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Econometric Modeling: Capital Markets - Risk eJournal

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Viewing: 1 - 50 of 5,462 papers

1.

A Five-Factor Asset Pricing Model

Fama-Miller Working Paper
Number of pages: 52 Posted: 30 Jun 2013 Last Revised: 23 Sep 2014
Working Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth
Downloads 39,394
2.

Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2013 Edition

Number of pages: 114 Posted: 24 Mar 2013
Working Paper Series
New York University - Stern School of Business
Downloads 26,281
3.

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 23,995
4.

Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2015 Edition

Number of pages: 120 Posted: 21 Mar 2015
Working Paper Series
New York University - Stern School of Business
Downloads 23,713
5.

Country Risk: Determinants, Measures and Implications - The 2015 Edition

Number of pages: 97 Posted: 15 Jul 2015 Last Revised: 01 Aug 2015
Working Paper Series
New York University - Stern School of Business
Downloads 20,100
6.

Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2016 Edition

Number of pages: 136 Posted: 05 Mar 2016
Working Paper Series
New York University - Stern School of Business
Downloads 13,548
7.

Size Matters, If You Control Your Junk

Fama-Miller Working Paper
Number of pages: 59 Posted: 23 Jan 2015 Last Revised: 16 Apr 2015
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC, AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 13,083
8.

Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2014 Edition

Number of pages: 114 Posted: 16 Mar 2014
Working Paper Series
New York University - Stern School of Business
Downloads 9,001
9.

Understanding CVA, DVA, and FVA: Examples of Interest Rate Swap Valuation

Number of pages: 38 Posted: 18 Oct 2014 Last Revised: 15 Jul 2015
Working Paper Series
Boston University - Department of Finance & Economics
Downloads 8,575
10.

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
University of Navarra - IESE Business School, University of Navarra, IESE Business School and University of Navarra
Downloads 8,145
11.

The Volatility Effect: Lower Risk Without Lower Return

Journal of Portfolio Management, pp. 102-113, Fall 2007, ERIM Report Series Reference No. ERS-2007-044-F&A
Number of pages: 23 Posted: 17 Apr 2007
Accepted Paper Series
Robeco Asset Management - Quantitative Strategies and Robeco Asset Management - Quantitative Strategies
Downloads 8,037
12.

What Risk Premium is 'Normal'?

Financial Analysts Journal, Vol. 58, No. 2, March/April 2002, pp. 64-85.
Number of pages: 40 Posted: 15 Jan 2002 Last Revised: 30 Dec 2016
Accepted Paper Series
Research Affiliates, LLC and Peter L. Bernstein, Inc.

Multiple version iconThere are 2 versions of this paper

Downloads 6,735
13.

Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2017 Edition

Number of pages: 141 Posted: 07 Apr 2017
Working Paper Series
New York University - Stern School of Business
Downloads 6,529
14.

An Intermarket Approach to Tactical Risk Rotation: Using the Signaling Power of Treasuries to Generate Alpha and Enhance Asset Allocation

2014 Wagner Award, 3rd Place
Number of pages: 18 Posted: 01 May 2014
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads 5,801
15.

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 4,938
16.

Measuring Market Risk Under the Basel Accords: VaR, Stressed VaR, and Expected Shortfall

8 Aestimatio 184 (2014) -- Aestimatio, The IEB International Journal of Finance, volume 8, pp. 184-201 (2014)
Number of pages: 18 Posted: 17 Apr 2013 Last Revised: 23 Apr 2014
Accepted Paper Series
Michigan State University - College of Law
Downloads 4,876
17.

Living with Noise: Investing and Valuation in the Face of Uncertainty

Number of pages: 34 Posted: 20 Sep 2013
Working Paper Series
New York University - Stern School of Business
Downloads 4,485
18.

Backtesting

Number of pages: 32 Posted: 27 Oct 2013 Last Revised: 30 Jul 2015
Working Paper Series
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 4,372
19.

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 4,213
20.

Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)

Betriebswirtschaftliche Forschung & Praxis, 65 (5), pp. 469-492, CEFS Working Paper 01-2011
Number of pages: 32 Posted: 17 Nov 2011 Last Revised: 13 Nov 2013
Accepted Paper Series
Robeco Asset Management - Quantitative Strategies, Technische Universität München (TUM) and University of Marburg - School of Business & Economics
Downloads 4,006
21.

On Origins of Alpha

The Hedge Fund Journal 108 (2015) 47-50
Number of pages: 8 Posted: 08 Mar 2015 Last Revised: 05 Nov 2015
Accepted Paper Series
Quantigic Solutions LLC
Downloads 3,565
22.

A Century of Generalized Momentum; From Flexible Asset Allocations (FAA) to Elastic Asset Allocation (EAA)

Number of pages: 32 Posted: 31 Dec 2014 Last Revised: 21 Jan 2015
Working Paper Series
VU University Amsterdam and ReSolve Asset Management
Downloads 3,521
23.

Global Evidence on the Equity Risk Premium

Journal of Applied Corporate Finance, Vol 15, No 4, pages 27–34, LBS Accounting Subject Area Working Paper No. IFA 385,
Number of pages: 15 Posted: 11 Aug 2003 Last Revised: 20 Mar 2016
Working Paper Series
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting

Multiple version iconThere are 2 versions of this paper

Downloads 3,480
24.

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 3,349
25.

Optimal Portfolios for the Long Run

Number of pages: 26 Posted: 06 Sep 2013 Last Revised: 05 Feb 2014
Working Paper Series
Morningstar Investment Management, The American College and The American College
Downloads 3,323
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
Quantigic Solutions LLC
Downloads 3,286
27.

Risk and Return in High-Frequency Trading

Number of pages: 82 Posted: 06 May 2014 Last Revised: 15 Nov 2017
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Washington - Department of Finance and Business Economics, Stockholm University - Stockholm Business School and Imperial College London - Centre for Global Finance and Technology
Downloads 3,283
28.

Leverage for the Long Run - A Systematic Approach to Managing Risk and Magnifying Returns in Stocks

Number of pages: 18 Posted: 07 Mar 2016
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads 3,238
29.

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
Quantigic Solutions LLC
Downloads 3,142
30.

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
University of Southern California - Marshall School of Business - Finance and Business Economics Department and Ohio State University (OSU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,089
31.

Estimating Lifetime Expected Credit Losses Under IFRS 9

Number of pages: 22 Posted: 04 Apr 2016 Last Revised: 05 Mar 2017
Working Paper Series
Unisys Machine Learning and Advanced Analytics Services
Downloads 2,855
32.

The Credit Risk Premium

Number of pages: 50 Posted: 14 Feb 2015 Last Revised: 05 Aug 2016
Working Paper Series
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 2,724
33.

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 2,719
34.

Credit Scoring and the Availability, Price, and Risk of Small Business Credit

FRB of Atlanta Working Paper No. 2002-6, FEDS Working Paper No. 2002-26
Number of pages: 39 Posted: 23 Jun 2002
Working Paper Series
University of South Carolina - Darla Moore School of Business, Federal Reserve Bank of Atlanta and Georgetown University - Robert Emmett McDonough School of Business
Downloads 2,686
35.

Risk Premia and the VIX Term Structure

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 50 Posted: 11 Jan 2015 Last Revised: 14 Jan 2017
Accepted Paper Series
The University of Texas at Austin - Department of Finance
Downloads 2,681
36.

An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk

Journal of Fixed Income, Forthcoming
Number of pages: 29 Posted: 21 May 2013 Last Revised: 23 Dec 2015
Accepted Paper Series
Risk Models, BMO Capital Markets
Downloads 2,583
37.

The Equity Risk Premium in 2014

Number of pages: 21 Posted: 08 Apr 2014
Working Paper Series
Duke University and Duke University - Fuqua School of Business
Downloads 2,582
38.

Can Microfinance Reduce Portfolio Volatility?

Number of pages: 33 Posted: 10 Nov 2006 Last Revised: 04 Jan 2014
Working Paper Series
New York University - Leonard N. Stern School of Business and New York University (NYU) - Wilf Family Department of Politics

Multiple version iconThere are 2 versions of this paper

Downloads 2,559
39.

Generalized Risk-Based Investing

Number of pages: 43 Posted: 24 Jan 2013 Last Revised: 20 Apr 2013
Working Paper Series
ESCP Europe, Lombard Odier & Cie and Unigestion
Downloads 2,466
40.

Neither 'Normal' nor 'Lognormal': Modeling Interest Rates Across All Regimes

Financial Analysts Journal, Vol. 72, No. 3, 2016
Number of pages: 21 Posted: 24 Nov 2013 Last Revised: 20 Apr 2016
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management and ARPM
Downloads 2,378
41.

CoVaR

FRB of New York Staff Report No. 348
Number of pages: 45 Posted: 19 Sep 2008 Last Revised: 17 Oct 2013
Working Paper Series
International Monetary Fund and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 2,350
42.

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
AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 2,281
43.

Derivatives and Corporate Risk Management: Participation and Volume Decisions in the Insurance Industry

Forthcoming
Number of pages: 49 Posted: 27 May 1998 Last Revised: 05 Aug 2014
Accepted Paper Series
Temple University - Risk Management & Insurance & Actuarial Science, Georgia State University - Risk Management & Insurance Department and (Deceased)

Multiple version iconThere are 2 versions of this paper

Downloads 2,270
44.

Forecasting Stock Returns in Good and Bad Times: The Role of Market States

27th Australasian Finance and Banking Conference 2014 Paper, Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 41 Posted: 14 Dec 2012 Last Revised: 01 Aug 2017
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE) - School of Finance, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 2,230
45.

The Equity Risk Premium in 2015

Number of pages: 21 Posted: 30 May 2015 Last Revised: 04 Dec 2015
Working Paper Series
Duke University and Duke University - Fuqua School of Business
Downloads 2,215
46.

Risk Adjusted Time Series Momentum

Swiss Finance Institute Research Paper No. 14-71
Number of pages: 65 Posted: 23 Jun 2014 Last Revised: 06 Jan 2015
Working Paper Series
Quantica Capital, Quantica Capital and Ecole Polytechnique Federale de Lausanne
Downloads 2,206
47.

Deep Learning for Mortgage Risk

Number of pages: 75 Posted: 23 Jun 2016 Last Revised: 05 Oct 2017
Working Paper Series
Imperial College London - Department of Mathematics, Stanford University and Stanford University - Management Science & Engineering
Downloads 2,169
48.

High Frequency Quoting: Short-Term Volatility in Bids and Offers

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 67 Posted: 24 Mar 2013 Last Revised: 02 Jul 2017
Working Paper Series
New York University (NYU) - Department of Finance
Downloads 2,124
49.

The Equity Risk Premium in 2013

Number of pages: 22 Posted: 25 Jan 2013 Last Revised: 13 Jun 2013
Working Paper Series
Duke University and Duke University - Fuqua School of Business
Downloads 2,118
50.

Why are Some Issues of Convertibles Callable and Others Not?

Number of pages: 41 Posted: 07 Oct 2012
Working Paper Series
affiliation not provided to SSRN, Warwick Business School and University of Warwick - Finance Group
Downloads 2,026