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SSRN eLibrary Search Results
ERN: Systemic Risk (Topic)
81,533 Total downloads
Showing Papers 1 - 50 of 706
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1 2 3 4 ... 15 | Next >
   

Incl. Electronic Paper Can Microfinance Reduce Portfolio Volatility?
Ingo Walter and Nicolas A. Krauss
New York University - Leonard N. Stern School of Business and New York University (NYU) - Wilf Family Department of Politics
Date Posted: November 10, 2006
Last Revised: January 04, 2014
Working Paper Series
2541 downloads

Incl. Electronic Paper CoVaR
FRB of New York Staff Report No. 348
Tobias Adrian and Markus K. Brunnermeier
International Monetary Fund and Princeton University - Department of Economics
Date Posted: September 19, 2008
Last Revised: October 17, 2013
Working Paper Series
2295 downloads

Incl. Electronic Paper Systemic Risk and Central Clearing Counterparty Design
Swiss Finance Institute Research Paper No. 13-34
Hamed Amini, Damir Filipović and Andreea Minca
Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Date Posted: June 09, 2013
Last Revised: March 01, 2017
Working Paper Series
1465 downloads

Incl. Electronic Paper Measuring and Allocating Systemic Risk
Markus K. Brunnermeier and Patrick Cheridito
Princeton University - Department of Economics and ETH Zurich
Date Posted: December 29, 2013
Last Revised: July 26, 2014
Working Paper Series
1286 downloads

Incl. Electronic Paper Where the Risks Lie: A Survey on Systemic Risk
HEC Paris Research Paper No. FIN-2015-1088
Sylvain Benoit, Jean-Edouard Colliard, Christophe Hurlin and Christophe Perignon
Université Paris Dauphine - LEDa-SDFi, HEC Paris - Finance Department, University of Orleans and HEC Paris - Finance Department
Date Posted: March 15, 2015
Last Revised: February 09, 2016
Working Paper Series
1148 downloads

Incl. Electronic Paper The Parade of the Bankers’ New Clothes Continues: 31 Flawed Claims Debunked
Rock Center for Corporate Governance at Stanford University Working Paper No. 143, Stanford University Graduate School of Business Research Paper No. 15-58
Anat R. Admati and Martin F. Hellwig
Stanford Graduate School of Business and Max Planck Institute for Research on Collective Goods
Date Posted: July 11, 2013
Last Revised: January 12, 2016
Working Paper Series
980 downloads

Incl. Electronic Paper Model Risk of Risk Models
Journal of Financial Stability, Forthcoming, FEDS Working Paper No. 2014-34
Jon Danielsson, Kevin R. James, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, London School of Economics, University of Chile and Federal Reserve Board
Date Posted: April 18, 2014
Last Revised: June 01, 2017
Accepted Paper Series
947 downloads

Incl. Electronic Paper Does Governance Have a Role in Pricing? Cross-Country Evidence from Bitcoin Markets
Robert Viglione
University of South Carolina - Department of Finance
Date Posted: September 28, 2015
Working Paper Series
946 downloads

Incl. Electronic Paper Learning from History: Volatility and Financial Crises
FEDS Working Paper No. 2016-093
Jon Danielsson, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, University of Chile and Federal Reserve Board
Date Posted: November 21, 2016
Working Paper Series
837 downloads

Incl. Electronic Paper Factor High-Frequency Based Volatility (HEAVY) Models
Kevin Sheppard and Wen Xu
University of Oxford - Department of Economics and University of Oxford - Department of Economics
Date Posted: May 28, 2014
Working Paper Series
834 downloads

Incl. Electronic Paper The Price of Complexity in Financial Networks
Columbia Business School Research Paper No. 15-49
Stefano Battiston, Guido Caldarelli, Robert May, Tarik Roukny and Joseph E. Stiglitz
University of Zurich - Department of Banking and Finance, IMT Alti Studi Lucca, University of Oxford, Massachusetts Institute of Technology (MIT) and Columbia Business School - Finance and Economics
Date Posted: April 15, 2015
Last Revised: November 02, 2015
Working Paper Series
808 downloads

Incl. Electronic Paper Dynamic Conditional Beta
Robert F. Engle
New York University - Leonard N. Stern School of Business - Department of Economics
Date Posted: March 04, 2014
Last Revised: August 12, 2015
Working Paper Series
754 downloads

Incl. Electronic Paper Credit Default Swaps and Systemic Risk
Rama Cont and Andreea Minca
Imperial College London and Cornell University
Date Posted: August 29, 2014
Last Revised: November 03, 2014
Working Paper Series
721 downloads

Incl. Electronic Paper Too Interconnected to Fail: A Survey of the Interbank Networks Literature
SAFE Working Paper No. 91
Anne-Caroline Hüser
Goethe University Frankfurt
Date Posted: March 13, 2015
Last Revised: November 11, 2016
Working Paper Series
692 downloads

Incl. Electronic Paper The Pricing of the Illiquidity Factor's Systematic Risk
Yakov Amihud
New York University - Stern School of Business
Date Posted: March 21, 2014
Working Paper Series
673 downloads

Incl. Electronic Paper A new financial stress indicator: properties and conditional asset price behavior
Benoît Guilleminot, Jean-Jacques Ohana and Steve Ohana
SMILE Investment Solutions, Riskelia and ESCP Europe
Date Posted: August 28, 2013
Last Revised: May 13, 2014
Working Paper Series
648 downloads

Incl. Electronic Paper Modeling Systemic Risk with Markov Switching Graphical SUR Models
Daniele Bianchi, Monica Billio, Roberto Casarin and Massimo Guidolin
University of Warwick, Warwick Business School, Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Bocconi University - Department of Finance
Date Posted: December 14, 2014
Last Revised: May 18, 2017
Working Paper Series
584 downloads

Incl. Electronic Paper A Bayesian Methodology for Systemic Risk Assessment in Financial Networks
Axel Gandy and Luitgard A. M. Veraart
Imperial College London and London School of Economics & Political Science (LSE) - Department of Mathematics
Date Posted: March 21, 2015
Last Revised: May 03, 2016
Working Paper Series
582 downloads

Incl. Electronic Paper Networks in Production: Asset Pricing Implications
Journal of Finance, Forthcoming
Bernard Herskovic
University of California, Los Angeles (UCLA) - Anderson School of Management
Date Posted: June 09, 2015
Last Revised: April 16, 2017
Accepted Paper Series
549 downloads

Incl. Electronic Paper Asset Management and Systemic Risk
Paris December 2015 Finance Meeting EUROFIDAI - AFFI
Thierry Roncalli and Guillaume Weisang
Amundi Asset Management and Clark University - Graduate School of Management
Date Posted: May 29, 2015
Working Paper Series
540 downloads

Incl. Electronic Paper Banks, Shadow Banking, and Fragility
ECB Working Paper No. 1726
Stephan Luck and Paul Schempp
Board of Governors of the Federal Reserve System and Max Planck Institute for Research on Collective Goods
Date Posted: August 23, 2014
Working Paper Series
533 downloads

Incl. Electronic Paper The Alpha and Beta of Private Equity Investments
Axel Buchner
University of Passau
Date Posted: January 16, 2015
Working Paper Series
510 downloads

Incl. Electronic Paper The Intrafirm Complexity of Systemically Important Financial Institutions
Robin L. Lumsdaine, Daniel Rockmore, Nick J. Foti, Greg Leibon and J. Doyne Farmer
American University - Department of Finance and Real Estate, Dartmouth College - Department of Mathematics, University of Washington - Department of Statistics, Dartmouth College and University of Oxford
Date Posted: May 12, 2015
Last Revised: September 22, 2016
Working Paper Series
482 downloads

Incl. Electronic Paper Global Systemic Risk: What's Driving the Shadow Banking System?
Institute of Global Finance Working Paper No. 1
Robert F. Engle, Fariborz Moshirian and Christopher S Wong
New York University - Leonard N. Stern School of Business - Department of Economics, Institute of Global Finance, UNSW Business School and University of New South Wales (UNSW), UNSW Business School, School of Economics, Students
Date Posted: November 17, 2015
Working Paper Series
473 downloads

Incl. Electronic Paper Structural GARCH: The Volatility-Leverage Connection
Harvard Business School Finance Working Paper No. 16-009
Robert F. Engle and Emil Siriwardane
New York University - Leonard N. Stern School of Business - Department of Economics and Harvard Business School - Finance Unit
Date Posted: April 21, 2015
Last Revised: October 28, 2016
Working Paper Series
471 downloads

Incl. Electronic Paper Fire-Sale Spillovers and Systemic Risk
FRB of New York Staff Report No. 645
Fernando Duarte and Thomas M. Eisenbach
Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Date Posted: October 16, 2013
Last Revised: April 11, 2015
Working Paper Series
469 downloads

Incl. Electronic Paper The Lehman Brothers Bankruptcy H: The Global Contagion
Yale Program on Financial Stability Case Study 2014-3H-V1
Rosalind Z. Wiggins and Andrew Metrick
Yale University - Yale Program on Financial Stability and Yale School of Management
Date Posted: April 12, 2015
Working Paper Series
452 downloads

Incl. Electronic Paper Too Big to Fail and Too Big to Save: Dilemmas for Banking Reform
James R. Barth and Clas Wihlborg
Auburn University and Chapman University
Date Posted: December 19, 2015
Working Paper Series
449 downloads

Incl. Electronic Paper The Impact of Central Clearing on Banks' Lending Discipline
Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Marc Arnold
University of St. Gallen - School of Finance
Date Posted: November 19, 2013
Last Revised: September 10, 2016
Working Paper Series
448 downloads

Incl. Electronic Paper Measuring Systemic Risk: Copula CoVaR
Kuan-Heng Chen and Khaldoun Khashanah
Stevens Institute of Technology and affiliation not provided to SSRN
Date Posted: July 30, 2014
Last Revised: April 20, 2015
Working Paper Series
445 downloads

Incl. Electronic Paper Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights
Viral V. Acharya, Robert F. Engle and Diane Pierret
New York University - Leonard N. Stern School of Business, New York University - Leonard N. Stern School of Business - Department of Economics and HEC - University of Lausanne
Date Posted: April 04, 2013
Last Revised: October 01, 2015
Working Paper Series
428 downloads

Incl. Electronic Paper Shadow Bank Monitoring
FRB of New York Staff Report No. 638
Tobias Adrian, Adam B. Ashcraft and Nicola Cetorelli
International Monetary Fund, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Date Posted: October 03, 2013
Working Paper Series
406 downloads

Incl. Electronic Paper The Dark Side of Liquidity Creation: Leverage and Systemic Risk
Journal of Financial Intermediation, Forthcoming, European Corporate Governance Institute (ECGI) - Finance Working Paper No. 445/2015
Viral V. Acharya and Anjan V. Thakor
New York University - Leonard N. Stern School of Business and Washington University, Saint Louis - John M. Olin School of Business
Date Posted: December 18, 2014
Last Revised: June 16, 2017
Accepted Paper Series
393 downloads

Incl. Electronic Paper Does High-Frequency Trading Increase Systemic Risk?
Journal of Financial Markets, 2016
Pankaj K. Jain, Pawan Jain and Thomas H. McInish
University of Memphis - Fogelman College of Business and Economics, University of Wyoming - College of Business - Department of Economics and Finance and University of Memphis - Fogelman College of Business and Economics
Date Posted: July 31, 2016
Working Paper Series
386 downloads

Incl. Electronic Paper Stress Testing Bank Profitability
Til Schuermann, Michael Duane and Peter Reynolds
Oliver Wyman , Oliver Wyman and Oliver Wyman
Date Posted: October 28, 2013
Working Paper Series
368 downloads

Incl. Electronic Paper Systemic Risk and Centralized Clearing of OTC Derivatives: A Network Approach
Svetlana Borovkova and Hicham Lalaoui El Mouttalibi
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration and VU University Amsterdam
Date Posted: October 03, 2013
Last Revised: December 11, 2013
Working Paper Series
363 downloads

Incl. Electronic Paper Financial Connections and Systemic Risk
European Banking Center Discussion Paper No. 2010-23S, CentER Discussion Paper Series No. 2010-88S
Franklin Allen, Ana Babus and Elena Carletti
Imperial College London, Federal Reserve Bank of Chicago and Bocconi University - Department of Finance
Date Posted: August 28, 2010
Working Paper Series
358 downloads

Incl. Electronic Paper The Systemic Risk of Energy Markets
Diane Pierret
HEC - University of Lausanne
Date Posted: April 07, 2013
Working Paper Series
354 downloads

Incl. Electronic Paper Endogenous Financial Networks: Efficient Modularity and Why Shareholders Prevent It
Matthew Elliott and Jonathon Hazell
California Institute of Technology - Division of the Humanities and Social Sciences and Massachusetts Institute of Technology (MIT)
Date Posted: September 11, 2015
Last Revised: March 07, 2016
Working Paper Series
348 downloads

Incl. Electronic Paper Asset Value Dynamics in Centrally Cleared Networks
Agostino Capponi, W. Allen Cheng and Sriram Rajan
Columbia University, Columbia University and Government of the United States of America - Office of Financial Research
Date Posted: December 26, 2014
Last Revised: May 23, 2016
Working Paper Series
342 downloads

Incl. Electronic Paper Systemic Risk in Central Clearing: Should Crowded Trades Be Avoided?
Albert J. Menkveld
VU University Amsterdam
Date Posted: December 14, 2013
Last Revised: October 08, 2016
Working Paper Series
342 downloads

Incl. Electronic Paper Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area
IMF Working Paper No. 13/209
Dominic Quint and Pau Rabanal
Deutsche Bundesbank and International Monetary Fund
Date Posted: October 30, 2013
Working Paper Series
336 downloads

Incl. Electronic Paper Inhomogeneous Financial Networks and Contagious Links
Hamed Amini and Andreea Minca
Ecole Polytechnique Fédérale de Lausanne and Cornell University
Date Posted: November 07, 2014
Working Paper Series
332 downloads

Incl. Electronic Paper Interconnectedness as a Source of Uncertainty in Systemic Risk
Columbia Business School Research Paper No. 16-14
Tarik Roukny, Stefano Battiston and Joseph E. Stiglitz
Massachusetts Institute of Technology (MIT), University of Zurich - Department of Banking and Finance and Columbia Business School - Finance and Economics
Date Posted: February 03, 2016
Last Revised: February 20, 2016
Working Paper Series
324 downloads

Incl. Electronic Paper Option-Implied Idiosyncratic and Systematic Risk in the Cross-Section of Expected Stock Returns
Swedish House of Finance Research Paper No 15-15
Ricardo Lopez Aliouchkin
Syracuse University
Date Posted: November 01, 2015
Last Revised: December 01, 2015
Working Paper Series
324 downloads

Incl. Electronic Paper Systemic Risk in the Financial Sector: What Can We Learn from Option Markets?
Holger Kraft and Alexander Schmidt
Goethe University Frankfurt and Deutsche Bundesbank
Date Posted: July 02, 2013
Last Revised: January 18, 2015
Working Paper Series
324 downloads

Incl. Electronic Paper Collateral Risk, Repo Rollover and Shadow Banking
Shengxing Zhang
London School of Economics (LSE) - Department of Economics
Date Posted: September 17, 2014
Last Revised: October 31, 2014
Working Paper Series
321 downloads

Incl. Electronic Paper Ending Over-Lending: Assessing Systemic Risk with Debt to Cash Flow
ECB Working Paper No. 1769
Bruce A. Ramsay and Peter Sarlin
Cascadia Monetary Research and Hanken School of Economics
Date Posted: March 27, 2015
Working Paper Series
320 downloads

Incl. Electronic Paper Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads
Economic Research Initiatives at Duke (ERID) Working Paper No. 167
Dong Hwan Oh and Andrew J. Patton
Federal Reserve Board and Duke University - Department of Economics
Date Posted: May 24, 2013
Last Revised: November 16, 2013
Accepted Paper Series
320 downloads

Incl. Electronic Paper Catastrophe Bonds and Systemic Risk
26th Australasian Finance and Banking Conference 2013
Gregor N. F. Weiss, Denefa Bostandzic and Felix Irresberger
University of Leipzig - Faculty of Economics and Management Science, Ruhr Universität Bochum and Cardiff Business School
Date Posted: August 20, 2013
Last Revised: August 21, 2013
Working Paper Series
318 downloads


 

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