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Details about Raphael Douady

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Workplace:SUNY Stony Brook University Applied Math and Statistics Dept

Access statistics for papers by Raphael Douady.

Last updated 2019-02-16. Update your information in the RePEc Author Service.

Short-id: pdo453


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Working Papers

2020

  1. Repurchase agreements and systemic risk in the European sovereign debt crises: the role of European clearing houses
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (3)

2017

  1. An Empirical Approach to Financial Crisis Indicators Based on Random Matrices
    Papers, arXiv.org Downloads
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2018)
  2. Hamiltonian Flow Simulation of Rare Events
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
  3. Optimal Transport Filtering with Particle Reweighing in Finance
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (2)

2015

  1. A Practical Approach to Financial Crisis Indicators Based on Random Matrices
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2015) Downloads
  2. Bank Regulation, Risk and Return: Evidence from the Credit and Sovereign Debt Crises
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (15)
    See also Journal Article in Journal of Banking & Finance (2015)
  3. Capital Adequacy, Pro-cyclicality and Systemic Risk
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
  4. On the Super-Additivity and Estimation Biases of Quantile Contributions
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (1)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2014) Downloads
    Papers, arXiv.org (2014) Downloads
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014) Downloads

    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2015)

2014

  1. A Non-cyclical Capital Adequacy Rule and the Aversion of Systemic Risk
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
  2. Extreme Risk, excess return and leverage: the LP formula
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2014) Downloads
  3. Mathematical Definition, Mapping, and Detection of (Anti)Fragility
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (3)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2014) Downloads View citations (1)
    Papers, arXiv.org (2012) Downloads View citations (1)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013) View citations (8)

    See also Journal Article in Quantitative Finance (2013)
  4. Modèles mathématiques et crise financière
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
  5. The Precautionary Principle (with Application to the Genetic Modification of Organisms)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (2)
    Also in Papers, arXiv.org (2014) Downloads View citations (1)
  6. The Whys of the LOIS: Credit Skew and Funding Spread Volatility
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads View citations (1)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014) Downloads
  7. Yield Curve Smoothing and Residual Variance of Fixed Income Positions
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (1)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2014) Downloads View citations (4)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013)

2013

  1. Financial Crisis and Contagion: A Dynamical Systems Approach
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (3)
  2. Lois: credit and liquidity
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (5)
  3. The Whys of the LOIS: Credit Skew and Funding Rates Volatility
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (1)

2012

  1. Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (8)
    See also Journal Article in Quantitative Finance (2012)

2011

  1. The Stress VaR: A New Risk Concept for Extreme Risk and Fund Allocation
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (6)

2009

  1. The StressVaR: A New Risk Concept for Superior Fund Allocation
    Papers, arXiv.org Downloads

2002

  1. STATIC HEDGING OF BARRIER OPTIONS WITH A SMILE: AN INVERSE PROBLEM
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (2)

2000

  1. On Probability Characteristics of "Downfalls" in a Standard Brownian Motion
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (9)

Journal Articles

2018

  1. AN EMPIRICAL APPROACH TO FINANCIAL CRISIS INDICATORS BASED ON RANDOM MATRICES
    International Journal of Theoretical and Applied Finance (IJTAF), 2018, 21, (03), 1-22 Downloads View citations (1)
    See also Working Paper (2017)
  2. Systemic Risk Indicators Based on Nonlinear PolyModel
    Journal of Risk and Financial Management, 2018, 12, (1), 1-24 Downloads

2017

  1. Introduction
    Accounting, Economics, and Law: A Convivium, 2017, 7, (2), 13-15 Downloads

2015

  1. Bank regulation, risk and return: Evidence from the credit and sovereign debt crises
    Journal of Banking & Finance, 2015, 50, (C), 455-474 Downloads View citations (13)
    See also Working Paper (2015)
  2. On the super-additivity and estimation biases of quantile contributions
    Physica A: Statistical Mechanics and its Applications, 2015, 429, (C), 252-260 Downloads View citations (4)
    See also Working Paper (2015)

2013

  1. Mathematical definition, mapping, and detection of (anti)fragility
    Quantitative Finance, 2013, 13, (11), 1677-1689 Downloads View citations (8)
    See also Working Paper (2014)

2012

  1. Financial crisis dynamics: attempt to define a market instability indicator
    Quantitative Finance, 2012, 12, (9), 1351-1365 Downloads View citations (9)
    See also Working Paper (2012)

2010

  1. On measuring nonlinear risk with scarce observations
    Finance and Stochastics, 2010, 14, (3), 375-395 Downloads View citations (3)

1999

  1. CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION
    International Journal of Theoretical and Applied Finance (IJTAF), 1999, 02, (01), 17-42 Downloads View citations (1)
    See also Chapter (1999)

Chapters

2002

  1. BERMUDAN OPTION PRICING WITH MONTE-CARLO METHODS
    Chapter 14 in Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), 2002, pp 314-328 Downloads View citations (1)

1999

  1. CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION
    Chapter 6 in Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, 1999, pp 177-202 Downloads View citations (8)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (1999)
 
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