings

U San Diego Law & Econ Research Paper No. 20

Number of pages: 23 Posted: 08 Oct 2001

Working Paper Series

Frank Partnoy

University of California, Berkeley - School of Law

Downloads 5,303

32.

Pension Fund Asset Allocation and Liability Discount Rates

Number of pages: 53 Posted: 29 May 2012 Last Revised: 22 Feb 2017

Working Paper Series

Aleksandar Andonov, Rob Bauer and Martijn Cremers

University of Amsterdam, Maastricht University and University of Notre Dame

Downloads 5,219

33.

Enterprise Risk Management: Theory and Practice

Number of pages: 33 Posted: 04 Aug 2006

Working Paper Series

Brian W. Nocco and René M. Stulz

Nationwide Insurance and Ohio State University (OSU) - Department of Finance

There are 2 versions of this paper

Downloads 5,199

34.

Country Risk: Determinants, Measures and Implications - The 2018 Edition

Number of pages: 122 Posted: 30 Jul 2018 Last Revised: 05 Aug 2018

Working Paper Series

Aswath Damodaran

New York University - Stern School of Business

Downloads 5,156

35.

Mean-Variance Investing

Columbia Business School Research Paper No. 12/49

Number of pages: 62 Posted: 19 Aug 2012

Working Paper Series

Andrew Ang

BlackRock, Inc

Downloads 5,118

36.

Credit Rating Agencies and the 'Worldwide Credit Crisis': The Limits of Reputation, the Insufficiency of Reform, and a Proposal for Improvement

Columbia Business Law Review, Vol. 2009, No. 1

Number of pages: 74 Posted: 14 Sep 2008 Last Revised: 25 Jan 2009

Working Paper Series

John P. Hunt

University of California, Davis - School of Law

Downloads 5,063

37.

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

Zura Kakushadze and Willie Yu

Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology

Downloads 5,026

38.

Introduction to Applied Stress Testing

IMF Working Paper No. 07/59

Number of pages: 76 Posted: 19 Mar 2007

Working Paper Series

Martin Čihák

International Monetary Fund (IMF)

Downloads 5,002

39.

Backtesting

Number of pages: 32 Posted: 27 Oct 2013 Last Revised: 30 Jul 2015

Working Paper Series

Campbell R. Harvey and Yan Liu

Duke University - Fuqua School of Business and Texas A&M University, Department of Finance

Downloads 4,986

40.

Liquidity Risk, Liquidity Creation and Financial Fragility: A Theory of Banking

CRSP Working Paper No. 476

Number of pages: 51 Posted: 15 Aug 1998

Working Paper Series

Douglas W. Diamond and Raghuram G. Rajan

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

There are 2 versions of this paper

Downloads 4,917

41.

Using Loss Data to Quantify Operational Risk

Number of pages: 32 Posted: 29 Apr 2003

Working Paper Series

Patrick de Fontnouvelle, Virginia De Jesus-Rueff, John S. Jordan and Eric S. Rosengren

Federal Reserve Bank of Boston - Supervision and Regulation, Genentech, Inc., FitchRisk and Federal Reserve Bank of Boston - Supervision and Regulation

Downloads 4,796

42.

Does Fair Value Accounting Contribute to Systemic Risk in the Banking Industry?

Number of pages: 51 Posted: 15 Jan 2009 Last Revised: 06 Dec 2018

Working Paper Series

Urooj Khan

Columbia Business School - Accounting, Business Law & Taxation

Downloads 4,717

43.

Risk Management in an Asset Management Company: A Practical Case

Number of pages: 14 Posted: 06 Feb 2001

Case and Teaching Paper Series

Dario Brandolini, Massimiliano Pallotta and Raffaele Zenti

Ras Asset Management SGR SpA, Ras Asset Management SGR SpA - Risk Management and Ras Asset Management SGR SpA

Downloads 4,696

44.

Systemic Risk and Hedge Funds

MIT Sloan Research Paper No. 4535-05, EFA 2005 Moscow Meetings Paper, AFA 2006 Boston Meetings Paper

Number of pages: 111 Posted: 07 Mar 2005

Working Paper Series

Nicholas T. Chan, Mila Getmansky Sherman, Shane M. Haas and Andrew W. Lo

AlphaSimplex Group, LLC, 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 2 versions of this paper

Downloads 4,692

45.

A Survey of Systemic Risk Analytics

U.S. Department of Treasury, Office of Financial Research No. 0001

Number of pages: 165 Posted: 11 Jan 2012 Last Revised: 16 Mar 2016

Working Paper Series

Dimitrios Bisias, Mark D. Flood, Andrew W. Lo and Stavros Valavanis

Massachusetts Institute of Technology (MIT), Government of the United States of America - Office of Financial Research, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT)

There are 2 versions of this paper