SSRN Risk Management & Analysis in Financial Institutions eJournal

1.

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 21,958

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

Zura Kakushadze

Quantigic Solutions LLC

Downloads 21,496

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

Zura Kakushadze

Quantigic Solutions LLC

Downloads 10,000

4.

The Skin In The Game Heuristic for Protection Against Tail Events

Review of Behavioral Economics, 2014, 1: 1–21, NYU Tandon Research Paper No. 2298292,

Number of pages: 12 Posted: 26 Jul 2013 Last Revised: 27 Jun 2017

Accepted Paper Series

Nassim Nicholas Taleb and Constantine Sandis

NYU-Tandon School of Engineering and Oxford Brookes University

Downloads 9,720

5.

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 8,914

6.

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 8,229

7.

Discount Rate (Risk-Free Rate and Market Risk Premium) Used for 41 Countries in 2015: A Survey

Number of pages: 17 Posted: 25 Apr 2015 Last Revised: 22 Nov 2015

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

Downloads 7,892

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

Milan Bicocca University - Department of Statistics and Quantitative Methods and Intesa Sanpaolo - Financial and Market Risk Management

Downloads 7,489

9.

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 7,101

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 M. Borwein, Marcos Lopez de Prado and Qiji Jim Zhu

Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC and Western Michigan University

There are 2 versions of this paper

Downloads 6,893

11.

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 6,088

12.

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

Guggenheim Partners, LLC and UBS Wealth Managment Research

Downloads 6,082

13.

Mathematical Definition, Mapping, and Detection of (Anti)Fragility

Quantitative Finance, Forthcoming

Number of pages: 19 Posted: 06 Aug 2012 Last Revised: 04 Apr 2014

Accepted Paper Series

Nassim Nicholas Taleb and Raphael Douady

NYU-Tandon School of Engineering and Riskdata

Downloads 5,640

14.

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

Erasmus University Rotterdam, Erasmus School of Economics, Maastricht University and University of Notre Dame

Downloads 4,528

15.

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 4,470

16.

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 4,277

17.

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

Guggenheim Partners, LLC

Downloads 4,184

18.

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 4,132

19.

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 4,096

20.

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 3,853

21.

Financial Crisis: Where did Risk Management Fail?

Number of pages: 17 Posted: 24 Aug 2009

Working Paper Series

Gabriele Sabato

Risk Management

Downloads 3,711

22.

Hedge Funds: A Dynamic Industry in Transition

Number of pages: 135 Posted: 29 Jul 2015

Working Paper Series

Mila Getmansky, Peter A. Lee and Andrew W. Lo

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

Downloads 3,413

23.

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

Chia-Lin Chang, Juan-Angel Jiménez-Martin, Michael McAleer and Teodosio Perez Amaral

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 3,397

24.

Forecasting a Volatility Tsunami

Number of pages: 18 Posted: 11 Apr 2017

Working Paper Series

Andrew Thrasher, CMT

Independent

Downloads 3,354

25.

Understanding ETNs on VIX Futures

Number of pages: 41 Posted: 22 Apr 2012 Last Revised: 20 May 2012

Working Paper Series

Carol Alexander and Dimitris Korovilas

University of Sussex - School of Business, Management and Economics and University of Reading - ICMA Centre

Downloads 3,153

26.

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

Zura Kakushadze

Quantigic Solutions LLC

Downloads 3,142

27.

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 Samuel Luqman

Olabisi Onabanjo University (OOU)

Downloads 3,084

28.

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

Kiran J. Fernandes, Allan D. Grody, Peter J. Hughes, Oliver Phillips and Steve Toms

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 3,048

29.

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

Harry DeAngelo and René M. Stulz

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

Downloads 3,015

30.

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 Guggenheim Partners, LLC

Downloads 3,006

31.

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

Tomasz Piskorski, Amit Seru and James Witkin

Columbia Business School - Finance and Economics, Stanford University and Columbia University - Columbia Business School

There are 2 versions of this paper

Downloads 2,983

32.

What to Look for in a Backtest

Number of pages: 58 Posted: 12 Aug 2013 Last Revised: 05 Jul 2015

Working Paper Series

Marcos Lopez de Prado

Guggenheim Partners, LLC

Downloads 2,922

33.

Credit Risk Scoring Models

Number of pages: 15 Posted: 03 Feb 2010

Working Paper Series

Gabriele Sabato

Risk Management

Downloads 2,885

34.

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

Marcos Lopez de Prado

Guggenheim Partners, LLC

Downloads 2,857

35.

Key Factors in Determining the Financial Performance of the Indian Banking Sector

Number of pages: 78 Posted: 02 Aug 2012

Working Paper Series

Sudeep Kalakkar

University of East London

Downloads 2,793

36.

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

Ralph S. J. Koijen and Motohiro Yogo

New York University (NYU) - Department of Finance and Princeton University - Department of Economics

There are 2 versions of this paper

Downloads 2,772

37.

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

Zura Kakushadze

Quantigic Solutions LLC

Downloads 2,761

38.

KVA: Capital Valuation Adjustment

Risk, December 2014

Number of pages: 25 Posted: 24 Feb 2014 Last Revised: 06 Nov 2014

Accepted Paper Series

Andrew David Green, Chris Kenyon and Chris R Dennis

Scotiabank, Lloyds Banking Group and Lloyds Banking Group

Downloads 2,741

39.

Risk Management in Islamic and Conventional Banks: A Differential Analysis

Journal of Independent Studies and Research, Vol. 7, No. 2, pp. 67-70, July 2009

Number of pages: 13 Posted: 03 Jan 2010

Accepted Paper Series

Amanat Ali Jalbani and Salman Ahmed Shaikh

Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST) and National University of Malaysia, Faculty of Economics and Management, School of Economics

Downloads 2,484

40.

Dynamic Portfolio Choice

Number of pages: 59 Posted: 11 Jul 2012

Working Paper Series

Andrew Ang

BlackRock, Inc

Downloads 2,405

41.

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 2,393

42.

Balanced Baskets: A New Approach to Trading and Hedging Risks

Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012

Number of pages: 44 Posted: 24 May 2012 Last Revised: 08 Sep 2012

Accepted Paper Series

David H. Bailey and Marcos Lopez de Prado

Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC

Downloads 2,380

43.

Risk Management Lessons Worth Remembering from the Credit Crisis of 2007-2009

Number of pages: 83 Posted: 20 Nov 2009

Working Paper Series

Bennett W. Golub and Conan C. Crum

BlackRock, Inc. and BlackRock, Inc.

Downloads 2,339

44.

Banking Risk Management in India and RBI Supervision

Number of pages: 26 Posted: 14 Sep 2009

Working Paper Series

Diksha Arora and Ravi Agarwal

BIMTECH and O.P. Jindal Global University (JGU)

Downloads 2,333

45.

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

Sylvain Benoit, Gilbert Colletaz, Christophe Hurlin and Christophe Perignon

Université Paris Dauphine - LEDa-SDFi, University of Orleans, University of Orleans and HEC Paris - Finance Department

Downloads 2,328

46.

Curves and Term Structure Models: Definition, Calibration and Application of Rate Curves and Term Structure Models

Number of pages: 22 Posted: 01 Jan 2013 Last Revised: 11 Apr 2013

Working Paper Series

Christian P. Fries

Ludwig Maximilian University of Munich - Department of Mathematics

Downloads 2,272

47.

The Relationship between Liquidity Risk and Credit Risk in Banks

Shortened Version published in Journal of Banking & Finance 40(1), 242-256

Number of pages: 43 Posted: 13 Jul 2011 Last Revised: 18 Jun 2014

Accepted Paper Series

Björn Imbierowicz and Christian Rauch

Copenhagen Business School and University of Oxford - Said Business School

Downloads 2,266

48.

Estimating Lifetime Expected Credit Losses Under IFRS 9

Number of pages: 22 Posted: 04 Apr 2016 Last Revised: 05 Mar 2017

Working Paper Series

Xin Xu

Unisys Machine Learning and Advanced Analytics Services

Downloads 2,246

49.

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

David S. Evans

Global Economics Group

Downloads 2,222

50.

Covered Calls Uncovered

Financial Analysts Journal, Vol. 71, No. 6, November/December 2015

Number of pages: 24 Posted: 04 Jun 2014 Last Revised: 27 Jan 2017

Accepted Paper Series

Roni Israelov and Lars N Nielsen

AQR Capital Management, LLC and AQR Capital Management, LLC

Downloads 2,209

Quick Links

Rankings

About