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Econometric Modeling: Capital Markets - Risk eJournal
814,283 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 4,724
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1 2 3 4 ... 95 | Next >
   

Incl. Electronic Paper Elliptical Black-Litterman Portfolio Optimization
Andrzej Palczewski and Jan Palczewski
University of Warsaw - Faculty of Mathematics, Informatics, and Mechanics and University of Leeds - School of Mathematics
Date Posted: March 27, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper Momentum Returns, Market States, and Market Dynamics: Is China Different?
Muhammad A. Cheema and Gilbert V. Nartea
University of Waikato and University of Waikato
Date Posted: March 27, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Systemic Risk Contribution from Financial Network in the UK
Ahmed R. Sakr
University of Leicester, Faculty of the Social Sciences, Department of Economics, Students
Date Posted: March 25, 2017
Working Paper Series
29 downloads

Incl. Electronic Paper Level 3 Assets and Credit Risk
May Xiaoyan Bao and Yixin Liu
University of New Hampshire and University of New Hampshire
Date Posted: March 25, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Rents, Technical Change, and Risk Premia
MIT Department of Economics Working Paper No. 17-05
Ricardo J. Caballero, Emmanuel Farhi and Pierre-Olivier Gourinchas
Massachusetts Institute of Technology (MIT) - Department of Economics, Harvard University - Department of Economics and University of California, Berkeley - Department of Economics
Date Posted: March 24, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper Pathetic Protection: The Elusive Benefits of Protective Puts
Roni Israelov
AQR Capital Management, LLC
Date Posted: March 23, 2017
Working Paper Series
76 downloads

Incl. Electronic Paper Cross-Border Bank Flows and Systemic Risk
George Andrew Karolyi, John Sedunov III and Alvaro G. Taboada
Cornell University - Johnson Graduate School of Management, Villanova University - Department of Finance and Mississippi State University
Date Posted: March 23, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Debt and Default Risk Premium in Emerging Economies: New Evidence from a Panel Threshold Analysis
Ngan Tran
RMIT University
Date Posted: March 23, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Contagion Risk in Global Banking Sector
Kevin Daly, Jonathan A. Batten, Anil V. Mishra and Tonmoy Toufic Choudhury
University of Western Sydney - School of Business, Monash University, Western Sydney University and School of Business, Western Sydney University
Date Posted: March 23, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Measuring Interest Rate Risk Using a Duration Vector
Manfred Jaeger-Ambrozewicz
Hochschule für Technik und Wirtschaft Berlin
Date Posted: March 22, 2017
Working Paper Series
26 downloads

Incl. Electronic Paper The Impact of Credit Risk Management on Profitability: Evidence from Nepalese Commercial Banks.
Ritesh Shrestha
Independent
Date Posted: March 22, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper The Effect of Bank Supervision on Risk Taking: Evidence from a Natural Experiment
John Kandrac and Bernd Schlusche
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Date Posted: March 22, 2017
Working Paper Series
17 downloads

Incl. Electronic Paper Banking on Deposits: Maturity Transformation Without Interest Rate Risk
Itamar Drechsler, Alexi Savov and Philipp Schnabl
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Date Posted: March 22, 2017
Working Paper Series
11 downloads

Incl. Fee Electronic Paper Testing for Changes in (Extreme) VAR
The Econometrics Journal, Vol. 20, Issue 1, pp. 23-51, 2017
Yannick Hoga
University of Duisburg-Essen
Date Posted: March 22, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Yes We Can (Price Derivatives on Survivor Indices)
Risk Management and Insurance Review, Vol. 20, Issue 1, pp. 37-62, 2017
M. Martin Boyer and Lars Stentoft
HEC Montreal - Department of Finance and Department of Economics, University of Western Ontario
Date Posted: March 22, 2017
Accepted Paper Series

Incl. Electronic Paper Economic Policy and Systemic Risk: The Un-Constitutionality of Rent-Control/Rent-Stabilization Statutes; Multiple Listing Systems; and the Licensing of 'Real Estate Websites'
Michael C. I. Nwogugu
Independent
Date Posted: March 21, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Persistence and Procyclicality in Margin Requirements
OFR WP 17-01
Paul Glasserman and Qi Wu
Columbia Business School and Chinese University of Hong Kong
Date Posted: March 21, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Systemic Risk and Cyclical Economic Environment
Hong Mao
Shanghai Second Polytechnic University
Date Posted: March 20, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper The 'Popular-Index Ecosystems': Managerial Psychology, Corporate Governance and Risk.
Michael C. I. Nwogugu
Independent
Date Posted: March 20, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Securitization, Ratings, and Credit Supply
Brendan Daley, Brett S. Green and Victoria Vanasco
Duke University - Fuqua School of Business, University of California, Berkeley - Haas School of Business and Stanford Graduate School of Business
Date Posted: March 20, 2017
Working Paper Series
8 downloads

Incl. Fee Electronic Paper Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks?
CEPR Discussion Paper No. DP11920
Thomas Gehrig and Maria Chiara Iannino
University of Vienna - Faculty of Business, Economics, and Statistics and University of Vienna
Date Posted: March 20, 2017
Working Paper Series

Incl. Fee Electronic Paper Financial Cycles with Heterogeneous Intermediaries
CEPR Discussion Paper No. DP11907
Nuno Coimbra and Hélène Rey
London Business School and London Business School
Date Posted: March 20, 2017
Working Paper Series

Incl. Fee Electronic Paper Mapping the Interconnectedness between EU Banks and Shadow Banking Entities
CEPR Discussion Paper No. DP11919
Jorge Abad, Marco D'Errico, Neill Killeen, Vera Luz, Tuomas A. Peltonen, Richard Portes and Teresa Urbano
Centre for Monetary and Financial Studies (CEMFI), University of Zurich - Department of Banking and Finance, European Systemic Risk Board, European Banking Authority, European Central Bank (ECB), London Business School - Department of Economics and European Banking Authority
Date Posted: March 20, 2017
Working Paper Series

Incl. Fee Electronic Paper Financial Cycles with Heterogeneous Intermediaries
NBER Working Paper No. w23245
Nuno Coimbra and Hélène Rey
London Business School and London Business School
Date Posted: March 20, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper The Relevance of Credit Ratings in Transparent Bond Markets
Dominique C. Badoer and Cem Demiroglu
University of Missouri at Columbia - Department of Finance and Koc University, College of Administrative Sciences and Economics
Date Posted: March 18, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper Direct Estimation of Factor Exposures from Appraisal Returns
Jenwen Lin
University of Toronto - Department of Statistics
Date Posted: March 18, 2017
Working Paper Series
24 downloads

Incl. Electronic Paper Religiosity and Bank Asset Securitization
Omneya Abdelsalam, Marwa Sami Elnahass, Sabur Mollah and Stergios Leventis
Durham University, Newcastle University (UK), Hull University Business School and International Hellenic University - School of Economics and Business Administration
Date Posted: March 18, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Asset Securitization and Bank Risk: Do Religiosity or Ownership Structure Matter?
Omneya Abdelsalam, Marwa Sami Elnahass, Sabur Mollah and Stergios Leventis
Durham University, Newcastle University (UK), Hull University Business School and International Hellenic University - School of Economics and Business Administration
Date Posted: March 18, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Optimal Fiscal Rules
David Gomtsyan
University of Turin
Date Posted: March 18, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper Don't Stop Me Now: The Impact of Credit Market Fragmentation on Firms' Financing Constraints
DIW Berlin Discussion Paper No. 1650
Franziska Bremus and Katja Neugebauer
German Institute for Economic Research (DIW Berlin) and Systemic Risk Centre - LSE
Date Posted: March 17, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Financial Markets with Hierarchical Information
University of Alberta School of Business Research Paper No. 2933935
Efstathios Avdis and Masahiro Watanabe
University of Alberta - Department of Finance and Statistical Analysis and University of Alberta - School of Business
Date Posted: March 17, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper Time-Varying Predictability of Consumption Growth, Macro-Uncertainty, and Risk Premiums
Pedro Barroso, Martijn Boons and Paul Karehnke
UNSW Australia Business School, School of Banking and Finance, New University of Lisbon - Nova School of Business and Economics and UNSW Australia Business School, School of Banking and Finance
Date Posted: March 17, 2017
Working Paper Series
30 downloads

Incl. Electronic Paper Market Discipline in the Secondary Bond Market: The Case of Systemically Important Banks
FRB of Philadelphia Working Paper No. 17-5
Elyas Elyasiani and Jason Keegan
Temple University - Department of Finance and Federal Reserve Banks - Federal Reserve Bank of Philadelphia
Date Posted: March 17, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper Investor Familiarity and Corporate Debt Financing Conditions
Leonie Herrmann and Oscar Anselm Stolper
University of Giessen - Department of Financial Services and University of Marburg | Institute of Accounting and Finance
Date Posted: March 16, 2017
Working Paper Series
10 downloads

On the Size Distribution of Macroeconomic Disasters
Econometrica, Vol. 79, No. 5
Robert J. Barro and Tao Jin
Harvard University - Department of Economics and Tsinghua University - PBC School of Finance
Date Posted: March 16, 2017
Accepted Paper Series

Incl. Electronic Paper Accounting Quality and the Transmission of Monetary Policy
Chris Armstrong, Stephen Glaeser and John D. Kepler
University of Pennsylvania - Accounting Department, University of Pennsylvania - Accounting Department and University of Pennsylvania - Accounting Department
Date Posted: March 16, 2017
Working Paper Series
96 downloads

Incl. Electronic Paper Is Bigger Better? Firm Size Implications of Corporate Governance Risk Management Over Financial Derivatives
Rubeena Tashfeen and Tashfeen Azhar
Victoria University of Wellington, Victoria Business School, Student/Alumni and (UMT) University of Management and Technology (Pakistan) - School of Business and Economics
Date Posted: March 16, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Controlling Systemic Risk Through Corporate Governance
CIGI Policy Brief No. 99 - February 2017, Duke Law School Public Law & Legal Theory Series 2017
Steven L. Schwarcz
Duke University School of Law
Date Posted: March 16, 2017
Accepted Paper Series
47 downloads

Incl. Electronic Paper Misure Del Rischio Di Credito Nel Finanziamento Delle Imprese E Incidenza Dei Prestiti in Default: Un'Analisi Comparata Per Le Banche Europee (Credit Risk Measures in the Financing of Companies and Percentage of Defaulted Loans: A Comparative Analysis for European Banks)
Giovanni Ferri and Zeno Rotondi
LUMSA University and UniCredit Group
Date Posted: March 16, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Asset Securitization and Risk: Does Bank Type Matter?
Omneya Abdelsalam, Marwa Sami Elnahass, Sabur Mollah and Stergios Leventis
Durham University, Newcastle University (UK), Hull University Business School and International Hellenic University - School of Economics and Business Administration
Date Posted: March 16, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Functional Analysis of Cross-Sectional Return on Chinese a Shares
Zhenya Liu, Yuqian Zhao, Ruanmin Cao and Lajos Horváth
Renmin University of China, University of Birmingham - Department of Economics, University of Birmingham - Department of Economics and University of Utah - Department of Mathematics
Date Posted: March 16, 2017
Working Paper Series
29 downloads

Incl. Electronic Paper Show Me the Money: The Monetary Policy Risk Premium
FRB of Boston Working Paper No. 16-27
Ali K. Ozdagli and Mihail Velikov
Federal Reserve Banks - Federal Reserve Bank of Boston and Federal Reserve Bank of Richmond
Date Posted: March 16, 2017
Working Paper Series
46 downloads

Incl. Fee Electronic Paper Transparency, Investor Information Acquisition, and Money Market Fund Risk Rebalancing During the 2011-12 Eurozone Crisis
CEPR Discussion Paper No. DP11895
Emily Gallagher, Lawrence D. W. Schmidt, Allan G. Timmermann and Russ Wermers
Washington University in Saint Louis - John M. Olin Business School, University of Chicago - Department of Economics, University of California, San Diego (UCSD) - Department of Economics and University of Maryland - Robert H. Smith School of Business
Date Posted: March 16, 2017
Working Paper Series

Incl. Electronic Paper Rational Inattention and Counter-Cyclical Lending Standards
Mike Mariathasan and Sergey Zhuk
KU Leuven- Faculty of Economics & Business and University of Vienna
Date Posted: March 15, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper The Role of Cointegration for Optimal Hedging with Heteroscedastic Error Term
Lukasz Gatarek and Soren Johansen
European Central Bank (ECB) - Directorate General Statistics and University of Copenhagen - Department of Economics
Date Posted: March 15, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper Using the Single Crossing Property to Test for Presence of Two Agents in Stock Markets: A Research Note
Oghenovo A. Obrimah
Babcock University
Date Posted: March 15, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Multi-Period Portfolio Optimization with Cone Constraints and Discrete Decisions
Ümit Sağlam and Hande Yurttan Benson
East Tennessee State University - Department of Management and Marketing and Drexel University
Date Posted: March 15, 2017
Working Paper Series
29 downloads

贝叶斯调整的银行存款保险保费定价的研究 (Research on the Pricing of Bayesian Adjusted Deposit Insurance)
Wu Zhao
Independent
Date Posted: March 15, 2017
Working Paper Series

Incl. Electronic Paper Challenges in Implementing Worst-Case Analysis
Jon Danielsson, Lerby Murat Ergun and Casper G. de Vries
London School of Economics - Systemic Risk Centre, London School of Economics & Political Science (LSE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Date Posted: March 15, 2017
Working Paper Series
24 downloads

Incl. Electronic Paper Lambda Value at Risk and Regulatory Capital: A Dynamic Approach to Tail Risk
Asmerilda Hitaj, Cesario Mateus and Ilaria Peri
Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Greenwich Business School and University of Greenwich
Date Posted: March 15, 2017
Working Paper Series
17 downloads


 

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