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ERN: Systemic Risk (Topic)

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Viewing: 1 - 50 of 732 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 2,546
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 2,314
3.

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 1,494
4.

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 1,300
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 - Finance Department
Downloads 1,202
6.

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 1,045
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 986
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, University of Chile and Federal Reserve Board
Downloads 952
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 University of Oxford - Department of Economics
Downloads 856
10.

Learning from History: Volatility and Financial Crises

FEDS Working Paper No. 2016-093
Number of pages: 45 Posted: 21 Nov 2016
Working Paper Series
London School of Economics - Systemic Risk Centre, University of Chile and Federal Reserve Board
Downloads 853
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 810
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 767
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 737
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 721
15.

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 686
16.

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 653
17.

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 608
18.

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 597
19.

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 593
20.

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 554
21.

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 Max Planck Institute for Research on Collective Goods
Downloads 544
22.

The Alpha and Beta of Private Equity Investments

Number of pages: 58 Posted: 16 Jan 2015
Working Paper Series
University of Passau
Downloads 528
23.

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 486
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 483
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 482
26.

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 478
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 463
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 461
29.

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 459
30.

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 453
31.

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 432
32.

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 420
33.

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 401
34.

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 394
35.

Does Sentiment Index Predict Future Returns?

Number of pages: 44 Posted: 10 Apr 2017 Last Revised: 12 Apr 2017
Working Paper Series
University of Waikato and University of Waikato
Downloads 392
36.

Stress Testing Bank Profitability

Number of pages: 22 Posted: 28 Oct 2013
Working Paper Series
Oliver Wyman , Oliver Wyman and Oliver Wyman
Downloads 381
37.

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 368
38.

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 361
39.

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 358
40.

The Systemic Risk of Energy Markets

Number of pages: 40 Posted: 07 Apr 2013
Working Paper Series
HEC - University of Lausanne
Downloads 355
41.

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 354
42.

Asset Value Dynamics in Centrally Cleared Networks

Number of pages: 29 Posted: 26 Dec 2014 Last Revised: 23 May 2016
Working Paper Series
Columbia University, Columbia University and Government of the United States of America - Office of Financial Research
Downloads 347
43.

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 University Amsterdam
Downloads 347
44.

Inhomogeneous Financial Networks and Contagious Links

Number of pages: 28 Posted: 07 Nov 2014
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads 335
45.

Option-Implied Idiosyncratic and Systematic Risk in the Cross-Section of Expected Stock Returns

Swedish House of Finance Research Paper No 15-15
Number of pages: 52 Posted: 01 Nov 2015 Last Revised: 01 Dec 2015
Working Paper Series
Syracuse University
Downloads 328
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: 46 Posted: 04 Oct 2016 Last Revised: 29 Jun 2017
Accepted Paper Series
Duke University School of Law
Downloads 327
47.

Collateral Risk, Repo Rollover and Shadow Banking

Number of pages: 69 Posted: 17 Sep 2014 Last Revised: 31 Oct 2014
Working Paper Series
London School of Economics (LSE) - Department of Economics
Downloads 326
48.

Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads

Economic Research Initiatives at Duke (ERID) Working Paper No. 167
Number of pages: 43 Posted: 24 May 2013 Last Revised: 16 Nov 2013
Accepted Paper Series
Federal Reserve Board and Duke University - Department of Economics
Downloads 326
49.

Interconnectedness as a Source of Uncertainty in Systemic Risk

Columbia Business School Research Paper No. 16-14
Number of pages: 32 Posted: 03 Feb 2016 Last Revised: 20 Feb 2016
Working Paper Series
Massachusetts Institute of Technology (MIT), University of Zurich - Department of Banking and Finance and Columbia Business School - Finance and Economics
Downloads 325
50.

Systemic Risk in the Financial Sector: What Can We Learn from Option Markets?

Number of pages: 45 Posted: 02 Jul 2013 Last Revised: 18 Jan 2015
Working Paper Series
Goethe University Frankfurt and Deutsche Bundesbank

Multiple version iconThere are 2 versions of this paper

Downloads 325