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Swiss Finance Institute Research Paper Series
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Incl. Electronic Paper Wealth and Income Inequalities ← → r > g
Swiss Finance Institute Research Paper No. 16-69
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and Swiss Finance Institute
Date Posted: December 02, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Bank Response to Higher Capital Requirements: Evidence from a Quasi-Natural Experiment
Swiss Finance Institute Research Paper No. 16-70
Reint Gropp, Thomas C. Mosk, Steven Ongena and Carlo Wix
Halle Institute for Economic Research, Goethe University Frankfurt - Research Center SAFE, University of Zurich - Department of Banking and Finance and Goethe University Frankfurt - Research Center SAFE
Date Posted: November 30, 2016
Working Paper Series
16 downloads

Incl. Electronic Paper Collateral, Central Bank Repos, and Systemic Arbitrage
Swiss Finance Institute Research Paper No. 16-66
Falko Fecht, Kjell G. Nyborg, Jörg Rocholl and Jiri Woschitz
Frankfurt School of Finance & Management, University of Zurich - Department of Banking and Finance, ESMT European School of Management and Technology and University of Zurich
Date Posted: November 18, 2016
Working Paper Series
43 downloads

Incl. Electronic Paper Data Analytics for Non-Life Insurance Pricing
Swiss Finance Institute Research Paper No. 16-68
Mario V. Wuthrich and Christoph Buser
RiskLab, ETH Zurich and affiliation not provided to SSRN
Date Posted: November 17, 2016
Last Revised: November 30, 2016
Working Paper Series
125 downloads

Incl. Electronic Paper Machine Learning in Individual Claims Reserving
Swiss Finance Institute Research Paper No. 16-67
Mario V. Wuthrich
RiskLab, ETH Zurich
Date Posted: November 11, 2016
Last Revised: November 23, 2016
Working Paper Series
171 downloads

Incl. Electronic Paper An Algebraic Model for Hedging Equity Index Portfolios with Stock Index Futures. Evidence from the IBEX 35
Javier Sánchez-Verdasco
Incompany Formación en Finanzas
Date Posted: November 10, 2016
Last Revised: November 25, 2016
Working Paper Series
37 downloads

Incl. Electronic Paper Intrinsic Risk Measures
Swiss Finance Institute Research Paper No. 16-65
Walter Farkas and Alexander Smirnow
University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Date Posted: November 09, 2016
Last Revised: November 18, 2016
Working Paper Series
61 downloads

Incl. Electronic Paper S&P 500 Index, an Option Implied Risk Analysis
Swiss Finance Institute Research Paper No. 16-62
Giovanni Barone-Adesi, Chiara Legnazzi and Carlo Sala
Swiss Finance Institute, Swiss Finance Institute and ESADE Business School
Date Posted: November 09, 2016
Last Revised: November 12, 2016
Working Paper Series
74 downloads

Incl. Electronic Paper Exchange Traded Funds (ETFs)
Charles A. Dice Center Working Paper No. 2016-22, Fisher College of Business Working Paper No. 2016-03-022, Swiss Finance Institute Research Paper No. 16-64
Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi
Ohio State University - Fisher College of Business, Finance Department, Università della Svizzera italiana (USI), Lugano and Villanova University - Department of Finance
Date Posted: November 08, 2016
Last Revised: November 11, 2016
Working Paper Series
209 downloads

Incl. Electronic Paper The Relevance of Broker Networks for Information Diffusion in the Stock Market
Swiss Finance Institute Research Paper No. 16-63
Marco Di Maggio, Francesco A. Franzoni, Amir Kermani and Carlo Sommavilla
Harvard Business School, Università della Svizzera italiana (USI), Lugano, University of California, Berkeley and Università della Svizzera italiana (USI), Lugano; Swiss Finance Institute
Date Posted: October 28, 2016
Last Revised: November 11, 2016
Working Paper Series
121 downloads

Incl. Electronic Paper A Simple Mechanism for Financial Bubbles: Time-Varying Momentum Horizon
Swiss Finance Institute Research Paper No. 16-61
Li Lin and Didier Sornette
East China University of Science and Technology (ECUST) and Swiss Finance Institute
Date Posted: October 21, 2016
Working Paper Series
142 downloads

Incl. Electronic Paper Dependent Defaults and Losses with Factor Copula Models
Swiss Finance Institute Research Paper No. 16-59
Damien Ackerer and Thibault Vatter
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Date Posted: October 17, 2016
Working Paper Series
75 downloads

Incl. Electronic Paper A Heterogeneous-Agent Foundation of the Representative-Agent Approach
Swiss Finance Institute Research Paper No. 16-58
Sabine Elmiger
University of Zurich
Date Posted: October 01, 2016
Working Paper Series
29 downloads

Incl. Electronic Paper Joint Lifetime Financial, Work and Health Decisions: Thrifty and Healthy Enough for the Long Run?
Swiss Finance Institute Research Paper No. 16-57
Yannis Mesquida and Pascal St-Amour
University of Lausanne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Date Posted: September 30, 2016
Working Paper Series
36 downloads

Incl. Electronic Paper Old-Age Provision: Past, Present, Future
European Actuarial Journal, Forthcoming, Swiss Finance Institute Research Paper No. 16-55
Hansjoerg Albrecher, Paul Embrechts, Damir Filipović, Glenn W. Harrison, Pablo Koch-Medina, Stéphane Loisel, Paolo Vanini and Joël Wagner
University of Lausanne, Swiss Federal Institute of Technology Zurich, Ecole Polytechnique Fédérale de Lausanne, Georgia State University - J. Mack Robinson College of Business, University of Zurich - Department of Banking and Finance, University of Lyon 1 - Institute of Finance and Insurance Science (ISFA), University of Basel and University of Lausanne - Department of Actuarial Science (HEC Lausanne)
Date Posted: September 17, 2016
Last Revised: September 20, 2016
Working Paper Series
63 downloads

Incl. Electronic Paper A Model of Price Impact and Market Maker Latency
Swiss Finance Institute Research Paper No. 16-56
Jakub Rojcek
University of Zurich, Department of Banking and Finance
Date Posted: September 15, 2016
Last Revised: September 22, 2016
Working Paper Series
82 downloads

Incl. Electronic Paper Does Corporate Governance Matter? Evidence from the AGR Governance Rating
Swiss Finance Institute Research Paper No. 16-54
Alberto Plazzi and Walter N. Torous
USI-Lugano and Massachusetts Institute of Technology
Date Posted: September 09, 2016
Last Revised: September 21, 2016
Working Paper Series
219 downloads

Incl. Electronic Paper How Does Sovereign Bond Market Integration Relate to Fundamentals and CDS Spreads?
Swiss Finance Institute Research Paper No. 16-52
Ines Chaieb, Vihang R. Errunza and Rajna Gibson
University of Geneva and Swiss Finance Institute, McGill University - Desautels Faculty of Management and University of Geneva - Graduate School of Business (HEC-Geneva)
Date Posted: August 04, 2016
Working Paper Series
43 downloads

Incl. Electronic Paper A Diagnostic Criterion for Approximate Factor Structure
Swiss Finance Institute Research Paper No. 16-51
Patrick Gagliardini, Elisa Ossola and O. Scaillet
University of Lugano and Swiss Finance Institute, University of Lugano and University of Geneva GSEM and GFRI
Date Posted: August 03, 2016
Working Paper Series
44 downloads

Incl. Electronic Paper Market Integration and Global Crashes
Swiss Finance Institute Research Paper No. 16-49
Semyon Malamud and Aytek Malkhozov
Ecole Polytechnique Federale de Lausanne and Board of Governors of the Federal Reserve System
Date Posted: July 25, 2016
Working Paper Series
52 downloads

Incl. Electronic Paper Firm Response to Competitive Shocks: Evidence from China’s Minimum Wage Policy
Swiss Finance Institute Research Paper No. 16-47
Harald Hau, Yi Huang and Gewei Wang
University of Geneva - Geneva Finance Research Institute, Graduate Institute of International and Development Studies and Graduate Institute of International and Development Studies (IHEID)
Date Posted: July 22, 2016
Last Revised: October 22, 2016
Working Paper Series
86 downloads

Incl. Electronic Paper On the American Swaption in the Linear-Rational Framework
Swiss Finance Institute Research Paper No. 16-44
Damir Filipović and Yerkin Kitapbayev
Ecole Polytechnique Fédérale de Lausanne and Boston University - Questrom School of Business
Date Posted: July 08, 2016
Last Revised: July 12, 2016
Working Paper Series
45 downloads

Incl. Electronic Paper Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy
Swiss Finance Institute Research Paper No. 16-41
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and University of Geneva
Date Posted: July 06, 2016
Working Paper Series
79 downloads

Incl. Electronic Paper A False Sense of Security: Why U.S. Banks Diversify and Does it Help?
Swiss Finance Institute Research Paper No. 16-43
Priyank Gandhi, Patrick Christian Kiefer and Alberto Plazzi
Mendoza College of Business, University of Notre Dame, UCLA Anderson School of Management and USI-Lugano
Date Posted: July 02, 2016
Last Revised: July 08, 2016
Working Paper Series
89 downloads

Incl. Electronic Paper Aggregate Bank Capital and Credit Dynamics
Swiss Finance Institute Research Paper No. 16-42
Nataliya Klimenko, Sebastian Pfeil, Jean-Charles Rochet and Gianni De Nicolo
University of Zurich, University of Bonn, University of Zurich - Swiss Banking Institute (ISB) and International Monetary Fund and CESifo
Date Posted: June 30, 2016
Working Paper Series
119 downloads

Incl. Electronic Paper Quantification of the Evolution of Firm Size Distributions Due to Mergers and Acquisitions
Swiss Finance Institute Research Paper No. 16-39
Sandro Claudio Lera and Didier Sornette
ETH Zurich and Swiss Finance Institute
Date Posted: June 22, 2016
Last Revised: July 14, 2016
Working Paper Series
75 downloads

Incl. Electronic Paper Real Estate Research in Europe
Swiss Finance Institute Research Paper No. 16-40
Martin Hoesli
University of Geneva - Geneva School of Economics and Management (GSEM)
Date Posted: June 17, 2016
Working Paper Series
70 downloads

Incl. Electronic Paper Exact Smooth Term Structure Estimation
Swiss Finance Institute Research Paper No. 16-38
Damir Filipović and Sander Willems
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Date Posted: June 14, 2016
Working Paper Series
84 downloads

Incl. Electronic Paper Risk Factors of European Non-Listed Real Estate Fund Returns
Swiss Finance Institute Research Paper No. 16-37
Jean-Christophe Delfim and Martin Hoesli
University of Geneva and University of Geneva - Geneva School of Economics and Management (GSEM)
Date Posted: June 14, 2016
Working Paper Series
79 downloads

Incl. Electronic Paper Empty Creditors and Strong Shareholders: The Real Effects of Credit Risk Trading
Swiss Finance Institute Research Paper No. 16-17
Stefano Colonnello, Matthias Efing and Francesca Zucchi
Otto-von-Guericke Universität Magdeburg, HEC Paris - Finance Department and Federal Reserve Board
Date Posted: June 04, 2016
Last Revised: November 18, 2016
Working Paper Series
162 downloads

Incl. Electronic Paper Managing Inventory with Proportional Transaction Costs
Swiss Finance Institute Research Paper No. 16-48
Florent Gallien, Serge Kassibrakis, Semyon Malamud and Filippo Passerini
Swissquote Bank, Swissquote Bank, Ecole Polytechnique Federale de Lausanne and Swissquote Bank
Date Posted: June 03, 2016
Last Revised: July 25, 2016
Working Paper Series
74 downloads

Incl. Electronic Paper High Frequency House Price Indexes with Scarce Data
Swiss Finance Institute Research Paper No. 16-45
Steven C. Bourassa and Martin Hoesli
Florida Atlantic University and University of Geneva - Geneva School of Economics and Management (GSEM)
Date Posted: June 03, 2016
Last Revised: August 04, 2016
Working Paper Series
48 downloads

Incl. Electronic Paper Foreign Acquisition and Credit Risk: Evidence from the U.S. CDS Market
Swiss Finance Institute Research Paper No. 16-50
Umit Yilmaz
Swiss Finance Institute at the University of Lugano
Date Posted: May 28, 2016
Last Revised: November 17, 2016
Working Paper Series
80 downloads

Incl. Electronic Paper The Choice of Valuation Techniques in Practice: Education versus Profession
Swiss Finance Institute Research Paper No. 16-36
Lilia Mukhlynina and Kjell G. Nyborg
University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Date Posted: May 27, 2016
Last Revised: November 04, 2016
Working Paper Series
262 downloads

Incl. Electronic Paper The Jacobi Stochastic Volatility Model
Swiss Finance Institute Research Paper No. 16-35
Damien Ackerer, Damir Filipović and Sergio Pulido
Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and Laboratoire de Mathématiques et Modélisation d'Évry (LaMME); Université d'Évry-Val-d'Essonne, ENSIIE, UMR CNRS 8071
Date Posted: May 21, 2016
Last Revised: June 17, 2016
Working Paper Series
171 downloads

Incl. Electronic Paper The Impact of Merger Legislation on Bank Mergers
Swiss Finance Institute Research Paper No. 16-33
Elena Carletti, Steven Ongena, Jan-Peter Siedlarek and Giancarlo Spagnolo
Bocconi University - Department of Finance, University of Zurich - Department of Banking and Finance, Federal Reserve Banks - Federal Reserve Bank of Cleveland and Stockholm School of Economics (SITE)
Date Posted: May 21, 2016
Last Revised: July 09, 2016
Working Paper Series
108 downloads

Incl. Electronic Paper Linear Credit Risk Models
Swiss Finance Institute Research Paper No. 16-34
Damien Ackerer and Damir Filipović
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Date Posted: May 21, 2016
Last Revised: June 01, 2016
Working Paper Series
174 downloads

Incl. Electronic Paper New and Revised Results for 'Building Reputation for Contract Renewal: Implications for Performance Dynamics and Contract Duration'
Swiss Finance Institute Research Paper No. 16-32
Vanessa Kummer, Maik Meusel, Philipp Renner and Karl Schmedders
University of Zurich, University of Zurich, Stanford University - The Hoover Institution on War, Revolution and Peace and University of Zurich
Date Posted: May 14, 2016
Working Paper Series
28 downloads

Incl. Electronic Paper Risk and Resilience Management in Social-Economic Systems
Swiss Finance Institute Research Paper No. 16-30
Tatyana Kovalenko and Didier Sornette
ETH Zurich and Swiss Finance Institute
Date Posted: May 13, 2016
Working Paper Series
100 downloads

Incl. Electronic Paper Calibration of Quantum Decision Theory, Aversion to Large Losses and Predictability of Probabilistic Choices
Swiss Finance Institute Research Paper No. 16-31
Sabine Vincent, Tatyana Kovalenko, Vyacheslav I. Yukalov and Didier Sornette
ETH Zurich, ETH Zurich, Joint Institute for Nuclear Research and Swiss Finance Institute
Date Posted: May 13, 2016
Working Paper Series
82 downloads

Incl. Electronic Paper Dating the Financial Cycle: A Wavelet Proposition
Swiss Finance Institute Research Paper No. 16-29
Diego Ardila and Didier Sornette
ETH Zurich and Swiss Finance Institute
Date Posted: May 05, 2016
Last Revised: May 07, 2016
Working Paper Series
122 downloads

Incl. Electronic Paper Dynamic Principal-Agent Models
Swiss Finance Institute Research Paper No. 16-26
Philipp Renner and Karl Schmedders
Stanford University - The Hoover Institution on War, Revolution and Peace and University of Zurich
Date Posted: April 14, 2016
Last Revised: November 18, 2016
Working Paper Series
98 downloads

Incl. Electronic Paper Replicating Portfolio Approach to Capital Calculation
Swiss Finance Institute Research Paper No. 16-25
Mathieu Cambou and Damir Filipović
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Date Posted: April 13, 2016
Last Revised: November 10, 2016
Working Paper Series
190 downloads

Incl. Electronic Paper On the Relation between Linearity-Generating Processes and Linear-Rational Models
Swiss Finance Institute Research Paper No. 16-23
Damir Filipović, Martin Larsson and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne, ETH Zurich - Department of Mathematics and Ecole Polytechnique Fédérale de Lausanne
Date Posted: March 24, 2016
Working Paper Series
112 downloads

Incl. Electronic Paper Which Swiss Gnomes Attract Money? Efficiency and Reputation as Performance Drivers of Wealth Management Banks
Swiss Finance Institute Research Paper No. 16-28
Urs Birchler, René Hegglin, Michael R. Reichenecker and Alexander F. Wagner
University of Zurich - Faculty of Economics, Business Administration and Information Technology, University of Zurich - Department of Banking and Finance, UBS AG and University of Zurich - Department of Banking and Finance
Date Posted: March 15, 2016
Working Paper Series
81 downloads

Incl. Electronic Paper Equity is Cheap for Large Financial Institutions: The International Evidence
Swiss Finance Institute Research Paper No. 16-22
Priyank Gandhi, Hanno N. Lustig and Alberto Plazzi
Mendoza College of Business, University of Notre Dame, Stanford Graduate School of Business and USI-Lugano
Date Posted: March 14, 2016
Last Revised: June 12, 2016
Working Paper Series
284 downloads

Incl. Electronic Paper The Quality-Assuring Role of Mutual Fund Advisory Fees
Swiss Finance Institute Research Paper No. 16-16, George Mason Law & Economics Research Paper No. 16-22
Michel A. Habib and D. Bruce Johnsen
University of Zurich and George Mason University - School of Law
Date Posted: March 12, 2016
Last Revised: April 29, 2016
Working Paper Series
51 downloads

Incl. Electronic Paper Price Impact and Bursts In Liquidity Provision
Swiss Finance Institute Research Paper No. 16-21
Ramazan Gencay, Soheil Mahmoodzadeh, Jakub Rojcek and Michael C Tseng
Simon Fraser University, University of Cambridge - Faculty of Economics, University of Zurich, Department of Banking and Finance and Simon Fraser University (SFU) - Department of Economics
Date Posted: March 11, 2016
Last Revised: October 15, 2016
Working Paper Series
156 downloads

Incl. Electronic Paper Why Does Fast Loan Growth Predict Poor Performance for Banks?
Charles A. Dice Center Working Paper No. 2016-7, Fisher College of Business Working Paper No. 2016-03-07, Swiss Finance Institute Research Paper No. 16-24
Rüdiger Fahlenbrach, Robert Prilmeier and René M. Stulz
Ecole Polytechnique Fédérale de Lausanne, Tulane University - A.B. Freeman School of Business and Ohio State University (OSU) - Department of Finance
Date Posted: March 09, 2016
Working Paper Series
292 downloads

Incl. Electronic Paper Real Estate Company Reactions to Financial Market Regulation
Swiss Finance Institute Research Paper No. 16-20
Martin Hoesli, Stanimira Milcheva and Alex Moss
University of Geneva - Geneva School of Economics and Management (GSEM), University of Reading - Henley Business School and University of Reading - Henley Business School
Date Posted: March 09, 2016
Working Paper Series
63 downloads


 

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