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Risk Management & Analysis in Financial Institutions eJournal
807,091 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 4,327
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Incl. Electronic Paper Pathetic Protection: The Elusive Benefits of Protective Puts
Roni Israelov
AQR Capital Management, LLC
Date Posted: March 23, 2017
Working Paper Series
22 downloads

Incl. Electronic Paper Cross-Border Bank Flows and Systemic Risk
George Andrew Karolyi, John Sedunov III and Alvaro G. Taboada
Cornell University - Johnson Graduate School of Management, Villanova University - Department of Finance and Mississippi State University
Date Posted: March 23, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper What are Reference Rates for?
IMF Working Paper No. 17/13
Divya Kirti
International Monetary Fund (IMF)
Date Posted: March 23, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper The Cross Section of Bank Value
Mark Egan, Stefan Lewellen and Aditya Sunderam
University of Minnesota Carlson School of Management, London Business School and Harvard University
Date Posted: March 23, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Measuring Interest Rate Risk Using a Duration Vector
Manfred Jaeger-Ambrozewicz
Hochschule für Technik und Wirtschaft Berlin
Date Posted: March 22, 2017
Working Paper Series
21 downloads

Incl. Electronic Paper Banking on Deposits: Maturity Transformation Without Interest Rate Risk
Itamar Drechsler, Alexi Savov and Philipp Schnabl
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Date Posted: March 22, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Use of Leverage, Short Sales, and Options by Mutual Funds
Paul Calluzzo, Fabio Moneta and Selim Topaloglu
Queen's University - Smith School of Business, Queen's University - Smith School of Business and Queen's University - Smith School of Business
Date Posted: March 22, 2017
Working Paper Series
22 downloads

Incl. Fee Electronic Paper Testing for Changes in (Extreme) VAR
The Econometrics Journal, Vol. 20, Issue 1, pp. 23-51, 2017
Yannick Hoga
University of Duisburg-Essen
Date Posted: March 22, 2017
Accepted Paper Series

Incl. Electronic Paper In Search of a Better Volatility
Firas Kotite and Clemens Kownatzki
Claremont Colleges - Claremont Graduate University and Pepperdine University - Graziadio School of Business and Management
Date Posted: March 21, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Systemic Risk and Cyclical Economic Environment
Hong Mao
Shanghai Second Polytechnic University
Date Posted: March 20, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper The New Era of Expected Credit Loss Provisioning
BIS Quarterly Review, March 2017
Benjamin H. Cohen and Gerald A. Edwards Jr.
Bank for International Settlements (BIS) and JaeBre Dynamics, LLC
Date Posted: March 20, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper Margin Calculation of Multi-Leg Option Strategies
Yuanyuan Chen and Duan Li
National University of Singapore (NUS) - Risk Management Institute and Chinese University of Hong Kong
Date Posted: March 20, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Securitization, Ratings, and Credit Supply
Brendan Daley, Brett S. Green and Victoria Vanasco
Duke University - Fuqua School of Business, University of California, Berkeley - Haas School of Business and Stanford Graduate School of Business
Date Posted: March 20, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Subjectivity in Sovereign Credit Ratings
Lieven De Moor, Prabesh Luitel, Piet Sercu and Rosanne Vanpee
Vrije Universiteit Brussel, KU Leuven, FEB at KU Leuven and KU Leuven Faculty of Economics and Business
Date Posted: March 18, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Bank Lines of Credit and Corporate Collateral
Panos Markou, Ryan Williams and Jie Yang
University of Cambridge - Judge Business School, University of Arizona - Department of Finance and Board of Governors of the Federal Reserve System
Date Posted: March 18, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Copula-Based Random Effects Models for Clustered Data
Bank of Italy Temi di Discussione (Working Paper) No. 1092
Santiago Pereda Fernández
Bank of Italy
Date Posted: March 17, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper A Short Note on Spearman Correlation: Impact of Tied Observations
Yang Liu
HSBC Bank (Canada)
Date Posted: March 16, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper Misure Del Rischio Di Credito Nel Finanziamento Delle Imprese E Incidenza Dei Prestiti in Default: Un'Analisi Comparata Per Le Banche Europee (Credit Risk Measures in the Financing of Companies and Percentage of Defaulted Loans: A Comparative Analysis for European Banks)
Giovanni Ferri and Zeno Rotondi
LUMSA University and UniCredit Group
Date Posted: March 16, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Investor Capabilities and Dynamic Exposure to Risk
Knut N. Kjaer
Independent
Date Posted: March 16, 2017
Working Paper Series
18 downloads

Incl. Electronic Paper Asset Securitization and Risk: Does Bank Type Matter?
Omneya Abdelsalam, Marwa Sami Elnahass, Sabur Mollah and Stergios Leventis
Durham University, Newcastle University (UK), Hull University Business School and International Hellenic University - School of Economics and Business Administration
Date Posted: March 16, 2017
Working Paper Series
5 downloads

Incl. Fee Electronic Paper The Effects of Tax on Bank Liability Structure
CEPR Discussion Paper No. DP11893
Leonardo Gambacorta, Giacomo Ricotti, Suresh M. Sundaresan and Zhenyu Wang
Bank for International Settlements (BIS), Bank of Italy, Columbia Business School - Finance and Economics and Indiana University, Kelley School of Business
Date Posted: March 16, 2017
Working Paper Series

Incl. Electronic Paper The Role of Cointegration for Optimal Hedging with Heteroscedastic Error Term
Lukasz Gatarek and Soren Johansen
European Central Bank (ECB) - Directorate General Statistics and University of Copenhagen - Department of Economics
Date Posted: March 15, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper Challenges in Implementing Worst-Case Analysis
Jon Danielsson, Lerby Murat Ergun and Casper G. de Vries
London School of Economics - Systemic Risk Centre, London School of Economics & Political Science (LSE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Date Posted: March 15, 2017
Working Paper Series
22 downloads

Incl. Electronic Paper Lambda Value at Risk and Regulatory Capital: A Dynamic Approach to Tail Risk
Asmerilda Hitaj, Cesario Mateus and Ilaria Peri
Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Greenwich Business School and University of Greenwich
Date Posted: March 15, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper Comparison of Copulas for CDO valuation
Marek Kolman
University of Economics
Date Posted: March 15, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Large Deviations of Factor Models with Regularyly-Varying Tails: Asymptotics and Efficient Estimation
Farzad Pourbabaee
University of California, Berkeley - Department of Economics
Date Posted: March 14, 2017
Working Paper Series
29 downloads

Incl. Electronic Paper Mortgage Characteristics and the Racial Incidence of Default
Phillip Li and Tom Mayock
Office of the Comptroller of the Currency and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Date Posted: March 13, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Approaches to Calculate Tail Quantiles of Compound Distributions
Azamat Abdymomunov, Filippo Curti and Hayden Kane
Federal Reserve Banks - Federal Reserve Bank of Richmond, Federal Reserve Banks - Federal Reserve Bank of Richmond and Federal Reserve Banks - Federal Reserve Bank of Richmond
Date Posted: March 13, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper How to Manage Risk and Investments under Financial Repression Conditions Imposed by Advanced Economies
Nikolaos Akkizidis
Independent
Date Posted: March 13, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Clearinghouse Default Waterfalls: Risk-Sharing, Incentives, and Systemic Risk
Agostino Capponi, W. Allen Cheng and Jay Sethuraman
Columbia University, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Columbia University
Date Posted: March 09, 2017
Working Paper Series
27 downloads

Incl. Electronic Paper Backtesting Distributional Forecasts in Counterparty Risk: Theoretical Aspects in Long Horizon Testing and Autocorrelations
Hany Farag
CIBC
Date Posted: March 09, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper Automatic Portmanteau Tests with Applications to Market Risk Management
CAEPR Working Paper #2017-002
Zaichao Du, Juan Carlos Escanciano and Guangwei Zhu
Southwestern University of Finance and Economics (SWUFE) - Research Institute of Economics & Management, Indiana University Bloomington - Department of Economics and Southwestern University of Finance and Economics (SWUFE)
Date Posted: March 09, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper The Effect of Supervisory Loan Ratings on Syndicated Lending
Ivan Ivanov and James Wang
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Date Posted: March 09, 2017
Working Paper Series
36 downloads

Incl. Electronic Paper Risk Taking and Interest Rates: Evidence from Decades in the Global Syndicated Loan Market
IMF Working Paper No. 17/16
Seung Jung Lee, Lucy Qian Liu and Viktors Stebunovs
Board of Governors of the Federal Reserve System, International Monetary Fund (IMF) and Board of Governors of the Federal Reserve System
Date Posted: March 09, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Interest Rate Trees: Extensions and Applications
John C. Hull and Alan White
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Date Posted: March 09, 2017
Working Paper Series
39 downloads

Incl. Electronic Paper Possible Applications of Derivatives
Understanding German Real Estate Markets (Second Edition), Tobias Just and Wolfgang Maenning (eds.), Springer, 2017, 337-349.
Daniel Piazolo
THM Technische Hochschule Mittelhessen
Date Posted: March 08, 2017
Accepted Paper Series
22 downloads

Towards Risk-Based Credit Forecasting in Banks
Ramanan Kalpattu Ramachandran
Independent
Date Posted: March 08, 2017
Working Paper Series

Incl. Electronic Paper What Broker Charges Reveal about Mortgage Credit Risk
Sveriges Riksbank Working Paper Series No. 336, Riksbank Research Paper Series No. 160
Antje Berndt, Burton Hollifield and Patrik Sandås
Australian National University, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Date Posted: March 07, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper Market Discipline through Credit Ratings and Too-Big-to-Fail in Banking
Swiss Finance Institute Research Paper No. 17-09
Sascha Kolaric, Florian Kiesel and Steven Ongena
Technische Universität Darmstadt, Technische Universität Darmstadt and University of Zurich - Department of Banking and Finance
Date Posted: March 07, 2017
Working Paper Series
63 downloads

Incl. Electronic Paper Portfolio Optimization of Global Reits Returns: High-Dimensional Copula-Based Approach
Proceedings of the 18th International Academic Conference, London. International Institute of Social and Economic Sciences (IISES): pp. 698 - 709. DOI: 10.20472/IAC.2015.018.122. ISBN 978-80-87927-11-3
Roengchai Tansuchat
Faculty of Economics - Chiang Mai University
Date Posted: March 06, 2017
Last Revised: March 08, 2017
Working Paper Series
8 downloads

Issues and Challenges in Model Risk Quantification - A Research Study
Niraj Kumar Mahapatra
Management Development Institute, Students
Date Posted: March 05, 2017
Working Paper Series

Incl. Fee Electronic Paper Investment Opportunities Forecasting: A Genetic Programming-Based Dynamic Portfolio Trading System under a Directional-Change Framework
Journal of Computational Finance, Forthcoming
Monira Essa Aloud
King Saud University
Date Posted: March 04, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Efficient Pricing and Super-Replication of Corridor Variance Swaps and Related Products
Journal of Computational Finance, Forthcoming
Christoph Burgard and Olaf Torné
Bank of America - Bank of America Merrill Lynch and Barclays
Date Posted: March 04, 2017
Accepted Paper Series

Incl. Electronic Paper Credit Risk Models: Lessons for Nigerian Banks
Oluseun A. Paseda
University of Lagos, Faculty of Business Administration
Date Posted: March 03, 2017
Working Paper Series
24 downloads

Incl. Electronic Paper Arbitrage Theory: Quantitative Methods
Rossano Giandomenico
Independent
Date Posted: March 02, 2017
Last Revised: March 17, 2017
Working Paper Series
98 downloads

Incl. Electronic Paper Risky Bank Guarantees
Taneli Mäkinen, Lucio Sarno and Gabriele Zinna
Bank of Italy - Economic Outlook and Monetary Policy Directorate, City University London - Sir John Cass Business School and Bank of Italy
Date Posted: March 02, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper How Do Banks Make the Trade-Offs Among Risks? The Role of Corporate Governance
Journal of Banking & Finance 72 (2016) S39–S69,
Hsiao-Jung Chen and Kuan-Ting Lin
Department of Finance and Southern Taiwan University of Science and Technology - Department of Finance
Date Posted: March 02, 2017
Accepted Paper Series
13 downloads

Incl. Electronic Paper Loan Performance of Contractual Savings for Housing
Hans-Peter Burghof and Marlis Schairer
University of Hohenheim and University of Hohenheim
Date Posted: March 01, 2017
Last Revised: March 22, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Is Indebtedness Always Negative for Credit Ratings? Empirical Evidence on Newly Rated Firms
Alessandro Cafarelli
SDA Bocconi
Date Posted: March 01, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper The Black Swan
Mukul Pal
Tralio
Date Posted: February 28, 2017
Working Paper Series
53 downloads


 

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