1.
151 Trading Strategies
Z. Kakushadze and J.A. Serur. 151 Trading Strategies. Cham, Switzerland: Palgrave Macmillan, an imprint of Springer Nature, 1st Edition (2018), XX, 480 pp; ISBN 978-3-030-02791-9
Number of pages: 361
Posted: 13 Sep 2018
Last Revised: 16 Sep 2019
Accepted Paper Series
Quantigic Solutions LLC and University of CEMA
Downloads
39,212
2.
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
35,245
3.
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
24,014
Downloads
171
Downloads
24,014
4.
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
14,915
5.
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
14,749
6.
Building Diversified Portfolios that Outperform Out-of-Sample
Journal of Portfolio Management, 2016; https://doi.org/10.3905/jpm.2016.42.4.059.
Number of pages: 31
Posted: 17 Jul 2019
Last Revised: 17 Jul 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads
13,561
7.
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
New York University - Stern School of Business
Downloads
12,662
8.
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
12,603
9.
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), Cornell University - Operations Research & Industrial Engineering 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
10,814
The Probability of Backtest Overfitting
Journal of Computational Finance, Forthcoming
Number of pages: 31
Posted: 21 Sep 2016
Downloads
1
Downloads
10,814
10.
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
10,625
11.
Non-Life Insurance: Mathematics & Statistics
Number of pages: 307
Posted: 03 Sep 2013
Last Revised: 07 Jan 2020
Working Paper Series
RiskLab, ETH Zurich
Downloads
10,571
12.
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
University of Southern California 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
10,372
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
820
Downloads
10,372
13.
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
10,060
14.
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
9,384
15.
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
8,919
16.
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
IESE Business School, University of Navarra, IESE Business School and University of Navarra - University of Navarra, Students
Downloads
8,698
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
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
8,374
18.
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
8,363
19.
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
8,261
20.
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
Federal Reserve Board
Downloads
8,090
21.
Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices
Number of pages: 38
Posted: 24 Mar 2000
Working Paper Series
London Business School and New York University (NYU) - Department of Finance
There are 3 versions of this paper
Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices
Number of pages: 38
Posted: 24 Mar 2000
Downloads
7,179
Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices
NYU Working Paper No. FIN-99-032
Number of pages: 36
Posted: 07 Nov 2008
Downloads
364
Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices
Review of Financial Studies, Vol. 14, No. 2, pp. 371-405, Summer 2001
Posted: 17 May 2001
Downloads
7,179
22.
Forecasting a Volatility Tsunami
Number of pages: 18
Posted: 11 Apr 2017
Working Paper Series
Independent
Downloads
7,055
23.
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
Cornell University - Operations Research & Industrial Engineering and UBS Wealth Managment Research
Downloads
6,485
24.
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
6,290
25.
Systemic Risk: A Survey
ECB Working Paper No. 35
Number of pages: 79
Posted: 13 Mar 2001
Working Paper Series
Banque de France - Economic Study and Research Division and European Central Bank (ECB)
There are 2 versions of this paper
Downloads
6,199
Downloads
70
Downloads
6,199
26.
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
University of California, Berkeley - School of Law
Downloads
6,198
27.
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
World Bank Group - International Finance Corporation
Downloads
5,981
28.
Network Structure and Systemic Risk in Banking Systems
Number of pages: 41
Posted: 02 Feb 2011
Last Revised: 25 Apr 2012
Working Paper Series
University of Oxford, Columbia University and Central Bank of Brazil
Downloads
5,956
29.
Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing
Number of pages: 35
Posted: 17 Feb 2019
Last Revised: 11 Apr 2019
Working Paper Series
Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates LLC and Dartmouth College - Tuck School of Business
Downloads
5,879
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
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
Measuring Systemic Risk
AFA 2011 Denver Meetings Paper
Number of pages: 46
Posted: 22 Mar 2010
Last Revised: 09 Aug 2010
Downloads
5,823
Downloads
14
Downloads
5,823
31.
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
5,688
32.
Backtesting
Number of pages: 32
Posted: 27 Oct 2013
Last Revised: 30 Jul 2015
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads
5,679
33.
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
Louisiana State University - Ourso School of Business and Graham Fisher & Co.
Downloads
5,629
34.
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
5,565
35.
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
Zurich Cantonal Bank, University of Basel, ETH Zürich - Department of Mathematics and Zurich Cantonal Bank
Downloads
5,534
36.
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
5,482
37.
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
5,473
38.
Enterprise Risk Management: Theory and Practice
Number of pages: 33
Posted: 04 Aug 2006
Working Paper Series
Nationwide Insurance and Ohio State University (OSU) - Department of Finance
There are 2 versions of this paper
Enterprise Risk Management: Theory and Practice
Number of pages: 33
Posted: 04 Aug 2006
Downloads
5,471
Enterprise Risk Management: Theory and Practice
Journal of Applied Corporate Finance, Vol. 18, No. 4, pp. 8-20, Fall 2006
Number of pages: 15
Posted: 15 Feb 2007
Downloads
23
Downloads
5,471
39.
Pension Fund Asset Allocation and Liability Discount Rates
Number of pages: 53
Posted: 29 May 2012
Last Revised: 22 Feb 2017
Working Paper Series
University of Amsterdam, Maastricht University and University of Notre Dame
Downloads
5,449
40.
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
University of California, Berkeley - School of Law
Downloads
5,427
41.
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
University of California, Davis - School of Law
Downloads
5,198
42.
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 Cornell University - Operations Research & Industrial Engineering
Downloads
5,178
43.
The Wells Fargo Cross-Selling Scandal
Rock Center for Corporate Governance at Stanford University Closer Look Series: Topics, Issues and Controversies in Corporate Governance No. CGRP-62 Version 2, Stanford University Graduate School of Business Research Paper No. 17-1
Number of pages: 16
Posted: 05 Dec 2016
Last Revised: 14 Jan 2019
Accepted Paper Series
Stanford University - Graduate School of Business
Downloads
5,167
44.
Introduction to Applied Stress Testing
IMF Working Paper No. 07/59
Number of pages: 76
Posted: 19 Mar 2007
Working Paper Series
International Monetary Fund (IMF)
Downloads
5,117
45.
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
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
There are 2 versions of this paper
Liquidity Risk, Liquidity Creation and Financial Fragility: A Theory of Banking
CRSP Working Paper No. 476
Number of pages: 51
Posted: 15 Aug 1998
Downloads
5,060
Liquidity Risk, Liquidity Creation and Financial Fragility: A Theory of Banking
NBER Working Paper No. w7430
Number of pages: 55
Posted: 25 Jul 2000
Last Revised: 03 Mar 2010
Downloads
201
Downloads
5,060
46.
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: 21 May 2019
Last Revised: 30 May 2019
Working Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads
4,992
47.
Using Loss Data to Quantify Operational Risk
Number of pages: 32
Posted: 29 Apr 2003
Working Paper Series
Federal Reserve Bank of Boston - Supervision and Regulation, Genentech, Inc. - San Francisco, FitchRisk and Federal Reserve Bank of Boston - Supervision and Regulation
Downloads
4,962
48.
CDS Rate Construction Methods by Machine Learning Techniques
Number of pages: 51
Posted: 15 May 2017
Last Revised: 31 Oct 2018
Working Paper Series
University of Reims Champagne-Ardenne and Birkbeck, University of London
Downloads
4,958
49.
Risk Management in an Asset Management Company: A Practical Case
Number of pages: 14
Posted: 06 Feb 2001
Case and Teaching Paper Series
Ras Asset Management SGR SpA, Ras Asset Management SGR SpA - Risk Management and Ras Asset Management SGR SpA
Downloads
4,950
50.
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
4,923
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