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Econometric Modeling: Capital Markets - Risk eJournal
896,752 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 5,163
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1 2 3 4 ... 104 | Next >
   

Incl. Electronic Paper Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less
Wouter J. Keller and Jan Willem Keuning
VU University Amsterdam and TrendXplorer
Date Posted: July 19, 2017
Working Paper Series
317 downloads

Incl. Electronic Paper Interbank Clearing in Financial Networks with Multiple Maturities
Michael Kusnetsov and Luitgard A. M. Veraart
London School of Economics & Political Science (LSE) - Department of Mathematics and London School of Economics & Political Science (LSE) - Department of Mathematics
Date Posted: July 19, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper Accounting Quality, Liquidity Risk, and Post-Earnings-Announcement Drift
Jeff Zeyun Chen, Gerald J. Lobo and Joseph H Zhang
Texas Christian University, University of Houston - C.T. Bauer College of Business and University of Memphis
Date Posted: July 19, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper The Remaking of Wall Street
Harvard Business Law Review, Forthcoming, Washington University in St. Louis Legal Studies Research Paper No. 17-07-01
Andrew F. Tuch
Washington University in Saint Louis - School of Law
Date Posted: July 19, 2017
Working Paper Series
7 downloads

Exploring the Relationships Among Interest Rate, Exchange Rate, and Stock Market in Indonesia
Global Journal of Business and Social Science Review Vol.4 (3) 2016. 42-49
Sherlinda Octa and Jui-Chuan Della Chang
University of Brawijaya and National Chiayi University
Date Posted: July 18, 2017
Accepted Paper Series

Incl. Electronic Paper How Do Individuals Repay Their Debt? The Balance-Matching Heuristic
John Gathergood, Neale Mahoney, Neil Stewart and Joerg Weber
University of Nottingham - School of Economics, University of Chicago Booth School of Business, University of Warwick and University of Nottingham - School of Economics
Date Posted: July 18, 2017
Working Paper Series
28 downloads

Incl. Electronic Paper Dynamic Semiparametric Models for Expected Shortfall (and Value-At-Risk)
Economic Research Initiatives at Duke (ERID) Working Paper No. 250
Andrew J. Patton, Johanna F. Ziegel and Rui Chen
Duke University - Department of Economics, University of Bern and Duke University
Date Posted: July 18, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper On the Determinants of Speculation – A Case for Extended Disclosures in Corporate Risk Management
Andreas Hecht
University of Hohenheim
Date Posted: July 18, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Computing MVA Via Regression and Principal Component Analysis
Christian Kappen
d-fine GmbH
Date Posted: July 18, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Interest Rates Under Falling Stars
Michael D. Bauer and Glenn D. Rudebusch
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Date Posted: July 18, 2017
Working Paper Series
3 downloads

The Influence of Global Stock Index and the Economic Indicators of Stock Investment Decision by Foreign Investors in the Indonesian Stock Exchange
Journal of Finance and Banking Review, Vol. 2(1), p. 32-37, Jan-Mar 2017
Sulaeman Rahman Nidar and Erwin Jaya Diwangsa
Padjadjaran University and Independent
Date Posted: July 17, 2017
Accepted Paper Series

Incl. Electronic Paper The Assessment of Client Creditworthiness Using Predictive Methods Based on Multivariate Discriminant Analysis
Accounting and Finance Review (AFR), Vol.2(1) 2017. 17-21
Anna Siekelova and Erika Spuchlakova
University of Zilina - Faculty of Operation and Economics of Transport and Communications and University of Zilina - Faculty of Operation and Economics of Transport and Communications
Date Posted: July 17, 2017
Last Revised: July 20, 2017
Accepted Paper Series

The Impact of Financial Ratios, Operational Efficiency and Non-Performing Loan Towards Commercial Bank Profitability
Accounting and Finance Review (AFR) Vol.1(1) 2016. 43-50
Ratnawati Kurnia and Fiola Christaria
Independent and Independent
Date Posted: July 17, 2017
Accepted Paper Series

Incl. Electronic Paper A Survey Study on Indian it Firms Attitude Towards Currency Hedging Activity
Journal of Commerce and Management Thought, 2014
Raghavendra R. H. Raghu and Velmurugan Palaniyappa Shanmugam
Pondicherry University, School of Management, Students and Pondicherry University - Department of Commerce
Date Posted: July 17, 2017
Accepted Paper Series
1 downloads

Incl. Electronic Paper Bank Mergers: Private Benefit at Public Cost
Daniela Scida and Farindokht Vagheti
Federal Reserve Bank of Richmond and Federal Reserve Banks - Federal Reserve Bank of Richmond
Date Posted: July 17, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Accounting Conservatism and Earning Quality
Marselinus Asri
Atma Jaya Makassar University
Date Posted: July 17, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Corporate Governance, Financial Ratios, Political Risk and Financial Distress: A Survival Analysis
Accounting and Finance Review (AFR) Vol.2(2) 2017. 26-34
Farida Titik Kristanti and Aldrin Herwany
Telkom University and Universitas Padjadjaran - Department of Management and Business
Date Posted: July 17, 2017
Last Revised: July 19, 2017
Accepted Paper Series

Incl. Electronic Paper Dynamic Quantile Function Models
Wilson Y. Chen, Gareth William Peters, Richard H. Gerlach and Scott Sisson
University of Sydney Business School, University College London - Department of Statistical Science, University of Sydney and University of New South Wales (UNSW) - School of Mathematics and Statistics
Date Posted: July 17, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper The Federal Reserve's Portfolio and its Effect on Interest Rates
FEDS Working Paper No. 2017-075
Jeffrey Huther, Jane E. Ihrig and Elizabeth Klee
World Bank, Federal Reserve Board - International Financial Transactions and Board of Governors of the Federal Reserve System
Date Posted: July 17, 2017
Working Paper Series
3 downloads

The Profitability in the CDS Market
Hao Cheng and Kian Guan Lim
Singapore Management University and Singapore Management University
Date Posted: July 16, 2017
Working Paper Series

Incl. Electronic Paper The Risk-Return Tradeoff Among Equity Factors
Pedro Barroso and Paulo F. Maio
UNSW Australia Business School, School of Banking and Finance and Hanken School of Economics - Department of Finance and Statistics
Date Posted: July 16, 2017
Working Paper Series
41 downloads

Incl. Electronic Paper Would Hedge Fund Regulation Mitigate Systemic Risk? Direct vs. Indirect Regulation Approach
International Business Research, 10(8), pp. 31-43, 2017
Mehnaz Roushan Laura and Nafiz Ul Fahad
Jahangirnagar University - Department of Accounting and Information System and Independent University, Bangladesh (IUB)
Date Posted: July 15, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper What's Mine Is Yours: Sovereign Risk Transmission during the European Debt Crisis
Melbourne Institute Working Paper No. 17/17
Matthew Greenwood-Nimmo, Viet Hoang Nguyen and Yongcheol Shin
University of Melbourne, Melbourne Institute of Applied Economic and Social Research and University of Leeds - Leeds University Business School - Division of Economics
Date Posted: July 14, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper 신용등급이 국내기업의 자금차입 변동성에 미치는 영향 (Credit Rating and Volatility of Corporate Debt Financing: Empirical Analysis of Listed Firms in Korea)
Korea Deposit Insurance Corporation, Vol. 18, No. 1-8, 2017
Heonsoo Kim, Byung-Uk Chong and In-Deok Hwang
University of Seoul, University of Seoul and Korea Ratings
Date Posted: July 14, 2017
Accepted Paper Series
4 downloads

Incl. Electronic Paper Deposit Insurance and the 2008-2009 Global Financial Crisis
Korea Deposit Insurance Corporation, Vol. 18, No. 1-1, 2017
Iftekhar Hasan, Yiwei Fang, Liuling Liu and Gaiyan Zhang
Gabelli School of Business, Fordham University, Illinois Institute of Technology, Bowling Green State University - College of Business Administration and University of Missouri at St. Louis - College of Business Administration
Date Posted: July 14, 2017
Accepted Paper Series
14 downloads

Incl. Electronic Paper Are Credit Ratings Redundant When Market Prices Reflect Credit Risk?
Oleg Gredil, Nishad Kapadia and Jung Hoon Lee
Tulane University -- A.B. Freeman School of Business, Tulane University - A.B. Freeman School of Business and Tulane University - A.B. Freeman School of Business
Date Posted: July 13, 2017
Last Revised: July 15, 2017
Working Paper Series
36 downloads

Incl. Electronic Paper EM Algorithm for Markov Chains Observed Via Gaussian Noise and Point Process Information: Theory and Case Studies
Camilla Damian, Zehra Eksi and Rüdiger Frey
Vienna University of Economics and Business, Vienna University of Economics and Business, Institute for Statistics and Mathematics and Vienna University of Economics and Business
Date Posted: July 11, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper Shadow Banking and Financial Stability under Limited Deposit Insurance
Lukas Voellmy
University of Bern - Department of Economics
Date Posted: July 11, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Local Hedging of Variable Annuities in the Presence of Basis Risk
Denis-Alexandre Trottier, Frédéric Godin and Emmanuel Hamel
Laval University, Concordia University and Laval University - Ecole d’Actuariat, Students
Date Posted: July 07, 2017
Working Paper Series
37 downloads

Incl. Electronic Paper Financial Trouble Across Generations: Evidence from the Universe of Personal Loans in Denmark
EPRU Working Paper Series 2017-03
Claus Thustrup Kreiner, Søren Leth‐Petersen and Louise Willerslev-Olsen
University of Copenhagen - Department of Economics, University of Copenhagen - Department of Economics and University of Copenhagen
Date Posted: July 07, 2017
Working Paper Series
21 downloads

Incl. Electronic Paper Theory and Practice of Portfolio Insurance
Risk & Reward, 2017, 2nd issue, pp. 4-9
Martin Kolrep, Harald Lohre and David Happersberger
Invesco, Invesco and Lancaster University - Department of Accounting and Finance
Date Posted: July 07, 2017
Accepted Paper Series
84 downloads

Incl. Electronic Paper Imputation of Multivariate Time Series Data - Performance Benchmarks for Multiple Imputation and Spectral Techniques
Johannes Bauer, Orazio Angelini and Alexander Denev
IHS Markit, IHS Markit and IHS Markit
Date Posted: July 06, 2017
Working Paper Series
18 downloads

Incl. Electronic Paper Abnormal Loan Growth, Credit Information Sharing and Systemic Risk in Asian Banks
Research in International Business and Finance (Forthcoming)
Wahyoe Soedarmono, Djauhari Sitorus and Amine Tarazi
Sampoerna School of Business, World Bank and Universite de Limoges, LAPE
Date Posted: July 06, 2017
Accepted Paper Series
13 downloads

Incl. Electronic Paper The Economic Cost of Capital: A VECM Approach for Estimating and Testing the Banking Sector's Response to Changes in Capital Ratios
Bank of England Working Paper No. 663
Sebastian Jose A de-Ramon and Michael R. Straughan
Bank of England - Prudential Regulation Authority and Bank of England
Date Posted: July 06, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper The Decline of Solvency Contagion Risk
Bank of England Working Paper No. 662
Marco Bardoscia, Paolo Barucca, Adam Brinley and John Hill
Bank of England, University of Zurich - Department of Banking and Finance, Bank of England and Bank of England
Date Posted: July 06, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper VAR and Stress Tests: The Impact of Fat-Tail Risk and Systemic Risk on Commercial Banks in Hong Kong and China
HKIMR Working Paper No. 14/2017
Jacky Yuk-chow So and Tony U
University of Macau and Macao University of Science and Technology
Date Posted: July 05, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper Stock Index Manipulation Around Election Announcements: Evidence from Pakistan Stock Exchange
International Journal of Accounting and Economics Studies. 5(2). 87-91 (2017)
Shahbaz Khan, Razzi Abbas Razzi Abbas Jafri Jr., Nida Baig, Muhammad Shaique and Muhammad Usman
Zhongnan University of Economics and Law, School of Finance, Students, National Bank Of Pakistan, Huazhong University of Science and Technology - College of Public Administration, Zhongnan University of Economics and Law - Zhongnan University of Economics and Law, School of Accounting, Students and Zhongnan University of Economics and Law, School of Finance, Students
Date Posted: July 05, 2017
Accepted Paper Series
11 downloads

Effects of Changes in Stock Index Compositions: A Literature Survey
International Review of Financial Analysis, Forthcoming
Pyemo Afego
Graduate School of Economics, Kyushu University
Date Posted: July 05, 2017
Accepted Paper Series

Incl. Electronic Paper On the Riskiness of Bank: A Two-Sided Story of Activity Strategies
Dung Viet Tran
Grenoble Université, Students
Date Posted: July 05, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Investment Commonality Across Insurance Companies: Fire Sale Risk and Corporate Yield Spreads
FEDS Working Paper No. 2017-069
Vikram K. Nanda, Wei Wu and Xing (Alex) Zhou
University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics, California State Polytechnic University, Pomona and Board of Governors of the Federal Reserve System
Date Posted: July 04, 2017
Working Paper Series
20 downloads

Incl. Fee Electronic Paper Negative Correlation between Stock and Futures Returns: An Unexploited Hedging Opportunity?
Bulletin of Economic Research, Vol. 69, Issue 3, pp. 209-215, 2017
Parantap Basu and GavinEcon
Durham University - Department of Economics and Finance and Federal Reserve Bank of St. Louis - Research Division
Date Posted: July 04, 2017
Accepted Paper Series

Incl. Fee Electronic Paper The Role of Gender in Entrepreneur–Investor Relationships: A Signaling Theory Approach
Entrepreneurship Theory and Practice, Vol. 41, Issue 4, pp. 567-590, 2017
Gry Agnete Alsos and Elisabet Ljunggren
University of Nordland - Nord University Business School and University of Nordland
Date Posted: July 04, 2017
Accepted Paper Series

Incl. Electronic Paper The Optimal Response of Bank Capital Requirements to Credit and Risk in a Model with Financial Spillovers
FRB of Cleveland Working Paper No. 17-11
Filippo Occhino
Federal Reserve Banks - Federal Reserve Bank of Cleveland
Date Posted: July 04, 2017
Accepted Paper Series
7 downloads

Incl. Electronic Paper Monetary Policy Transmission and Trade-Offs in the United States: Old and New
BIS Working Paper No. 649
Boris Hofmann and Gert Peersman
Bank for International Settlements (BIS) - Monetary and Economic Department and Ghent University-Universiteit Gent - Department of Financial Economics
Date Posted: July 03, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Market Estimation of a Prospect Theoretic Value Function
François Desmoulins-Lebeault, Luc Meunier and Sima Ohadi
Grenoble Ecole de Management - Grenoble Graduate School of Business, Grenoble Ecole de Management and Grenoble Ecole de Management
Date Posted: July 01, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper Moment Risks: Investment for Self and for a Firm
François Desmoulins-Lebeault and Luc Meunier
Grenoble Ecole de Management - Grenoble Graduate School of Business and Grenoble Ecole de Management
Date Posted: July 01, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Credible Underwriting and Reputation: Non-Contradiction of Higher IPO Underpricing
Oghenovo A. Obrimah
Pan-Atlantic University: Lagos Business School
Date Posted: June 30, 2017
Last Revised: July 15, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Call for a Global Policy to Confront Risks Facing the International Banking System
Dimitrios V. Siskos
ThinkingFinance
Date Posted: June 30, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Lender Forbearance
Andrew Bird, Aytekin Ertan, Stephen A. Karolyi and Thomas G. Ruchti
Carnegie Mellon University - Tepper School of Business, London Business School, Carnegie Mellon University - Tepper School of Business and Carnegie Mellon University - Tepper School of Business
Date Posted: June 30, 2017
Working Paper Series
45 downloads

Incl. Electronic Paper Extreme Portfolio Loss Correlations in Credit Risk
Andreas Mühlbacher and Thomas Guhr
University of Duisburg-Essen and University of Duisburg-Essen
Date Posted: June 30, 2017
Working Paper Series
29 downloads


 

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