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SSRN eLibrary Search Results
Journal of Risk
4,499 Total downloads
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Optimal Execution of Accelerated Share Repurchase Contracts with Fixed NotionalJournal of Risk, Vol. 19, No. 5, 2017 Olivier Edmond Guéant Université Paris VII Denis Diderot Date Posted: June 01, 2017 Accepted Paper Series
On Empirical Likelihood Option PricingJournal of Risk, Vol. 19, No. 5, 2017 Xiaolong Zhong, Jie Cao, Yong Jin and Wei Zheng Amazon.com, Chinese University of Hong Kong - Department of Finance, The Hong Kong Polytechnic University - School of Accounting and Finance and Indiana University Purdue University Indianapolis (IUPUI) Date Posted: June 01, 2017 Accepted Paper Series Pricing and Hedging Options with Rollover Parameters Journal of Risk, Forthcoming Sol Kim Hankuk University of Foreign Studies Date Posted: May 19, 2017 Accepted Paper Series Does Higher-Frequency Data Always Help to Predict Longer-Horizon Volatility? Journal of Risk, Forthcoming Ben Charoenwong and Guanhao Feng University of Chicago, Booth School of Business, Students and University of Chicago, Booth School of Business, Students Date Posted: May 13, 2017 Accepted Paper Series
Liquidity Risk Management Implementation for Selected Islamic Banks in PakistanJournal of Risk, Vol. 19, No. S1, 2017 Omar Masood, Javaria Younas and Mondher Bellalah Quaid-i-Azam University - School of Management Sciences, University of Lahore, School of Accountancy and Finance and Universite de Cergy-Pontoise Date Posted: April 24, 2017 Accepted Paper Series 1 downloads
Basel III Implementation Outcome in Islamic BanksJournal of Risk, Vol. 19, No. S1, 2017 Omar Masood, Mondher Bellalah and Shahid Ghauri Quaid-i-Azam University - School of Management Sciences, Universite de Cergy-Pontoise and Asia e University (AeU) Date Posted: April 24, 2017 Accepted Paper Series 1 downloads
Are the GIPS Sovereign Debt Markets Efficient During a Crisis?Journal of Risk, Vol. 19, No. S1, 2017 Bachar Fakhry, Omar Masood and Mondher Bellalah Independent, Quaid-i-Azam University - School of Management Sciences and Universite de Cergy-Pontoise Date Posted: April 21, 2017 Accepted Paper Series 1 downloads
Time-Varying Beta and the Global Financial Crisis: Evidence from Chinese and Indian FirmsJournal of Risk, Vol. 19, No. S1 Jihed Majdoub, Ines Ben Bouhouch and Ben Sassi Salim II Tunis El Manar University, University of Tunis and University of Tunis Date Posted: April 20, 2017 Accepted Paper Series 1 downloads
A Review of the Fundamentals of the Fundamental Review of the Trading Book: Standard Foreign Exchange Rules are Highly Asymmetric with Respect to Reporting CurrenciesJournal of Risk, Vol. 19, No. 4, 2017 Hany Farag CIBC Date Posted: March 30, 2017 Accepted Paper Series 2 downloads
Default Risk Charge: Modeling Framework for the 'Basel' Risk MeasureJournal of Risk, Vol. 19, No. 4, 2017 Sascha Wilkens and Mirela Predescu BNP Paribas, London and BNP Paribas, London Date Posted: March 30, 2017 Accepted Paper Series 2 downloads
A New Bootstrap Test for Multiple Assets Joint Risk TestingJournal of Risk, Vol. 19, No. 4, 2017 David Ardia, Lukasz T. Gatarek and Lennart F. Hoogerheide University of Neuchatel - Institute of Financial Analysis, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Vrije Universiteit Amsterdam - Dept. of Econometrics Date Posted: March 30, 2017 Accepted Paper Series
Debt–Liquidity Shock Risk: Intertemporal Effects and Probability MeasuresJournal of Risk, 19(3), 1–24 , Bernardo Maggi Sapienza University of Rome - Department of Statistical Sciences Date Posted: December 16, 2016 Accepted Paper Series
Analytical Method of Computing Stressed Value-at-Risk with Conditional Value-at-RiskJournal of Risk, Forthcoming KiHoon Jimmy Hong Hongik University Date Posted: December 14, 2016 Accepted Paper Series
The Temporal Dimension of RiskJournal of Risk, Forthcoming Ola Mahmoud University of St. Gallen Date Posted: December 13, 2016 Accepted Paper Series
How Risk Managers Should Fix Tracking Error Volatility and Value-at-Risk Constraints in Asset ManagementJournal of Risk, Forthcoming Luca Riccetti Università degli Studi di Macerata Date Posted: November 30, 2016 Accepted Paper Series
Shortfall Deviation Risk: An Alternative for Risk MeasurementJournal 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
Scaling by the Square-Root-of-Time Rule: An Empirical Investigation Using Five Market IndexesJournal 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
Delta-Hedged Gains and Risk-Neutral MomentsJournal of Risk, Forthcoming Dahea Kim and Sol Kim Sungkyunkwan University and Hankuk University of Foreign Studies Date Posted: November 08, 2016 Accepted Paper Series
Compositional Methods Applied to Capital Allocation ProblemsJournal 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
Acceptability Bounds for Forward Starting Options Using Disciplined Convex ProgrammingJournal 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
A Fuzzy Data Envelopment Analysis Model for Evaluating the Efficiency of Socially Responsible and Conventional Mutual FundsJournal 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
Optimal Asset Management for Defined-Contribution Pension Funds with Default RiskJournal 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
Decomposition of Portfolio Risk into Independent Factors Using an Inductive Causal Search AlgorithmJournal of Risk, Vol. 19, No. 1, 2016 Brian D. Deaton Texas A&M University Date Posted: October 08, 2016 Accepted Paper Series 1 downloads
Impact of Nonstationarity on Estimating and Modeling Empirical Copulas of Daily Stock ReturnsJournal 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
Path-Consistent Wrong-Way Risk: A Structural Model ApproachJournal of Risk, Vol. 19, No. 1, 2016 Markus Hofer ING Bank Date Posted: October 06, 2016 Accepted Paper Series
Modeling Redemption Risks of Mutual Funds Using Extreme Value TheoryJournal 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
The Valuation of Contingent Convertible Catastrophe Debt under Simple Solvency and Liquidity CovenantsJournal of Risk, Vol. 18(6), Pp. 1-42, Forthcoming Nick Georgiopoulos Bermuda Monetary Authority (BMA) Date Posted: July 20, 2016 Accepted Paper Series
The Role of Model Risk in Extreme Value Theory for Capital AdequacyJournal 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
Relative Performance Persistence of Financial Forecasting Models and Its Economic ImplicationsJournal 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
The Signalling Properties of the Shape of the Credit Default Swap Term StructureJournal 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
What Is the Best Risk Measure in Practice? A Comparison of Standard MeasuresJournal of Risk, Vol. 18, No. 2, 2015 Susanne Emmer, Marie Kratz and Dirk Tasche ESSEC Business School, Bikramjit Das, Singapore University of Technology and Design (SUTD) and Swiss Financial Market Supervisory Authority (FINMA) Date Posted: June 25, 2016 Accepted Paper Series
Nonnegative Risk ComponentsJournal 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
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
Historical Simulation with Component Weight and Ghosted ScenariosJournal of Risk, Vol. 18, No. 1, 2015 Xinyi Liu ASEAN+3 Macroeconomic Research (AMRO) Date Posted: June 25, 2016 Accepted Paper Series
Extreme Value Theory, Asset Ranking and Threshold Choice: A Practical Note on VAR EstimationJournal of Risk, Vol. 18, No. 1, 2015 Benjamin R. Auer University of Leipzig Date Posted: June 25, 2016 Accepted Paper Series
Bayesian Synthesis of Portfolio Credit Risk with Missing RatingsJournal 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
The Management of Refinancing Risk in Islamic BanksJournal of Risk, Vol. 17, No. 6, 2015 Kenneth Baldwin Islamic Financial Analytics Limited Date Posted: June 25, 2016 Accepted Paper Series
Commodity Risk Hedging Through Risk Sharing: Reengineering Islamic ForwardsJournal 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
Applying the Cornish-Fisher Expansion to Value-at-Risk Estimation in Islamic BankingJournal of Risk, Vol. 17, No. 6, 2015 Hylmun Izhar Islamic Research & Training Institute, Islamic Development Bank Date Posted: June 25, 2016 Accepted Paper Series
Advanced Risk Profile Analysis of Islamic Equity Investment: Evidence from the American, Asian and European MarketsJournal 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
The Impact of Model Risk on Capital Reserves: A Quantitative AnalysisJournal 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
Improved Estimation Methods for Value-at-Risk, Expected Shortfall and Risk Contributions with High PrecisionJournal of Risk, Vol. 17, No. 5, 2015 Yukio Muromachi Tokyo Metropolitan University Date Posted: June 24, 2016 Accepted Paper Series
Nonmaturity Deposits and Banks’ Exposure to Interest Rate Risk: Issues Arising from the Basel Regulatory FrameworkJournal 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
A Simple Normal Inverse Gaussian-Type Approach to Calculate Value-at-Risk Based on Realized MomentsJournal of Risk, Vol. 17, No. 4, 2015 Christian Lau Martin Luther Universitat Halle Wittenberg Date Posted: June 24, 2016 Accepted Paper Series
First- and Second-Order Greeks in the Heston ModelJournal 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
Mergers and Acquisitions: Collar ContractsJournal 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
Ultra-Fast Scenario Analysis of Mortgage Prepayment RiskJournal 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
Combining Alpha Streams with CostsJournal of Risk, Vol. 17, No. 3, 2015 Zura Kakushadze Quantigic Solutions LLC Date Posted: June 24, 2016 Accepted Paper Series
A Reduced-Form Contingent Convertible Bond Model with Deterministic Conversion IntensityJournal 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 |
