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Journal of Risk
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Incl. Fee Electronic Paper Debt–Liquidity Shock Risk: Intertemporal Effects and Probability Measures
Journal of Risk, 19(3), 1–24 ,
Bernardo Maggi
Sapienza University of Rome - Department of Statistical Sciences
Date Posted: December 16, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Analytical Method of Computing Stressed Value-at-Risk with Conditional Value-at-Risk
Journal of Risk, Forthcoming
KiHoon Jimmy Hong
Hongik University
Date Posted: December 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Temporal Dimension of Risk
Journal of Risk, Forthcoming
Ola Mahmoud
University of St. Gallen
Date Posted: December 13, 2016
Accepted Paper Series

Incl. Fee Electronic Paper How Risk Managers Should Fix Tracking Error Volatility and Value-at-Risk Constraints in Asset Management
Journal of Risk, Forthcoming
Luca Riccetti
Università degli Studi di Macerata
Date Posted: November 30, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Shortfall Deviation Risk: An Alternative for Risk Measurement
Journal of Risk, Vol. 19, No. 2, 2016
Marcelo Brutti Righi and Paulo Sergio Ceretta
Federal University of Rio Grande do Sul and Universidade Federal de Santa Maria
Date Posted: November 23, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Scaling by the Square-Root-of-Time Rule: An Empirical Investigation Using Five Market Indexes
Journal of Risk, Forthcoming
James Cameron, Chandra Gulati and Yan-Xia Lin
University of Wollongong, University of Wollongong and University of Wollongong
Date Posted: November 23, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Delta-Hedged Gains and Risk-Neutral Moments
Journal of Risk, Forthcoming
Dahea Kim and Sol Kim
Sungkyunkwan University and Hankuk University of Foreign Studies
Date Posted: November 08, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Compositional Methods Applied to Capital Allocation Problems
Journal of Risk, Forthcoming
Jaume Belles-Sampera, Montserrat Guillén and Miguel Santolino
University of Barcelona - Riskcenter-IREA, University of Barcelona, Department of Econometrics, Riskcenter-IREA and University of Barcelona - Department of Econometrics
Date Posted: October 28, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Acceptability Bounds for Forward Starting Options Using Disciplined Convex Programming
Journal of Risk, Forthcoming
Dilip B. Madan and King Wang
University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Date Posted: October 12, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Fuzzy Data Envelopment Analysis Model for Evaluating the Efficiency of Socially Responsible and Conventional Mutual Funds
Journal of Risk, Vol. 19, No. 1, 2016
I. Baeza-Sampere, Vicente Coll, Bouchra Mzali and Paz Méndez-Rodríguez
University of Valencia, University of Valencia, University of Quebec at Montreal and Department of Quantitative Economics, Faculty of Economics and Business, University of Oviedo
Date Posted: October 08, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Optimal Asset Management for Defined-Contribution Pension Funds with Default Risk
Journal of Risk, Vol. 19, No. 1, 2016
Shibo Bian, Jim Cicon and Yi Zhang
The School of Accounting and Finance, Shanghai Lixin University of Commerce, University of Central Missouri and Shanghai University
Date Posted: October 08, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Decomposition of Portfolio Risk into Independent Factors Using an Inductive Causal Search Algorithm
Journal of Risk, Vol. 19, No. 1, 2016
Brian D. Deaton
Texas A&M University
Date Posted: October 08, 2016
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Impact of Nonstationarity on Estimating and Modeling Empirical Copulas of Daily Stock Returns
Journal of Risk, Vol. 19, No. 1, 2016
Marcel Wollschlager and Rudi Schäfer
University of Duisburg-Essen and University of Duisburg-Essen
Date Posted: October 08, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Path-Consistent Wrong-Way Risk: A Structural Model Approach
Journal of Risk, Vol. 19, No. 1, 2016
Markus Hofer
ING Bank
Date Posted: October 06, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Modeling Redemption Risks of Mutual Funds Using Extreme Value Theory
Journal of Risk 18(6), 1–37 DOI:10.21314/JOR.2016.336 ,
Sascha Desmettre and Matthias Deege
Karlsruhe Institute of Technology - Department of Mathematics and IPConcept (Luxemburg) S.A.
Date Posted: July 26, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Valuation of Contingent Convertible Catastrophe Debt under Simple Solvency and Liquidity Covenants
Journal of Risk, Vol. 18(6), Pp. 1-42, Forthcoming
Nick Georgiopoulos
Bermuda Monetary Authority (BMA)
Date Posted: July 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Role of Model Risk in Extreme Value Theory for Capital Adequacy
Journal of Risk, Forthcoming
Ralf Kellner, Daniel Rösch and Harald (Harry) Scheule
University of Technology Sydney (UTS), University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Date Posted: July 08, 2016
Working Paper Series

Incl. Fee Electronic Paper Relative Performance Persistence of Financial Forecasting Models and Its Economic Implications
Journal of Risk, Forthcoming
Eduard Baitinger, Christian Fieberg and Thorsten Poddig
FERI Trust GmbH, University of Bremen - Department of Business Administration and University of Bremen
Date Posted: July 08, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Signalling Properties of the Shape of the Credit Default Swap Term Structure
Journal of Risk, Vol. 17, No. 4, 2015
Jenny Castellanos, Nick Constantinou and Wing Lon Ng
University of Essex - Centre for Computational Finance and Economic Agents, University of Essex - Essex Business School and Bounded Rationality Advancement in Computational Intelligence Laboratory (BRACIL)
Date Posted: June 29, 2016
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper What Is the Best Risk Measure in Practice? A Comparison of Standard Measures
Journal of Risk, Vol. 18, No. 2, 2015
Susanne Emmer, Marie Kratz and Dirk Tasche
ESSEC Business School, ESSEC Business School and Swiss Financial Market Supervisory Authority (FINMA)
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Nonnegative Risk Components
Journal of Risk, Vol. 18, No. 2, 2015
Jeremy C. Staum
Northwestern University - Department of Industrial Engineering and Management Sciences
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Does Bonus Deferral Reduce Risk-Taking?
Journal of Risk, Vol. 18, No. 2, 2015
Dietmar Leisen
University of Mainz - Department of Banking
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Historical Simulation with Component Weight and Ghosted Scenarios
Journal of Risk, Vol. 18, No. 1, 2015
Xinyi Liu
ASEAN+3 Macroeconomic Research (AMRO)
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Extreme Value Theory, Asset Ranking and Threshold Choice: A Practical Note on VAR Estimation
Journal of Risk, Vol. 18, No. 1, 2015
Benjamin R. Auer
University of Leipzig
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Bayesian Synthesis of Portfolio Credit Risk with Missing Ratings
Journal of Risk, Vol. 18, No. 1, 2015
Dror Parnes
University of South Florida
Date Posted: June 25, 2016
Accepted Paper Series

Recursive Profit-and-Loss Sharing
Journal of Risk, Vol. 17, No. 6, 2015
Walid Mansour, Med Ben and Almas Heshmati
King Abdulaziz University, Independent and Sogang University
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Management of Refinancing Risk in Islamic Banks
Journal of Risk, Vol. 17, No. 6, 2015
Kenneth Baldwin
Islamic Financial Analytics Limited
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Commodity Risk Hedging Through Risk Sharing: Reengineering Islamic Forwards
Journal of Risk, Vol. 17, No. 6, 2015
Ali Kafou and Ahmed Chakir
National School of Trade and Management and Independent
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Applying the Cornish-Fisher Expansion to Value-at-Risk Estimation in Islamic Banking
Journal of Risk, Vol. 17, No. 6, 2015
Hylmun Izhar
Islamic Research & Training Institute, Islamic Development Bank
Date Posted: June 25, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Advanced Risk Profile Analysis of Islamic Equity Investment: Evidence from the American, Asian and European Markets
Journal of Risk, Vol. 17, No. 6, 2015
Mondher Bellalah and Chayeh Zeineb
Universite de Cergy-Pontoise and Université Paris VI Pierre et Marie Curie
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Impact of Model Risk on Capital Reserves: A Quantitative Analysis
Journal of Risk, Vol. 17, No. 5, 2015
Philip Bertram, Philipp Sibbertsen and Gerhard Stahl
Leibniz Universität Hannover, University of Hannover and European Union - Committee of the Regions
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Improved Estimation Methods for Value-at-Risk, Expected Shortfall and Risk Contributions with High Precision
Journal of Risk, Vol. 17, No. 5, 2015
Yukio Muromachi
Tokyo Metropolitan University
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Nonmaturity Deposits and Banks’ Exposure to Interest Rate Risk: Issues Arising from the Basel Regulatory Framework
Journal of Risk, Vol. 17, No. 5, 2015
Rosa Cocozza, Domenico Curcio and Igor Gianfrancesco
University of Naples Federico II - Faculty of Economics, University of Naples Federico II and Banco di Desio e della Brianza
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Simple Normal Inverse Gaussian-Type Approach to Calculate Value-at-Risk Based on Realized Moments
Journal of Risk, Vol. 17, No. 4, 2015
Christian Lau
Martin Luther Universitat Halle Wittenberg
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper First- and Second-Order Greeks in the Heston Model
Journal of Risk, Vol. 17, No. 4, 2015
Jiun Hong Chan, Mark S. Joshi and Dan Zhu
University of Melbourne - Centre for Actuarial Studies, University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Mergers and Acquisitions: Collar Contracts
Journal of Risk, Vol. 17, No. 4, 2015
An Chen and Christian Hilpert
University of Ulm and University of Hamburg
Date Posted: June 24, 2016
Working Paper Series

Incl. Fee Electronic Paper Ultra-Fast Scenario Analysis of Mortgage Prepayment Risk
Journal of Risk, Vol. 17, No. 3, 2015
Alexios Theiakos, Jurgen M.C Tas, Han van der Lem and Drona Kandhai
University of Amsterdam, ING Bank - Netherlands Office, ING Bank - Netherlands Office and University of Amsterdam
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Combining Alpha Streams with Costs
Journal of Risk, Vol. 17, No. 3, 2015
Zura Kakushadze
Quantigic Solutions LLC
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Reduced-Form Contingent Convertible Bond Model with Deterministic Conversion Intensity
Journal of Risk, Vol. 17, No. 3, 2015
Patrick Cheridito and Zhikai Xu
ETH Zurich and AQR Capital Management, LLC
Date Posted: June 24, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Finite Difference Methods for Estimating Marginal Risk Contributions in Asset Management
Journal of Risk, Vol. 18, No. 5, 2016
Michael Olschewsky, Stefan Lüdemann and Thorsten Poddig
Hamburger Sparkasse, University of Bremen and University of Bremen
Date Posted: June 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Wavelet Decomposition and Applied Portfolio Management
Journal of Risk, Vol. 18, No. 4, 2016
Theo Berger
University of Bremen
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Suboptimality in Portfolio Conditional Value-at-Risk Optimization
Journal of Risk, Vol. 18, No. 4, 2016
Edgars Jakobsons
ETH Zürich - Department of Mathematics
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Pricing Options on Trend-Stationary Currencies: Applications to the Chinese Yuan
Journal of Risk, Vol. 18, No. 4, 2016
Michael Mebane
MSCI Inc.
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Outperforming Benchmarks with Their Derivatives: Theory and Empirical Evidence
Journal of Risk, Vol. 18, No. 4, 2016
Alejandro Balbás, Beatriz Balbas and Raquel Balbás
Universidad Carlos III de Madrid - Department of Business Administration, University of Castilla-La Mancha and Universidad Complutense de Madrid (UCM)
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Application of Hermite Polynomials to Risk Allocation
Journal of Risk, Vol. 18, No. 3, 2016
Francois Buet-Golfouse and Anthony D. Owen
Ecole Normale Superieure de Cachan (ENS) and Barclays
Date Posted: June 15, 2016
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper On Optimal Smoothing of Density Estimators Obtained from Orthogonal Polynomial Expansion Methods
Journal of Risk, Vol. 18, No. 3, 2016
Kohei Marumo and Rodney C Wolff
University of Queensland and Saitama University
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Model Uncertainty in Risk Capital Measurement
Journal of Risk, Vol. 18, No. 3, 2016
Valeria Bignozzi and Andreas Tsanakas
Università di Milano Bicocca and City University London - Cass Business School
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Basel II Versus III: A Comparative Assessment of Minimum Capital Requirements for Internal Model Approaches
Journal of Risk, Vol. 18, No. 3, 2016
Harald Kinateder
Passau University
Date Posted: June 14, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Taylor Series Approach to Pricing and Implied Volatility for Local–Stochastic Volatility Models
Journal of Risk, Vol. 17, No. 2, 2014
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Date Posted: June 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A One-Factor Copula-Based Model for Credit Portfolios
Journal of Risk, Vol. 17, No. 2, 2014
Marek Kolman
University of Economics
Date Posted: June 09, 2016
Accepted Paper Series


 

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