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ERN: Systemic Risk (Topic)

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Viewing: 1 - 50 of 824 papers

1.

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 2,565
2.

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 2,373
3.

Does Governance Have a Role in Pricing? Cross-Country Evidence from Bitcoin Markets

Number of pages: 31 Posted: 28 Sep 2015
Working Paper Series
University of South Carolina - Department of Finance
Downloads 1,731
4.

Systemic Risk and Central Clearing Counterparty Design

Swiss Finance Institute Research Paper No. 13-34
Number of pages: 46 Posted: 09 Jun 2013 Last Revised: 01 Mar 2017
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads 1,570
5.

Where the Risks Lie: A Survey on Systemic Risk

HEC Paris Research Paper No. FIN-2015-1088
Number of pages: 58 Posted: 15 Mar 2015 Last Revised: 09 Feb 2016
Working Paper Series
Université Paris Dauphine - LEDa-SDFi, HEC Paris - Finance Department, University of Orleans and HEC Paris
Downloads 1,344
6.

Measuring and Allocating Systemic Risk

Number of pages: 22 Posted: 29 Dec 2013 Last Revised: 26 Jul 2014
Working Paper Series
Princeton University - Department of Economics and ETH Zurich
Downloads 1,340
7.

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
Number of pages: 33 Posted: 11 Jul 2013 Last Revised: 12 Jan 2016
Working Paper Series
Stanford Graduate School of Business and Max Planck Institute for Research on Collective Goods
Downloads 1,007
8.

Model Risk of Risk Models

Journal of Financial Stability, Forthcoming, FEDS Working Paper No. 2014-34
Number of pages: 33 Posted: 18 Apr 2014 Last Revised: 01 Jun 2017
Accepted Paper Series
London School of Economics - Systemic Risk Centre, London School of Economics & Political Science (LSE) - Systemic Risk Centre, University of Chile and Federal Reserve Board
Downloads 973
9.

Factor High-Frequency Based Volatility (HEAVY) Models

Number of pages: 47 Posted: 28 May 2014
Working Paper Series
University of Oxford - Department of Economics and Capital University of Economics and Business-International School of Economics and Management
Downloads 929
10.

Learning from History: Volatility and Financial Crises

FEDS Working Paper No. 2016-093
Number of pages: 46 Posted: 21 Nov 2016
Working Paper Series
London School of Economics - Systemic Risk Centre, University of Chile and Federal Reserve Board
Downloads 922
11.

The Price of Complexity in Financial Networks

Columbia Business School Research Paper No. 15-49
Number of pages: 28 Posted: 15 Apr 2015 Last Revised: 02 Nov 2015
Working Paper Series
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
Downloads 831
12.

Dynamic Conditional Beta

Number of pages: 45 Posted: 04 Mar 2014 Last Revised: 12 Aug 2015
Working Paper Series
New York University - Leonard N. Stern School of Business - Department of Economics

Multiple version iconThere are 3 versions of this paper

Downloads 822
13.

Credit Default Swaps and Systemic Risk

Number of pages: 24 Posted: 29 Aug 2014 Last Revised: 03 Nov 2014
Working Paper Series
Imperial College London and Cornell University
Downloads 796
14.

Too Interconnected to Fail: A Survey of the Interbank Networks Literature

SAFE Working Paper No. 91
Number of pages: 47 Posted: 13 Mar 2015 Last Revised: 11 Nov 2016
Working Paper Series
Goethe University Frankfurt
Downloads 791
15.

Networks in Production: Asset Pricing Implications

Journal of Finance, Forthcoming
Number of pages: 42 Posted: 09 Jun 2015 Last Revised: 16 Apr 2017
Accepted Paper Series
University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 751
16.

Systematic and Unsystematic Risk Determinants of Liquidity Risk between Islamic and Conventional Banks

International Journal of Economics and Financial Issues, 6(4), 1321-1327, 2016
Number of pages: 7 Posted: 12 May 2017
Accepted Paper Series
Universiti Utara Malaysia and Universiti Malaysia Perlis - School of Business Innovation & Techno (PPIPT)
Downloads 745
17.

The Pricing of the Illiquidity Factor's Systematic Risk

Number of pages: 30 Posted: 21 Mar 2014
Working Paper Series
New York University - Stern School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 736
18.

A Bayesian Methodology for Systemic Risk Assessment in Financial Networks

Number of pages: 42 Posted: 21 Mar 2015 Last Revised: 03 May 2016
Working Paper Series
Imperial College London and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 683
19.

A new financial stress indicator: properties and conditional asset price behavior

Number of pages: 41 Posted: 28 Aug 2013 Last Revised: 13 May 2014
Working Paper Series
SMILE Investment Solutions, Riskelia and ESCP Europe
Downloads 662
20.

Modeling Systemic Risk with Markov Switching Graphical SUR Models

Number of pages: 49 Posted: 14 Dec 2014 Last Revised: 18 May 2017
Working Paper Series
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
Downloads 624
21.

Asset Management and Systemic Risk

Paris December 2015 Finance Meeting EUROFIDAI - AFFI
Number of pages: 52 Posted: 29 May 2015
Working Paper Series
Amundi Asset Management and Clark University - Graduate School of Management
Downloads 577
22.

Banks, Shadow Banking, and Fragility

ECB Working Paper No. 1726
Number of pages: 39 Posted: 23 Aug 2014
Working Paper Series
Board of Governors of the Federal Reserve System and University of Cologne - Center for Macroeconomic Research (CMR)
Downloads 569
23.

The Alpha and Beta of Private Equity Investments

Number of pages: 58 Posted: 16 Jan 2015
Working Paper Series
University of Passau
Downloads 560
24.

Structural GARCH: The Volatility-Leverage Connection

Harvard Business School Finance Working Paper No. 16-009
Number of pages: 62 Posted: 21 Apr 2015 Last Revised: 28 Oct 2016
Working Paper Series
New York University - Leonard N. Stern School of Business - Department of Economics and Harvard Business School - Finance Unit
Downloads 539
25.

Fire-Sale Spillovers and Systemic Risk

FRB of New York Staff Report No. 645
Number of pages: 77 Posted: 16 Oct 2013 Last Revised: 11 Apr 2015
Working Paper Series
Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 538
26.

The Intrafirm Complexity of Systemically Important Financial Institutions

Number of pages: 65 Posted: 12 May 2015 Last Revised: 22 Sep 2016
Working Paper Series
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
Downloads 508
27.

Measuring Systemic Risk: Copula CoVaR

Number of pages: 30 Posted: 30 Jul 2014 Last Revised: 20 Apr 2015
Working Paper Series
Stevens Institute of Technology and affiliation not provided to SSRN
Downloads 506
28.

The Lehman Brothers Bankruptcy H: The Global Contagion

Yale Program on Financial Stability Case Study 2014-3H-V1
Number of pages: 26 Posted: 12 Apr 2015
Working Paper Series
Yale University - Yale Program on Financial Stability and Yale School of Management
Downloads 498
29.

Global Systemic Risk: What's Driving the Shadow Banking System?

Institute of Global Finance Working Paper No. 1
Number of pages: 16 Posted: 17 Nov 2015
Working Paper Series
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
Downloads 493
30.

The Management of Systemic Risk from a Legal Perspective

Number of pages: 22 Posted: 10 Jan 2015
Working Paper Series
King's College London
Downloads 469
31.

Too Big to Fail and Too Big to Save: Dilemmas for Banking Reform

Number of pages: 95 Posted: 19 Dec 2015
Working Paper Series
Auburn University and Chapman University
Downloads 468
32.

The Impact of Central Clearing on Banks' Lending Discipline

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 42 Posted: 19 Nov 2013 Last Revised: 10 Sep 2016
Working Paper Series
University of St. Gallen - School of Finance
Downloads 462
33.

Shadow Bank Monitoring

FRB of New York Staff Report No. 638
Number of pages: 35 Posted: 03 Oct 2013
Working Paper Series
International Monetary Fund, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 451
34.

Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights

Number of pages: 51 Posted: 04 Apr 2013 Last Revised: 01 Oct 2015
Working Paper Series
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

Multiple version iconThere are 4 versions of this paper

Downloads 450
35.

Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area

IMF Working Paper No. 13/209
Number of pages: 61 Posted: 30 Oct 2013
Working Paper Series
Deutsche Bundesbank and International Monetary Fund
Downloads 432
36.

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
Number of pages: 66 Posted: 18 Dec 2014 Last Revised: 28 Jun 2017
Accepted Paper Series
New York University - Leonard N. Stern School of Business and Washington University, Saint Louis - John M. Olin School of Business
Downloads 418
37.

Does High-Frequency Trading Increase Systemic Risk?

Journal of Financial Markets, 2016
Number of pages: 44 Posted: 31 Jul 2016
Working Paper Series
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
Downloads 417
38.

Central Clearing and Risk Transformation

Norges Bank Working Paper 3/2017
Number of pages: 21 Posted: 20 Apr 2017
Working Paper Series
Imperial College London

Multiple version iconThere are 2 versions of this paper

Downloads 414
39.

Stress Testing Bank Profitability

Number of pages: 22 Posted: 28 Oct 2013
Working Paper Series
Oliver Wyman , Oliver Wyman and Oliver Wyman
Downloads 408
40.

Shadow Banking and Systemic Risk

European Banking Institute Working Paper Series 2017 - no. 1
Number of pages: 24 Posted: 06 Feb 2017
Working Paper Series
Ghent University - Financial Law Institute
Downloads 387
41.

Systemic Risk and Centralized Clearing of OTC Derivatives: A Network Approach

Number of pages: 56 Posted: 03 Oct 2013 Last Revised: 11 Dec 2013
Working Paper Series
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration and VU University Amsterdam
Downloads 385
42.

The Remaking of Wall Street

7 Harvard Business Law Review 315 (2017), Washington University in St. Louis Legal Studies Research Paper No. 17-07-01
Number of pages: 60 Posted: 19 Jul 2017 Last Revised: 10 Jan 2018
Working Paper Series
Washington University in Saint Louis - School of Law
Downloads 381
43.

Dynamic Interpretation of Emerging Systemic Risks

Number of pages: 56 Posted: 11 Jun 2016 Last Revised: 02 Oct 2017
Working Paper Series
Lehigh University - College of Business & Economics and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 379
44.

Endogenous Financial Networks: Efficient Modularity and Why Shareholders Prevent It

Number of pages: 47 Posted: 11 Sep 2015 Last Revised: 07 Mar 2016
Working Paper Series
California Institute of Technology - Division of the Humanities and Social Sciences and Massachusetts Institute of Technology (MIT)
Downloads 375
45.

Eight Centuries of the Risk-Free Rate: Bond Market Reversals from the Venetians to the ‘VaR Shock’

Bank of England Working Paper No. 686
Number of pages: 40 Posted: 01 Nov 2017
Working Paper Series
Harvard University
Downloads 374
46.

Too Big to Fool: Moral Hazard, Bailouts, and Corporate Responsibility

Minnesota Law Review, Vol. 102, Forthcoming, Duke Law School Public Law & Legal Theory Series No. 2016-58
Number of pages: 41 Posted: 04 Oct 2016 Last Revised: 21 Dec 2017
Accepted Paper Series
Duke University School of Law
Downloads 369
47.

The Systemic Risk of Energy Markets

Number of pages: 40 Posted: 07 Apr 2013
Working Paper Series
HEC - University of Lausanne
Downloads 367
48.

Enterprise Value Dynamics in Centrally Cleared Markets

Number of pages: 33 Posted: 26 Dec 2014 Last Revised: 07 Oct 2017
Working Paper Series
Columbia University, AQR Capital Management, LLC and Government of the United States of America - Office of Financial Research
Downloads 366
49.

Systemic Risk in Central Clearing: Should Crowded Trades Be Avoided?

Number of pages: 59 Posted: 14 Dec 2013 Last Revised: 08 Oct 2016
Working Paper Series
VU Amsterdam
Downloads 366
50.

Financial Connections and Systemic Risk

European Banking Center Discussion Paper No. 2010-23S, CentER Discussion Paper Series No. 2010-88S
Number of pages: 43 Posted: 28 Aug 2010
Working Paper Series
Imperial College London, Federal Reserve Bank of Chicago and Bocconi University - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 363