1.
Stop-Outs Under Serial Correlation and 'The Triple Penance Rule'
Journal of Risk, 2014
Number of pages: 35
Posted: 16 Jan 2013
Last Revised: 10 Jun 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory and AQR Capital Management, LLC
Downloads
2,283
2.
Risk Measures and the Impact of Asset Price Bubbles
Journal of Risk, 2015
Number of pages: 23
Posted: 20 Oct 2013
Last Revised: 10 Jun 2016
Accepted Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Missouri, Columbia
Downloads
577
3.
Firm Specific Option Risk and Implications for Asset Pricing
Journal of Risk Vol 12, No.1, pp.17-52, Fall 2009
Number of pages: 37
Posted: 29 Sep 2007
Last Revised: 03 Aug 2010
Accepted Paper Series
Implied Capital Advisors and Ohio University
Downloads
541
4.
On the Aggregation of Local Risk Models for Global Risk Management
Journal of Risk, Vol. 8, No. 1, 2005
Number of pages: 20
Posted: 06 Jun 2005
Working Paper Series
University of California, Berkeley, Florida State University - Department of Mathematics, MSCI Barra, BARRA, Inc. - Equity Research and Morgan Stanley - Fixed Income Research
There are 2 versions of this paper
On the Aggregation of Local Risk Models for Global Risk Management
Journal of Risk, Vol. 8, No. 1, 2005
Number of pages: 20
Posted: 06 Jun 2005
Downloads
500
On the Aggregation of Local Risk Models for Global Risk Management
Journal of Risk, Vol. 8, No. 1, Fall 2005
Posted: 10 Nov 2005
Downloads
500
5.
Testing a Three - State Model in Currency Derivative Markets
Journal of Risk, Vol. 4, No. 3, 2002
Number of pages: 28
Posted: 19 Nov 2007
Accepted Paper Series
The Institute of International Studies
Downloads
465
6.
Better Risk and Performance Estimates with Factor Model Monte Carlo
Journal of Risk, June 2015
Number of pages: 21
Posted: 20 Jul 2013
Last Revised: 10 Jun 2016
Accepted Paper Series
University of Washington Investment Management Company and University of Washington Applied Mathematics and Statistics
Downloads
334
7.
Pricing Corporate Bonds With Dynamic Default Barriers
Journal of Risk, Vol. 5. No. 3, pp. 17-37, 2003
Number of pages: 25
Posted: 30 Apr 2007
Accepted Paper Series
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and affiliation not provided to SSRN
Downloads
228
8.
Managing Option Trading Risk when Mental Accounting Influences Prices
Journal of Risk, 2015
Number of pages: 27
Posted: 12 Jan 2014
Last Revised: 10 Jun 2016
Accepted Paper Series
University of Queensland
Downloads
178
9.
The Influence of Tracking Error on Volatility Premium Estimation
Journal of Risk, Vol. 9, No. 3, 2007
Number of pages: 38
Posted: 22 Feb 2005
Accepted Paper Series
Implied Capital Advisors
Downloads
107
10.
Default Risk Charge: Modeling Framework for the 'Basel' Risk Measure
Journal of Risk, Vol. 19, No. 4, 2017
Number of pages: 28
Posted: 30 Mar 2017
Accepted Paper Series
BNP Paribas, London and BNP Paribas, London
Downloads
9
11.
Valuing Streams of Risky Cashflows With Risk-value Models
Journal of Risk, Vol. 20, No. 3, 2018
Number of pages: 28
Posted: 12 Feb 2018
Accepted Paper Series
University of Regensburg - Department of Finance and Independent
Downloads
3
12.
A Review of the Fundamentals of the Fundamental Review of the Trading Book II: Asymmetries, Anomalies, and Simple Remedies
Journal of Risk, Vol. 20, No. 6, 2018
Number of pages: 30
Posted: 31 Aug 2018
Accepted Paper Series
CIBC World Markets - Risk Quant, Capital Markets, CIBC
There are 2 versions of this paper
A Review of the Fundamentals of the Fundamental Review of the Trading Book II: Asymmetries, Anomalies, and Simple Remedies
Number of pages: 27
Posted: 09 Aug 2017
Last Revised: 09 Jun 2018
Downloads
304
A Review of the Fundamentals of the Fundamental Review of the Trading Book II: Asymmetries, Anomalies, and Simple Remedies
Journal of Risk, Vol. 20, No. 6, 2018
Number of pages: 30
Posted: 31 Aug 2018
Downloads
2
Downloads
2
13.
A Review of the Fundamentals of the Fundamental Review of the Trading Book: Standard Foreign Exchange Rules are Highly Asymmetric with Respect to Reporting Currencies
Journal of Risk, Vol. 19, No. 4, 2017
Number of pages: 28
Posted: 30 Mar 2017
Accepted Paper Series
CIBC World Markets - Risk Quant, Capital Markets, CIBC
Downloads
2
14.
Modeling Redemption Risks of Mutual Funds Using Extreme Value Theory
Journal of Risk 18(6), 1–37 DOI:10.21314/JOR.2016.336
,
Number of pages: 38
Posted: 26 Jul 2016
Accepted Paper Series
University of Kaiserslautern - Department of Mathematics and IPConcept (Luxemburg) S.A.
Downloads
2
15.
Optimal Equity Protection of Solvency II Regulated Portfolios
Journal of Risk, Vol. 20, No. 3, 2018
Number of pages: 14
Posted: 09 Feb 2018
Accepted Paper Series
SYZ Asset Management SA
Downloads
2
16.
A Darwinian View on Internal Models
Journal of Risk, Vol. 20, No. 1, 2017
Number of pages: 22
Posted: 01 Nov 2017
Accepted Paper Series
Swiss Federal Institute of Technology Zurich
Downloads
1
17.
A Model for the Valuation of Assets with Liquidity Risk
Journal of Risk, Vol. 20, No. 2, 2017
Number of pages: 26
Posted: 07 Dec 2017
Accepted Paper Series
DNB
There are 2 versions of this paper
A Model for the Valuation of Assets with Liquidity Risk
Number of pages: 26
Posted: 09 Nov 2015
Last Revised: 19 Sep 2016
Downloads
171
A Model for the Valuation of Assets with Liquidity Risk
Journal of Risk, Vol. 20, No. 2, 2017
Number of pages: 26
Posted: 07 Dec 2017
Downloads
1
Downloads
1
18.
A Vine Copula–GARCH Approach to Corporate Exposure Management
Journal of Risk, 20(2), 1–25 DOI:10.21314/JOR.2017.368
,
Number of pages: 25
Posted: 24 Aug 2017
Accepted Paper Series
Chatham Financial, Chatham Financial - Europe, Chatham Financial and Chatham Financial
Downloads
1
19.
An Enterprise Perspective of Performance Attribution: Introducing the Keel Model
Journal of Risk, Vol. 20, No. 2, 2017
Number of pages: 32
Posted: 07 Dec 2017
Accepted Paper Series
University of Alabama - Department of Economics, Finance and Legal Studies
There are 2 versions of this paper
An Enterprise Perspective of Performance Attribution: Introducing the Keel Model
Number of pages: 44
Posted: 23 May 2015
Downloads
46
An Enterprise Perspective of Performance Attribution: Introducing the Keel Model
Journal of Risk, Vol. 20, No. 2, 2017
Number of pages: 32
Posted: 07 Dec 2017
Downloads
1
Downloads
1
20.
Are the GIPS Sovereign Debt Markets Efficient During a Crisis?
Journal of Risk, Vol. 19, No. S1, 2017
Number of pages: 14
Posted: 21 Apr 2017
Accepted Paper Series
Independent, Quaid-i-Azam University - School of Management Sciences and Universite de Cergy-Pontoise
Downloads
1
21.
Asset Price Bubbles and Risk Management
Journal of Risk, Forthcoming
Number of pages: 17
Posted: 06 Oct 2017
Accepted Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
1
22.
Basel III Implementation Outcome in Islamic Banks
Journal of Risk, Vol. 19, No. S1, 2017
Number of pages: 16
Posted: 24 Apr 2017
Accepted Paper Series
Quaid-i-Azam University - School of Management Sciences, Universite de Cergy-Pontoise and Asia e University (AeU)
Downloads
1
23.
BV–VPIN: Measuring the Impact of Order Flow Toxicity and Liquidity on International Equity Markets
Journal of Risk, Forthcoming
Number of pages: 35
Posted: 30 Jul 2018
Accepted Paper Series
University of Queensland Business School, Columbia University and Quantal International Inc.
Downloads
1
24.
Decomposition of Portfolio Risk into Independent Factors Using an Inductive Causal Search Algorithm
Journal of Risk, Vol. 19, No. 1, 2016
Number of pages: 20
Posted: 08 Oct 2016
Accepted Paper Series
Texas A&M University
Downloads
1
25.
Derivatives Pricing Under Bilateral Counterparty Risk
Journal of Risk, Forthcoming
Number of pages: 31
Posted: 17 Oct 2017
Accepted Paper Series
New York University Finance and Risk Engineering and Office of Financial Research, US Department of the Treasury
There are 2 versions of this paper
Derivatives Pricing Under Bilateral Counterparty Risk
FEDS Working Paper No. 2015-026, http://dx.doi.org/10.17016/FEDS.2015.026
Number of pages: 29
Posted: 05 May 2015
Downloads
65
Derivatives Pricing Under Bilateral Counterparty Risk
Journal of Risk, Forthcoming
Number of pages: 31
Posted: 17 Oct 2017
Downloads
1
Downloads
1
26.
Determinants of Foreign Exchange Risk: Some Further Evidence
Journal of Risk, Vol. 20, No. 2, 2017
Number of pages: 26
Posted: 07 Dec 2017
Accepted Paper Series
National Kaohsiung University of Science and Technology - Department of Finance and Banking and Beijing Normal University - Zhuhai Campus
Downloads
1
27.
Equity Market Impact Modeling: An Empirical Analysis for the Chinese Market
Journal of Risk, Vol. 20, No. 6, 2018
Number of pages: 24
Posted: 31 Aug 2018
Accepted Paper Series
Peking University - School of Mathematical Sciences, Peking University and Peking University - School of Mathematical Sciences
Downloads
1
28.
Estimation Risk for Value-at-Risk and Expected Shortfall
Journal of Risk, Forthcoming
Number of pages: 20
Posted: 29 Jan 2018
Accepted Paper Series
La Trobe University and La Trobe University - Department of Mathematics and Statistics
Downloads
1
29.
Estimation Window Strategies for Value-at-Risk and Expected Shortfall Forecasting
Journal of Risk, Vol. 20, No. 5, 2018
Number of pages: 50
Posted: 28 Jun 2018
Accepted Paper Series
University TU Dortmund, University of Leipzig - Faculty of Economics and Management Science and FOM Hochschule für Oekonomie & Management
Downloads
1
30.
Initial Margin With Risky Collateral
Journal of Risk, Forthcoming
Number of pages: 20
Posted: 02 Feb 2018
Accepted Paper Series
Ernst & Young LLP, Ernst & Young LLP and Ernst & Young LLP
Downloads
1
31.
International and Temporal Diversifications: The Best of Both Worlds?
Journal of Risk, 2018
Number of pages: 28
Posted: 29 Mar 2018
Accepted Paper Series
ESCP Europe, ESCP Europe and ESCP Europe
Downloads
1
32.
Liquidity Risk Management Implementation for Selected Islamic Banks in Pakistan
Journal of Risk, Vol. 19, No. S1, 2017
Number of pages: 14
Posted: 24 Apr 2017
Accepted Paper Series
Quaid-i-Azam University - School of Management Sciences, University of Lahore, School of Accountancy and Finance and Universite de Cergy-Pontoise
Downloads
1
33.
Monitoring Transmission of Systemic Risk: Application of Partial Least Squares Structural Equation Modeling in Financial Stress Testing
Journal of Risk, Forthcoming
Number of pages: 33
Posted: 19 Apr 2018
Accepted Paper Series
University of Queensland - Business School, University of Hamburg and University of Queensland Business School
There are 2 versions of this paper
Monitoring Transmission of Systemic Risk: Application of Partial Least Squares Structural Equation Modeling in Financial Stress Testing
Journal of Risk, Forthcoming
Number of pages: 33
Posted: 19 Apr 2018
Downloads
1
Monitoring Transmission of Systemic Risk: Application of Partial Least Squares Structural Equation Modeling in Financial Stress Testing
Journal of Risk, Forthcoming
Posted: 15 Aug 2018
Downloads
1
34.
Mostly Prior-Free Asset Allocation
Journal of Risk, Forthcoming
Number of pages: 34
Posted: 16 Feb 2018
Accepted Paper Series
New York University (NYU) - Department of Economics
Downloads
1
35.
Nonparametric Forward-Looking Value-at-Risk
Journal of Risk, Vol. 16, No. 4, 2014
Number of pages: 22
Posted: 07 Jun 2016
Accepted Paper Series
Kyos Energy Consulting and Lund University - Department of Business Administration
Downloads
1
36.
Numerical Experiments on Hedging Cliquet Options
Journal of Risk, Vol. 17, No. 1, 2014
Number of pages: 20
Posted: 09 Jun 2016
Accepted Paper Series
Frankfurt School of Finance & Management, Copenhagen Business School - Department of Finance and MathFinance AG
Downloads
1
37.
Optimal Execution of Accelerated Share Repurchase Contracts with Fixed Notional
Journal of Risk, Vol. 19, No. 5, 2017
Number of pages: 24
Posted: 01 Jun 2017
Accepted Paper Series
Université Paris VII Denis Diderot
Downloads
1
38.
Optimal Hedge Ratios Based on Markov-Switching Dynamic Copula Models
Journal of Risk, Vol. 20, No. 6, 2018
Number of pages: 20
Posted: 31 Aug 2018
Accepted Paper Series
Minzu University of China
Downloads
1
39.
Risk Averse Fractional Trading Using the Current Drawdown
Journal of Risk, Vol. 20, No. 5, 2018
Number of pages: 26
Posted: 28 Jun 2018
Accepted Paper Series
RWTH Aachen University
Downloads
1
40.
Risk Management and Regulation
Journal of Risk, Vol. 21, No. 1, 2017
Number of pages: 36
Posted: 01 Nov 2017
Accepted Paper Series
International Monetary Fund
There are 2 versions of this paper
Risk Management and Regulation
CEPR Discussion Paper No. DP12422
Number of pages: 35
Posted: 06 Nov 2017
Last Revised: 14 Nov 2017
Downloads
6
Risk Management and Regulation
Journal of Risk, Vol. 21, No. 1, 2017
Number of pages: 36
Posted: 01 Nov 2017
Downloads
1
Downloads
1
41.
Risk Management for Private Equity Funds
Journal of Risk, Vol. 19, No. 6, 2017
Number of pages: 32
Posted: 04 Aug 2017
Accepted Paper Series
University of Passau
There are 2 versions of this paper
Risk Management for Private Equity Funds
Journal of Risk, Vol. 19, No. 6, 2017
Number of pages: 32
Posted: 04 Aug 2017
Downloads
1
Downloads
1
42.
Risk-Averse Dynamic Arbitrage in Illiquid Markets
Journal of Risk, Forthcoming
Number of pages: 20
Posted: 18 Apr 2018
Accepted Paper Series
Stevens Institute of Technology - School of Business, Stevens Institute of Technology and Stevens Institute of Technology
There are 2 versions of this paper
Risk-Averse Dynamic Arbitrage in Illiquid Markets
Journal of Risk, Forthcoming
Number of pages: 24
Posted: 31 May 2016
Last Revised: 07 Feb 2017
Downloads
101
Risk-Averse Dynamic Arbitrage in Illiquid Markets
Journal of Risk, Forthcoming
Number of pages: 20
Posted: 18 Apr 2018
Downloads
1
Downloads
1
43.
The Application of Hermite Polynomials to Risk Allocation
Journal of Risk, Vol. 18, No. 3, 2016
Number of pages: 34
Posted: 15 Jun 2016
Accepted Paper Series
Ecole Normale Superieure de Cachan (ENS) and Barclays
Downloads
1
44.
The Management of Refinancing Risk in Islamic Banks
Journal of Risk, Vol. 17, No. 6, 2015
Number of pages: 20
Posted: 25 Jun 2016
Accepted Paper Series
Islamic Financial Analytics Limited
Downloads
1
45.
The Quickest Way to Lose the Money You Cannot Afford to Lose: Reverse Stress Testing With Maximum Entropy
Journal of Risk, Vol. 20, No. 3, 2018
Number of pages: 12
Posted: 12 Feb 2018
Accepted Paper Series
EDHEC Business School
Downloads
1
46.
The Relationship between Credit Default Swap Spreads and Equity Prices
Journal of Risk, Vol. 17, No. 1, 2014
Number of pages: 26
Posted: 09 Jun 2016
Accepted Paper Series
University of Essex, HSBC (London) and University of Essex - Essex Business School
Downloads
1
47.
The Signalling Properties of the Shape of the Credit Default Swap Term Structure
Journal of Risk, Vol. 17, No. 4, 2015
Number of pages: 30
Posted: 29 Jun 2016
Accepted Paper Series
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)
Downloads
1
48.
Time-Varying Beta and the Global Financial Crisis: Evidence from Chinese and Indian Firms
Journal of Risk, Vol. 19, No. S1
Number of pages: 26
Posted: 20 Apr 2017
Accepted Paper Series
Tunis El Manar University, University of Tunis and University of Tunis
Downloads
1
49.
Wavelet Decomposition and Applied Portfolio Management
Journal of Risk, Vol. 18, No. 4, 2016
Number of pages: 26
Posted: 15 Jun 2016
Accepted Paper Series
University of Bremen
Downloads
1
50.
A Data-Driven Optimization Heuristic for Downside Risk Minimization
Journal of Risk, Vol. 8, No. 3, Spring 2006
Posted: 11 May 2006
Accepted Paper Series
University of Geneva - Research Center for Statistics, Mirabaud & Cie and University of Geneva - Department of Econometrics
There are 2 versions of this paper
A Data-Driven Optimization Heuristic for Downside Risk Minimization
Swiss Finance Institute Research Paper No. 06-2
Number of pages: 22
Posted: 21 Jun 2006
Downloads
1,094
A Data-Driven Optimization Heuristic for Downside Risk Minimization
Journal of Risk, Vol. 8, No. 3, Spring 2006
Posted: 11 May 2006
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 585 442 8170 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.