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Risk Management Research Report - Spring 2010

Risk Management Research Report, Spring 2010

16 Pages Posted: 23 Apr 2010  

Christophe Perignon

HEC Paris - Finance Department

Daniel R Smith

affiliation not provided to SSRN

Bing Liang

University of Massachusetts Amherst - Department of Finance

Hyuna Park

Brooklyn College - CUNY

Michelle Lowry

Drexel University

Micah S. Officer

Loyola Marymount University - Department of Finance and Computer Information Systems

G. William Schwert

University of Rochester - Simon Business School; National Bureau of Economic Research (NBER)

Elyas Elyasiani

Temple University - Department of Finance

Jingyi Jia

Southern Illinois University at Edwardsville - Department of Economics & Finance

Gary Charness

University of California, Santa Barbara - Department of Economics

Uri Gneezy

University of California, San Diego (UCSD) - Rady School of Management

Michael J. Cooper

University of Utah - David Eccles School of Business

Huseyin Gulen

Purdue University - Krannert School of Management

Alexei V. Ovtchinnikov

HEC Paris - Finance Department

Holger Spamann

Harvard Law School

Xavier Giroud

Columbia Business School - Finance and Economics; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

Holger M. Mueller

New York University (NYU) - Department of Finance; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR); European Corporate Governance Institute (ECGI)

Marco Castillo

Department of Economics, Texas A&M University

Ragan Petrie

Texas A&M University - Department of Economics; University of Melbourne - Melbourne Institute of Applied Economic and Social Research

Maximo Torero

International Food Policy Research Institute (IFPRI)

Nuno Fernandes

IMD International

Ugur Lel

University of Georgia - Department of Banking and Finance

Darius P. Miller

Southern Methodist University (SMU) - Edwin L. Cox School of Business

Dan Givoly

Pennsylvania State University, Smeal College of Business

Carla Hayn

University of California at Los Angeles - Anderson School of Management

Sharon P. Katz

Columbia Business School - Accounting, Business Law & Taxation

Bill B. Francis

University of South Florida - College of Business Administration

Iftekhar Hasan

Gabelli School of Business, Fordham University; Bank of Finland

Kose John

New York University (NYU) - Department of Finance

Maya Waisman

Gabelli School of Business, Fordham University

Robert W. Kolb

Loyola University of Chicago - Department of Finance

Date Written: April 23, 2010

Abstract

Risk Management Research Report (RMRR) surveys and screens the flow of academic articles on risk management and presents extended scholarly summaries of today’s most important scholarly work in a convenient format on a timely basis. Each issue features approximately 15 of the most important scholarly articles in risk management published within the preceding quarter. For each of these articles, RMRR presents an extended summary of about 500-800 words, which contrasts with the brief (approximately 150-word) abstracts that typically accompany publication. The purpose of each summary is to provide a substantive understanding of the content of the article.

Keywords: Risk, Risk Management, Derivatives, Corporate Governance, Financial Derivatives, Value-At-Risk, VaR, Ethics, Volatility, Variance, Standard Deviation, Systemic, Systematic

JEL Classification: A1, C00, C7, G00, G3, D81, G34, G1

Suggested Citation

Perignon, Christophe and Smith, Daniel R and Liang, Bing and Park, Hyuna and Lowry, Michelle and Officer, Micah S. and Schwert, G. William and Elyasiani, Elyas and Jia, Jingyi and Charness, Gary and Gneezy, Uri and Cooper, Michael J. and Gulen, Huseyin and Ovtchinnikov, Alexei V. and Spamann, Holger and Giroud, Xavier and Mueller, Holger M. and Castillo, Marco and Petrie, Ragan and Torero, Maximo and Fernandes, Nuno and Lel, Ugur and Miller, Darius P. and Givoly, Dan and Hayn, Carla and Katz, Sharon P. and Francis, Bill B. and Hasan, Iftekhar and John, Kose and Waisman, Maya and Kolb, Robert W., Risk Management Research Report - Spring 2010 (April 23, 2010). Risk Management Research Report, Spring 2010. Available at SSRN: https://ssrn.com/abstract=1594897

Christophe Perignon

HEC Paris - Finance Department ( email )

1 rue de la Liberation
Jouy-en-Josas Cedex, 78351
France

Daniel R Smith

affiliation not provided to SSRN ( email )

Bing Liang

University of Massachusetts Amherst - Department of Finance ( email )

Amherst, MA 01003
United States

Hyuna Park

Brooklyn College - CUNY ( email )

2900 Bedford Ave
Brooklyn, NY NY 11210
United States

Michelle B. Lowry

Drexel University ( email )

Philadelphia, PA 19104
United States
215-895-6070 (Phone)

Micah S. Officer

Loyola Marymount University - Department of Finance and Computer Information Systems ( email )

Los Angeles, CA 90045
United States

G. William Schwert

University of Rochester - Simon Business School ( email )

Carol Simon Hall 3-110L
Rochester, NY 14627
United States
585-275-2470 (Phone)
585-461-5475 (Fax)

HOME PAGE: http://schwert.ssb.rochester.edu

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Elyas Elyasiani

Temple University - Department of Finance ( email )

Fox School of Business and Management
Philadelphia, PA 19122
United States
215-204-5881 (Phone)
215-204-5698 (Fax)

Jingyi Jia

Southern Illinois University at Edwardsville - Department of Economics & Finance ( email )

Edwardsville, IL 62026
United States

Gary Charness

University of California, Santa Barbara - Department of Economics ( email )

2127 North Hall
Santa Barbara, CA 93106
United States
805-893-2412 (Phone)
805-893-8830 (Fax)

Uri Gneezy

University of California, San Diego (UCSD) - Rady School of Management ( email )

9500 Gilman Drive
Rady School of Management
La Jolla, CA 92093
United States

Michael J. Cooper

University of Utah - David Eccles School of Business ( email )

1645 E Campus Center Dr
Salt Lake City, UT 84112-9303
United States

Huseyin Gulen

Purdue University - Krannert School of Management ( email )

1310 Krannert Building
West Lafayette, IN 47907-1310
United States

Alexei V. Ovtchinnikov

HEC Paris - Finance Department ( email )

1 rue de la Liberation
Jouy-en-Josas Cedex, 78351
France

Holger Spamann

Harvard Law School ( email )

Cambridge, MA 02138
United States

Xavier Giroud

Columbia Business School - Finance and Economics ( email )

3022 Broadway
New York, NY 10027
United States

HOME PAGE: http://www.columbia.edu/~xg2285/

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Centre for Economic Policy Research (CEPR) ( email )

77 Bastwick Street
London, EC1V 3PZ
United Kingdom

Holger M. Mueller

New York University (NYU) - Department of Finance ( email )

44 West 4th Street
New York, NY 10012-1126
United States
212-998-0341 (Phone)
212-995-4233 (Fax)

HOME PAGE: http://www.stern.nyu.edu/~hmueller/

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Centre for Economic Policy Research (CEPR)

77 Bastwick Street
London, EC1V 3PZ
United Kingdom

European Corporate Governance Institute (ECGI) ( email )

c/o ECARES ULB CP 114
B-1050 Brussels
Belgium

Marco Castillo

Department of Economics, Texas A&M University ( email )

Langford Building A
798 Ross St.
College Station, TX 77843-3137
United States

Ragan Petrie

Texas A&M University - Department of Economics ( email )

5201 University Blvd.
College Station, TX 77843-4228
United States

University of Melbourne - Melbourne Institute of Applied Economic and Social Research ( email )

Level 5, FBE Building, 111 Barry Street
Parkville, Victoria 3010
Australia

Maximo Torero

International Food Policy Research Institute (IFPRI) ( email )

2033 K Street, NW
Washington, DC 20006
United States

Nuno Fernandes

IMD International ( email )

Ch. de Bellerive 23
P.O. Box 915
CH-1001 Lausanne
Switzerland

Ugur Lel

University of Georgia - Department of Banking and Finance ( email )

Terry College of Business
Athens, GA 30602-6253
United States

Darius P. Miller

Southern Methodist University (SMU) - Edwin L. Cox School of Business ( email )

P.O. Box 750333
Dallas, TX 75275-0333
United States

Dan Givoly

Pennsylvania State University, Smeal College of Business ( email )

305 Business Building
University Park, PA 16802
United States
814-865-0587 (Phone)
814-863-8393 (Fax)

Carla Hayn

University of California at Los Angeles - Anderson School of Management ( email )

D410 Anderson Complex
Los Angeles, CA 90095-1481
United States
310-206-9225 (Phone)

Sharon P. Katz

Columbia Business School - Accounting, Business Law & Taxation ( email )

3022 Broadway
New York, NY 10027
United States

Bill B. Francis

University of South Florida - College of Business Administration ( email )

4202 E. Fowler Avenue, BSN 3403
Dept. of Finance
Tampa, FL 33620-5500
United States
813-974-6300 (Phone)
813-974-3030 (Fax)

HOME PAGE: http://www.coba.usf.edu/departments/finance/facult

Iftekhar Hasan

Gabelli School of Business, Fordham University ( email )

Rose Hill Campus Bronx
New York, NY 10458
United States

Bank of Finland ( email )

P.O. Box 160
Helsinki 00101
Finland

Kose John

New York University (NYU) - Department of Finance ( email )

Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
212-998-0337 (Phone)
212-995-4233 (Fax)

Maya Waisman

Gabelli School of Business, Fordham University ( email )

113 West 60th Street
Bronx, NY 10458
United States

Robert W. Kolb (Contact Author)

Loyola University of Chicago - Department of Finance

820 North Michigan Avenue
Chicago, IL 60611
United States

HOME PAGE: http://bobkolb.com

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