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Risk Management eJournal
4,029,778 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Showing Papers 1 - 50 of 11,237
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Incl. Electronic Paper Volatility and Value-at-Risk Forecasting: Does Wavelet De-Noising Help?
Abdel Al Rababa'A, Dimos S Kambouroudis and David G. McMillan
University of Stirling - Department of Accounting and Finance, University of Stirling - Department of Accounting and Finance and University of Stirling
Date Posted: February 27, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Interest Rate Swap Valuation Using OIS Discounting - An Algorithmic Approach
Oluwaseyi Adebayo Awoga
Independent
Date Posted: February 26, 2017
Working Paper Series
31 downloads

Incl. Electronic Paper Credit Derivatives and Firm Investment
George E. Batta and Fan Yu
Claremont McKenna College - Robert Day School of Economics and Finance and Claremont McKenna College - Robert Day School of Economics and Finance
Date Posted: February 25, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper The Role of Counterparty Risk and Asymmetric Information in the Interbank Market
ECB Working Paper No. 2022
Giuseppe Cappelletti and Giovanni Guazzarotti
Bank of Italy and Bank of Italy
Date Posted: February 24, 2017
Working Paper Series
2 downloads

Brexit: Short-Term Stock Price Effects and the Impact of Firm-Level Internationalization
Finance Research Letters, 2017
Andreas Oehler, Matthias Horn and Stefan Wendt
Bamberg University, Independent and School of Business, Reykjavik University
Date Posted: February 24, 2017
Accepted Paper Series

Incl. Electronic Paper Optimizing Policymakers' Loss Functions in Crisis Prediction: Before, Within or After?
ECB Working Paper No. 2025
Peter Sarlin and Gregor von Schweinitz
Hanken School of Economics and Halle Institute for Economic Research
Date Posted: February 24, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper Generalized Pareto Processes and Liquidity
Sascha Desmettre, Johan de Kock, Peter Ruckdeschel and Frank Thomas Seifried
Karlsruhe Institute of Technology - Department of Mathematics, Libfin, Liberty Life, University of Oldenburg - School of Mathematics and Science and University of Trier
Date Posted: February 24, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper Credit Risk Factors During the Asian and Global Financial Crises
The International Journal of Business and Finance Research, v. 10 (3) p. 49-59
Hsiu-Yun Chang
Aletheia University - Department of Finance and Banking
Date Posted: February 23, 2017
Accepted Paper Series
6 downloads

Incl. Electronic Paper The Risk Spiral - The Effects of Bank Capital and Diversification on Risk Taking
Sharon Peleg and Alon Raviv
Tel Aviv University, Recanati Business School and Bar-Ilan University - Graduate School of Business Administration
Date Posted: February 23, 2017
Last Revised: February 25, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper Notes de cours sur le risque de crédit (Lecture Notes on Credit Risk)
Vivien Brunel
Société Générale
Date Posted: February 22, 2017
Working Paper Series
231 downloads

Incl. Electronic Paper Do Corporate Depositors Risk Everything for Nothing? The Importance of Deposit Relationships, Interest Rates and Bank Risk
Daniel Friedmann, Björn Imbierowicz, Anthony Saunders and Sascha Steffen
Goethe University Frankfurt, Copenhagen Business School, New York University - Leonard N. Stern School of Business and University of Mannheim - Business School
Date Posted: February 21, 2017
Working Paper Series
27 downloads

Incl. Electronic Paper Worst-Case Range Value-at-Risk with Partial Information
Lujun Li, Hui Shao, Ruodu Wang and Jingping Yang
Peking University, Peking University - School of Mathematical Sciences, University of Waterloo - Department of Statistics and Actuarial Science and Peking University - School of Mathematical Sciences
Date Posted: February 21, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Central Clearing and Risk Transformation
Forthcoming in Financial Stability Review (Banque de France), 2017
Rama Cont
Imperial College London
Date Posted: February 21, 2017
Accepted Paper Series
19 downloads

Incl. Electronic Paper Preventing Crashes: Enhanced Reversal Strategy in Chinese Stock Market
Fuwei Jiang, Geng Wang and Shuyu Xue
Central University of Finance and Economics (CUFE) - School of Finance, Central University of Finance and Economics (CUFE) and Singapore Management University
Date Posted: February 21, 2017
Working Paper Series
42 downloads

Incl. Electronic Paper Análisis de riesgos y modelación financiera en proyectos de infraestructura (Risk Analysis and Financial Modeling in Infrastructure Projects)
Carlos Andres Zapata Quimbayo
Universidad Externado de Colombia
Date Posted: February 17, 2017
Working Paper Series
4 downloads

Incl. Fee Electronic Paper Standardized Measurement Approach: Is Comparability Attainable?
Journal of Operational Risk, 12(1), 71–110 DOI:10.21314/JOP.2017.194 ,
Patrick J. McConnell
Macquarie University, Applied Finance Centre
Date Posted: February 17, 2017
Accepted Paper Series

Incl. Electronic Paper FRM: A Financial Risk Meter Based on Penalizing Tail Events Occurrence
SFB 649 Discussion Paper 2017-003
Lining Yu, Wolfgang K. Härdle, Lukas Borke and Thijs Benschop
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin and Humboldt University of Berlin
Date Posted: February 17, 2017
Last Revised: February 20, 2017
Working Paper Series
32 downloads

Upgrade: VaR and Expected Shortfall to Liquidation Based on Asian Put Option Formula and Tail Volatilities & Correlations
Cesar Oreste Crousillat
Universidad del Pacifico
Date Posted: February 17, 2017
Working Paper Series

Incl. Electronic Paper Commodity Exposure, Financial and Operational Hedging of US Oil and Gas Companies
Elaine Laing, Brian M. Lucey and Tobias Leutkemeyer
Trinity Business School, Trinity Business School, Trinity College Dublin and Trinity College Dublin
Date Posted: February 16, 2017
Working Paper Series
22 downloads

Incl. Electronic Paper Asymmetric and Symmetric Volatility Models for Exchange Rates in India – Impact of Net Purchase of US Dollars by Central Bank and Net Inflows by Foreign Institutional Investors
Anand Shah and Anu Bahri
Tata Consultancy Services and Tata Consultancy Services Ltd.
Date Posted: February 16, 2017
Last Revised: February 21, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Integrated Framework for Information Security Investment and Cyber Insurance
Shaun Wang
Nanyang Technological University
Date Posted: February 16, 2017
Working Paper Series
35 downloads

Abnormal Lending and Riskiness in Swedish Financial Institutions
Dionisis Philippas and Stephanos Papadamou
ESSCA School of Management and University of Thessaly - Department of Economics
Date Posted: February 15, 2017
Working Paper Series

Incl. Fee Electronic Paper Operational Risk and the Three Lines of Defence in UK Financial Institutions: Is Three Really the Magic Number?
Journal of Operational Risk, Forthcoming
Kumbirai Mabwe, Patrick J Ring and Robert Webb
University of South Wales, Glasgow Caledonian University and University of Nottingham
Date Posted: February 14, 2017
Accepted Paper Series

The Role of Group Psychology in Behavioural Finance: A Research Starting Point for Banking, Economic, and Financial Historians
Decision Taking, Confidence and Risk Management in Banks: From Early Modernity to the 20th Century. Korinna Schönhärl, editor, 269-292, Hampshire: Palgrave Macmillan, 2017.,
Victor Ricciardi
Goucher College - Department of Business Management
Date Posted: February 14, 2017
Accepted Paper Series

Incl. Electronic Paper Estimating Unbiassed Expected Loss, with Application to Consumer Credit
Anthony Bellotti
Imperial College London
Date Posted: February 13, 2017
Working Paper Series
23 downloads

Incl. Electronic Paper Le Point Sur... Les Options Parisiennes et leurs Applications (An Update On... Parisian Options and Their Applications)
Banque et Marchés, N° 82, p. 81-90, 2006 ,
Carole Bernard and Olivier Le Courtois
Grenoble Ecole de Management and EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Date Posted: February 13, 2017
Accepted Paper Series
5 downloads

Incl. Fee Electronic Paper Hidden Markov Regimes in Operational Loss Data: Application to the Recent Financial Crisis
Journal of Operational Risk, 12(1), 23–51 DOI:10.21314/JOP.2017.188 ,
Georges Dionne and Samir Saissi Hassani
HEC Montreal - Department of Finance and HEC Montreal - Department of Finance
Date Posted: February 11, 2017
Accepted Paper Series

Incl. Electronic Paper Rights of Parties in Maritime Collateral Management – The Nigerian Perspective
Tulane Maritime Law Journal, Forthcoming
Aso Kalu Etea
Chartered Institute of Arbitrators (UK) Nigerian Branch
Date Posted: February 11, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper Robust Hedging in Incomplete Markets
Netspar Discussion Paper No. 08/2014-064
Sally Shen, Antoon Pelsser and Peter C. Schotman
Capital University of Economics and Business, Maastricht University and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Date Posted: February 10, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Predicting Default – Merton vs. Leland
Jens Forssbæck and Anders Wilhelmsson
Lund University - Department of Economics and Lund University - Department of Economics
Date Posted: February 10, 2017
Working Paper Series
57 downloads

Incl. Electronic Paper Pricing and Hedging Guaranteed Minimum Withdrawal Benefits under a General Lévy Framework Using the COS Method
Jennifer Alonso-García, Oliver Michael Wood and Jonathan Ziveyi
University of New South Wales (UNSW) - ARC Centre of Excellence in Population Ageing Research (CEPAR), CommInsure and UNSW Australia
Date Posted: February 10, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper Determining Risk Model Confidence Sets
Finance Research Letters, Forthcoming
Mark Cummins, Michael M. Dowling and Francesco Paolo Esposito
Dublin City University Business School, ESC Rennes School of Business and Dublin City University Business School
Date Posted: February 10, 2017
Working Paper Series
23 downloads

Incl. Electronic Paper Do Cointegrated Commodities Bubble Together? The Case of Hog, Corn, and Soybean
Finance Research Letters, Forthcoming
Christos Alexakis, Guillaume Bagnarosa and Michael M. Dowling
ESC Rennes School of Business, ESC Rennes and ESC Rennes School of Business
Date Posted: February 10, 2017
Working Paper Series
72 downloads

Incl. Electronic Paper Downside Risks and the Cross-Section of Asset Returns
Adam Farago and Roméo Tédongap
Göteborg University - Center For Finance and ESSEC Business School Paris-Singapore
Date Posted: February 10, 2017
Working Paper Series
92 downloads

Incl. Electronic Paper Does Gold Hedge Stock Market in China? The Evidence from Time-Frequency Analysis
Lei Ming, Shenggang Yang and Jizhou Li
Hunan University - School of Finance and Statistics, Hunan University - School of Finance and Statistics and The Chinese University of Hong Kong (CUHK)
Date Posted: February 10, 2017
Working Paper Series
18 downloads

Incl. Electronic Paper Coarse Grain Automatic Differentiation: A Practical Approach to Fast and Exact Computation of First and Second Order Derivatives in Software
Henri-Olivier Duche and Francois Galilee
Independent and Independent
Date Posted: February 09, 2017
Last Revised: February 10, 2017
Working Paper Series
89 downloads

Incl. Electronic Paper Determinants of Ex Post and Ex Ante Credit Risk: A Novel Panel Analysis and Comparative Evidence of Foreign and Local Malaysian Banks
Yaman Hajja, Azlan Ali and Hafezali Iqbal-Hussain
University of Kuala Lumpur - Universiti Kuala Lumpur Business School, University of Kuala Lumpur and University of Hull
Date Posted: February 09, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper Closed-form Solution for American Options
Wai Man Raymond Tse
Department of Finance, Faculty of Business, Chu Hai College of Higher Education
Date Posted: February 08, 2017
Last Revised: February 13, 2017
Working Paper Series
85 downloads

Incl. Electronic Paper Dynamic Systemic Risk Networks: A Note
Sanjiv Ranjan Das, Seoyoung Kim and Daniel N Ostrov
Santa Clara University - Leavey School of Business, Santa Clara University and Santa Clara University
Date Posted: February 08, 2017
Working Paper Series
29 downloads

Incl. Electronic Paper Statistical Hedging: Motivating the Use of Convex Risk Measures for Hedging Portfolios of Derivatives Over One Time Step in the Presence of General Convex Transaction Cost. A Summary for Derivative Quants
Hans Buehler
JP Morgan Chase, London
Date Posted: February 08, 2017
Last Revised: February 22, 2017
Working Paper Series
64 downloads

Incl. Fee Electronic Paper Volatility Modeling with a Generalized t Distribution
Journal of Time Series Analysis, Vol. 38, Issue 2, pp. 175-190, 2017
Andrew Harvey and Rutger‐Jan Lange
University of Cambridge - Department of Applied Economics and Erasmus University Rotterdam (EUR)
Date Posted: February 08, 2017
Accepted Paper Series

Incl. Fee Electronic Paper A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula‐Based Tar Approach
Journal of Time Series Analysis, Vol. 38, Issue 2, pp. 243-265, 2017
Shiu Fung Wong, Howell A. M. Tong, Tak-Kuen Siu and Zudi Lu
Macquarie University, London School of Economics & Political Science (LSE), Macquarie University, Faculty of Business and Economics and University of Southampton
Date Posted: February 08, 2017
Accepted Paper Series

Incl. Electronic Paper Asset Risk Management of Participating Contracts
Asia-Pacific Journal of Risk and Insurance, Vol. 6, N°2, 2012,
Carole Bernard and Olivier Le Courtois
Grenoble Ecole de Management and EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Date Posted: February 08, 2017
Accepted Paper Series
5 downloads

Incl. Electronic Paper Market Value of Life Insurance Contracts Under Stochastic Interest Rates and Default Risk
Insurance: Mathematics and Economics, Vol. 36, No. 3, 2005
Carole Bernard, Olivier Le Courtois and Francois Quittard-Pinon
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Date Posted: February 08, 2017
Accepted Paper Series
5 downloads

Incl. Electronic Paper Changes of Probability Measures in Finance and Insurance: A Synthesis
Revue Finance, Vol. 25, Special Issue, p. 95-120, 2004
Olivier Le Courtois and Francois Quittard-Pinon
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and University of Lyon 1 - Institute of Finance and Insurance Science (ISFA)
Date Posted: February 07, 2017
Accepted Paper Series
6 downloads

Incl. Electronic Paper Information Opacity and Fitch Bond Ratings
Journal of Financial Research, Vol. 39, No. 4, 2016
Miles Livingston and Lei Zhou
University of Florida - Department of Finance, Insurance and Real Estate and Northern Illinois University - Department of Finance
Date Posted: February 07, 2017
Last Revised: February 11, 2017
Accepted Paper Series
15 downloads

Volatility Forecasting and Effects of Asymmetric Patterns in Emerging Markets of Asia
Kashif Hamid and Arshad Hasan
University of Agriculture, Faisalabad - Institute of Business Management Sciences and Capital University of Science and Technology
Date Posted: February 06, 2017
Last Revised: February 21, 2017
Working Paper Series

Incl. Fee Electronic Paper Measuring the Performance of the Secondary Market for Life Insurance Policies
Journal of Risk and Insurance, Vol. 84, Issue 1, pp. 127-151, 2017
Carmelo Giaccotto, Joseph H. Golec and Bryan Paul Schmutz
University of Connecticut - Department of Finance, University of Connecticut - Department of Finance and Western New England University - School of Business
Date Posted: February 06, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Natural Hedging Strategies for Life Insurers: Impact of Product Design and Risk Measure
Journal of Risk and Insurance, Vol. 84, Issue 1, pp. 153-175, 2017
Andy Wong, Michael Sherris and Ralph Stevens
University of New South Wales (UNSW) - School of Actuarial Studies, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales (UNSW) - School of Actuarial Studies
Date Posted: February 06, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Portfolio Optimization Under Solvency II: Implicit Constraints Imposed by the Market Risk Standard Formula
Journal of Risk and Insurance, Vol. 84, Issue 1, pp. 177-207, 2017
Alexander Braun, Hato Schmeiser and Florian Schreiber
University of St. Gallen - I.VW-HSG, University of Muenster - Faculty of Economics and University of St. Gallen - I.VW-HSG
Date Posted: February 06, 2017
Accepted Paper Series


 

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