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Risk Management & Analysis in Financial Institutions eJournal

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Viewing: 1 - 50 of 7,293 papers

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 33,995
2.

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
Zura Kakushadze and Juan A. Serur
Quantigic Solutions LLC and University of CEMA
Downloads 28,298
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
Claude B. Erb and Campbell R. Harvey
TR and Duke University - Fuqua School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 23,627
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
Christian Laux and Christian Leuz
Vienna University of Economics and Business and University of Chicago - Booth School of Business
Downloads 14,833
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
Zura Kakushadze
Quantigic Solutions LLC
Downloads 14,244
6.

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 12,150
7.

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
Marcos Lopez de Prado
Cornell University - Operations Research & Industrial Engineering
Downloads 12,067
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
Ferdinando M. Ametrano and Marco Bianchetti
Digital Gold Institute and Intesa Sanpaolo - Financial and Market Risk Management
Downloads 11,983
9.

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 10,573
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), Cornell University - Operations Research & Industrial Engineering and Western Michigan University

Multiple version iconThere are 2 versions of this paper

Downloads 10,443
11.

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
University of Southern California Gould School of Law

Multiple version iconThere are 2 versions of this paper

Downloads 10,268
12.

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 10,023
13.

Non-Life Insurance: Mathematics & Statistics

Number of pages: 307 Posted: 03 Sep 2013 Last Revised: 07 Jan 2020
Working Paper Series
Mario V. Wuthrich
RiskLab, ETH Zurich
Downloads 9,663
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
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 9,352
15.

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 8,726
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
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 8,651
17.

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 8,350
18.

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 8,230
19.

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 8,064
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 7,960
21.

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

Multiple version iconThere are 3 versions of this paper

Downloads 7,127
22.

Forecasting a Volatility Tsunami

Number of pages: 18 Posted: 11 Apr 2017
Working Paper Series
Andrew Thrasher
Independent
Downloads 6,887
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
Marcos Lopez de Prado and Achim Peijan
Cornell University - Operations Research & Industrial Engineering and UBS Wealth Managment Research
Downloads 6,426
24.

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 6,162
25.

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)

Multiple version iconThere are 2 versions of this paper

Downloads 6,095
26.

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 5,914
27.

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 5,853
28.

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
Wouter J. Keller and Jan Willem Keuning
VU University Amsterdam and TrendXplorer
Downloads 5,811
29.

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

Multiple version iconThere are 2 versions of this paper

Downloads 5,705
30.

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 5,557
31.

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 Purdue University
Downloads 5,502
32.

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 5,500
33.

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 5,496
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
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 5,476
35.

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 5,421
36.

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

Multiple version iconThere are 2 versions of this paper

Downloads 5,403
37.

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 5,402
38.

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
Robert D. Arnott, Campbell R. Harvey, Vitali Kalesnik and Juhani T. Linnainmaa
Research Affiliates, LLC, Duke University - Fuqua School of Business, Research Affiliates LLC and Dartmouth College - Tuck School of Business
Downloads 5,399
39.

Implementing Momentum: What Have We Learned?

Number of pages: 24 Posted: 11 Dec 2017
Working Paper Series
Adrienne Ross, Tobias J. Moskowitz, Ronen Israel and Laura Serban
AQR Capital Management, LLC, Yale University, Yale SOM, AQR Capital Management, LLC and AQR Capital Management
Downloads 5,309
40.

The Effect of Credit Risk on the Performance of Commercial Banks in Nigeria

Number of pages: 18 Posted: 11 Dec 2014
Working Paper Series
Olawale Luqman
Olabisi Onabanjo University (OOU)
Downloads 5,156
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
John P. Hunt
University of California, Davis - School of Law
Downloads 5,154
42.

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 5,095
43.

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

Multiple version iconThere are 2 versions of this paper

Downloads 5,026
44.

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. - San Francisco, FitchRisk and Federal Reserve Bank of Boston - Supervision and Regulation
Downloads 4,914
45.

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 4,895
46.

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
Sebastian C. Moenninghoff and Axel Wieandt
WHU - Otto Beisheim School of Management and WHU - Otto Beisheim School of Management
Downloads 4,860
47.

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
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 4,831
48.

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), R. H. Smith School of Business, U. of Maryland, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT)

Multiple version iconThere are 2 versions of this paper

Downloads 4,819
49.

CDS Rate Construction Methods by Machine Learning Techniques

Number of pages: 51 Posted: 15 May 2017 Last Revised: 31 Oct 2018
Working Paper Series
Raymond Brummelhuis and Zhongmin Luo
University of Reims Champagne-Ardenne and Birkbeck, University of London
Downloads 4,781
50.

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 4,755