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Econometric Modeling: Capital Markets - Risk eJournal
793,825 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 4,637
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1 2 3 4 ... 93 | Next >
   

Incl. Fee Electronic Paper A Structural Model for Estimating Losses Associated with the Mis-selling of Retail Banking Products
Journal of Operational Risk, Vol. 12, No. 1, 2017
Huan Yan and Richard Wood
Lloyds Banking Group and Lloyds Banking Group
Date Posted: February 25, 2017
Accepted Paper Series

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

Incl. Electronic Paper Conic Asset Pricing and the Costs of Price Fluctuations
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Date Posted: February 23, 2017
Working Paper Series
13 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
12 downloads

Incl. Electronic Paper Stress-Testing of Liquidity Risk in Target2
ECB Occasional Paper No. 183
Patrick Papsdorf, Luca Arciero, Juan Carlos Frutos, Matti Hellqvist, Patrick Heyvaert, Alexandros Kaliontzoglou, Ronald König, Kasperi Nikolai Korpinen, Clement Martin, Alexander Müller, Miguel Perez Garcia de Mirasierra, Maxime Ponsart, Edoardo Rainone, Peter Rosenkranz and Sara Testi
European Central Bank (ECB), Bank of Italy, Banco de España, affiliation not provided to SSRN, affiliation not provided to SSRN, Bank of Greece, Deutsche Bundesbank, affiliation not provided to SSRN, Banque de France, Deutsche Bundesbank, Banco de España, Banque de France, Bank of Italy, Asian Development Bank and European Central Bank (ECB)
Date Posted: February 22, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Credit Risk in European Banks: The Bright Side of the Internal Ratings Based Approach
Doriana Cucinelli, Maria Luisa Di Battista, Malvina Marchese and Laura Nieri
Università degli Studi di Milano-Bicocca, Catholic University of the Sacred Heart of Milan - Catholic University of the Sacred Heart of Piacenza, University of Genova and University of Genova - Department of Economics
Date Posted: February 22, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Bull and Bear Phases: An Empirical Perusal of Indian Stock Market
International Journal of Financial Management, Volume 6, Issue 2, 2016
Sunaina Kanojia and Neha Arora
University of Delhi and University of Delhi - Department of Commerce
Date Posted: February 22, 2017
Accepted Paper Series
10 downloads

Incl. Electronic Paper Rediscovering Macro-Prudential Regulation: The National Banking Era from the Perspective of 2015
Charles W. Calomiris and Mark A. Carlson
Columbia University - Columbia Business School and Board of Governors of the Federal Reserve System
Date Posted: February 21, 2017
Working Paper Series
4 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 Prawne i ekonomiczne ryzyka obowiązku rozliczania instrumentów pochodnych na rynku pozagiełdowym (OTC) przez centralnego kontrahenta (CCP) (Legal and Economic Risk of Over-the-Counter (OTC) Derivatives' Central Counterparty (CCP) Clearing Obligation)
Internetowy Przegląd Prawniczy TBSP UJ 2016/8 ,
Ireneusz Dawid Książek
Jagiellonian University in Krakow, Faculty of Law and Administration, Students
Date Posted: February 21, 2017
Accepted Paper Series
3 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
17 downloads

Incl. Electronic Paper Inequality, Structure of Production and International Trade – The Role of Credit Market Imperfection
CESifo Working Paper Series No. 6307
Hamid Beladi, Sugata Marjit and Suryaprakash Misra
University of Texas at San Antonio - College of Business - Department of Economics, Centre for Studies in Social Sciences, Calcutta and NALSAR University of Law
Date Posted: February 21, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Inter-Firm Relationships and Asset Prices
FEDS Working Paper No. 2017-014
Carlos Ramírez
Board of Governors of the Federal Reserve System
Date Posted: February 21, 2017
Working Paper Series
6 downloads

Incl. Fee Electronic Paper Deviations from Covered Interest Rate Parity
NBER Working Paper No. w23170
Wenxin Du, Alexande Tepper and Adrien Verdelhan
Federal Reserve Board, Columbia University - Graduate School of Architecture, Planning and Preservation and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: February 21, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper On the Properties of Non-Monetary Measures for Risks
GATE, WP 1710 – February 2017,
Christophe Courbage, Henri Loubergé and Béatrice Rey
Haute Ecole de Gestion de Genève - University of Applied Sciences Western Switzerland (HES-SO), University of Geneva - Geneva School of Economics and Management and University of Lyon 2 - Groupe d'Analyse et de Théorie Economique (GATE)
Date Posted: February 20, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper An Examination of the Impact of Culture on IFRS Risk Disclosures for Firms that Cross-List in the U.S.
Accounting & Taxation, v. 8 (1) p. 59-67
Carmen B Ríos-Figueroa
Universidad del Este
Date Posted: February 18, 2017
Accepted Paper Series
4 downloads

Incl. Electronic Paper Value Relevance of Voluntary Risk Disclosure Levels: Evidence from Saudi Banks
Accounting & Taxation, V. 8(1) P. 1-25, 2016
Abdullah Al-Maghzom, Khaled Hussainey and Doaa A Aly
University of Gloucestershire, Cheltenham Park Business School, Students, Plymouth University - Plymouth Business School and University of Gloucestershire
Date Posted: February 18, 2017
Accepted Paper Series
4 downloads

Impact of Macroeconomic and Demographic Variables on the Stock Market: Evidence from Tunisian Crisis
International journal of economics and finance, Forthcoming
Sirine Ben Yaala and Jamel Eddine Henchiri
Independent and RED-ISGG
Date Posted: February 18, 2017
Accepted Paper Series

Incl. Electronic Paper The Renminbi and Systemic Risk
Chris Brummer
Georgetown University Law Center
Date Posted: February 16, 2017
Working Paper Series
51 downloads

Incl. Electronic Paper Risk and Performance of Islamic Indexes During Subprime Crisis
Mariem Touiti and Jamel Eddine Henchiri
RED-ISGG and RED-ISGG
Date Posted: February 16, 2017
Working Paper Series
8 downloads

Consumption Strikes Back? Measuring Long-Run Risk
Journal of Political Economy, Vol. 116, No. 2, 2008
Lars Peter Hansen, John Heaton and Nan Li
University of Chicago - Department of Economics, University of Chicago - Finance and Shanghai Jiao Tong University, Antai College of Economics and Management
Date Posted: February 16, 2017
Accepted Paper Series

Incl. Electronic Paper The Homeownership Experience of Minorities During the Great Recession
Review, Vol. 99, Issue 1, pp. 139-67, 2017
Charles S. Gascon, Lowell R. Ricketts and Don E Schlagenhauf
Federal Reserve Bank of St. Louis, Federal Reserve Banks - Federal Reserve Bank of Saint Louis and Federal Reserve Bank of St. Louis
Date Posted: February 16, 2017
Accepted Paper Series
8 downloads

Inflation Risk Premia in the Euro Area and the United States
International Journal of Central Banking, Vol. 10, pp. 1-47.
Peter Hördahl and Oreste Tristani
Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific and European Central Bank (ECB)
Date Posted: February 15, 2017
Accepted Paper Series

Incl. Electronic Paper Isolating the Disaster Risk Premium with Equity Options
Jaroslav Horvath
University of New Hampshire - Department of Economics
Date Posted: February 15, 2017
Working Paper Series
38 downloads

Incl. Electronic Paper Integrating Stress Tests within the Basel III Capital Framework: A Macroprudentially Coherent Approach
Bank of Italy Occasional Paper No. 360
Pierluigi Bologna and Anatoli Segura
Bank of Italy and Bank of Italy
Date Posted: February 15, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper Regularities and Irregularities in Order Flow Data
Martin Theissen, Sebastian Matthias Krause and Thomas Guhr
Faculty of Physics, University of Duisburg-Essen and University of Duisburg-Essen
Date Posted: February 15, 2017
Working Paper Series
41 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. Electronic Paper Measuring Normative Risk Preferences
Gosse Alserda
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Date Posted: February 14, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Forecasting the Equity Risk Premium with Frequency-Decomposed Predictors
Bank of Finland Research Discussion Paper No. 1/2017
Gonçalo Faria and Fabio Verona
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE and Bank of Finland - Research
Date Posted: February 14, 2017
Working Paper Series
60 downloads

Incl. Electronic Paper House Prices, Lending Standards, and the Macroeconomy
Bank of Finland Research Discussion Paper No. 4/2017
Aino Silvo
University of Helsinki - Department of Political and Economic Studies
Date Posted: February 14, 2017
Working Paper Series
18 downloads

Incl. Electronic Paper China's Long March to Dismantling the Financial Great Wall: RMB Internationalization and Macroprudential Policy
Book chapter in "Systemic Risk, Institutional Design, and the Regulation of Financial Markets" (Anita Anand ed., 2016)
Weitseng Chen
National University of Singapore (NUS) - Faculty of Law
Date Posted: February 14, 2017
Last Revised: February 24, 2017
Accepted Paper Series
14 downloads

Incl. Electronic Paper Skin-in-the-Game in ABS Transactions: A Critical Review of Policy Options
SAFE White Paper No. 46
Jan Pieter Krahnen and Christian Wilde
Faculty of Economics and Business Administration and Goethe University Frankfurt - Department of Finance
Date Posted: February 14, 2017
Working Paper Series
62 downloads

Incl. Electronic Paper Pandemic Crises in Financial Systems: A Simulation-Model to Complement Stress-Testing Frameworks
Banque de France Working Paper No. 621
Julien Idier and Thibaut Piquard
Banque de France - Centre de Recherche and Banque de France
Date Posted: February 14, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Insight from a Time-Varying VAR Model with Stochastic Volatility of the French Housing and Credit Markets
Banque de France Working Paper No. 620
Sanvi Avouyi-Dovi, Claire Labonne, Remy Lecat and Simon Ray
Banque de France, Autorité de Contrôle Prudentiel et de Résolution - Banque de France, Banque de France and Aix-Marseille University
Date Posted: February 14, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Macroeconomic Adverse Selection and Model Instability in Mortgage Credit Risk
James Einloth
Independent
Date Posted: February 13, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper The Macro-Informational Role of Derivatives: Evidence from the Sovereign CDS Market
Yaqing Xiao, Hongjun Yan and Jinfan Zhang
Rutgers University, Driehaus College of Business, DePaul University and International Monetary Fund
Date Posted: February 13, 2017
Last Revised: February 19, 2017
Working Paper Series
33 downloads

Incl. Electronic Paper Systemic Risk Measurement: Bucketing SIFI's between Literature and Supervisory View
Marina Brogi, Valentina Lagasio, Prof Pasqualina Porretta and Luca Riccetti
University of Rome I - Dipartimento Banche Assicurazioni Mercati, Sapienza University of Rome - Banking and Finance, Student, University of Rome I and Università degli Studi di Macerata
Date Posted: February 13, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis
Abdelbari El Khamlichi, Thi-Hong-Van Hoang, Wing-Keung Wong and Zhenzhen Zhu
Chouaïb Doukkali University, GSCM-Montpellier Business School, Asia University, Department of Finance and Northeast Normal University
Date Posted: February 13, 2017
Working 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 Türkiye Hisse Senedi Piyasasında Likidite Ölçülerinin Karşılaştırılması Ve Likidite Volatilitesi Hisse Senedi Getirisi Arasındaki İlişki(Comparison of Liquidity Measures and The Relationship Between Volatility of Liquidity and Stock Returns in Turkish Stock Market)
YÖNETİM VE EKONOMİ Yıl:2015 Cilt:22 Sayı:1,
Cüneyt Akar
Bandirma Onyedi Eylul University
Date Posted: February 11, 2017
Accepted Paper Series
9 downloads

Incl. Electronic Paper Hisse Senedi Fiyatlarıyla Yabancı İşlem Hacmi Arasında Nedensellik: Toda-Yamamoto Yaklaşımı(The Causality Between Stock Prices And Foreign Trading Volume: Toda-Yamamoto Approach)
Mufad Journal Sayı: 37, 185-192, 2008,
Cüneyt Akar
Bandirma Onyedi Eylul University
Date Posted: February 11, 2017
Accepted Paper Series
3 downloads

Incl. Electronic Paper Estimating the Risk of Joint Defaults: An Application to Central Bank Collateralized Lending Operations
NBP Working Paper No. 181
Dariusz Gatarek and Juliusz Jablecki
Polish Academy of Sciences and National Bank of Poland
Date Posted: February 11, 2017
Working Paper Series
21 downloads

Incl. Electronic Paper Banking Regulation, Institutional Quality, and Financial Crises
Francesco Marchionne and Beniamino Pisicoli
Indiana University - Kelley School of Business - Department of Business Economics & Public Policy and Università degli Studi di Bari Aldo Moro - Dpt. of Economics
Date Posted: February 11, 2017
Working Paper Series
180 downloads

Incl. Electronic Paper The Impact of Interest Rates on Firms’ Financing Policies
Sigitas Karpavicius and Fan Yu
The University of Adelaide and Macquarie University, Faculty of Business and Economics
Date Posted: February 10, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Loan Pricing over the Business Cycle
Jens Forssbæck, Frederik Lundtofte and Anders Wilhelmsson
Lund University - Department of Economics, Lund University - Department of Economics and Lund University - Department of Economics
Date Posted: February 10, 2017
Working Paper Series
16 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
56 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
91 downloads

Incl. Electronic Paper Market Reactions to Sovereign Litigation
Forthcoming in Credit Markets Law Journal
Faisal Ahmed and Laura Alfaro
Princeton University and Harvard University - Business, Government and the International Economy Unit
Date Posted: February 09, 2017
Accepted Paper Series
16 downloads

Incl. Electronic Paper Does Credit Scoring Improve the Selection of Borrowers and Credit Quality?
Bank of Italy Temi di Discussione (Working Paper) No. 1090
Giorgio Albareto, Roberto Felici and Enrico Sette
Bank of Italy, Bank of Italy and Bank of Italy
Date Posted: February 09, 2017
Working Paper Series
46 downloads

Incl. Electronic Paper Market Risk Management in a Post-Basel II Regulatory Environment
CESifo Working Paper Series No. 6293
Branko V. Urosevic, Mikica Drenovak, Vladimir Rankovic, Ranko Jelic and Milos Ivanovic
University of Belgrade - Faculty of Economics, University of Kragujevac, University of Kragujevac, University of Sussex - School of Business Management and Economics and University of Kragujevac
Date Posted: February 09, 2017
Working Paper Series
13 downloads


 

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