Details about Raphael Douady
Access statistics for papers by Raphael Douady.
Last updated 2022-11-24. Update your information in the RePEc Author Service.
Short-id: pdo453
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Working Papers
2022
- Crisis risk prediction with concavity from Polymodel
Post-Print, HAL View citations (1)
Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2020)  Working Papers, HAL (2020)  Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2022) View citations (1)
2021
- Tempered stable processes with time-varying exponential tails
Post-Print, HAL View citations (1)
Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2021) View citations (1) Papers, arXiv.org (2020)  Working Papers, HAL (2020)  Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2020) 
See also Journal Article Tempered stable processes with time-varying exponential tails, Quantitative Finance, Taylor & Francis Journals (2022) View citations (3) (2022)
2020
- A comparison of wealth inequality in humans and non-humans
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL 
Also in Post-Print, HAL (2020) 
See also Journal Article A comparison of wealth inequality in humans and non-humans, Physica A: Statistical Mechanics and its Applications, Elsevier (2020) View citations (1) (2020)
- 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 View citations (4)
Also in Working Papers, HAL (2020)
- SABR TYPE STOCHASTIC VOLATILITY OPERATOR IN HILBERT SPACE
Working Papers, HAL 
Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2020)
2019
- Managing the Downside of Active and Passive Strategies: Convexity and Fragilities
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (1)
Also in Post-Print, HAL (2019) View citations (1)
- Repurchase Agreements and the European Sovereign Debt Crises: The Role of European Clearinghouses
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
Also in Post-Print, HAL (2019)
See also Chapter Repurchase Agreements and the European Sovereign Debt Crises: The Role of European Clearinghouses, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2019) (2019)
- Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel
Post-Print, HAL View citations (2)
Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2019) View citations (2)
2018
- An empirical approach to financial crisis indicators based on random matrices
Post-Print, HAL View citations (4)
Also in Papers, arXiv.org (2017) View citations (3) Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2018) View citations (5)
See also Journal Article AN EMPIRICAL APPROACH TO FINANCIAL CRISIS INDICATORS BASED ON RANDOM MATRICES, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2018) View citations (3) (2018)
2017
- Financial Regulation in the EU: From Resilience to Growth
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (2)
Also in Post-Print, HAL (2017) View citations (2)
- Hamiltonian Flow Simulation of Rare Events
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL 
Also in Working Papers, HAL (2017)
- Optimal Transport Filtering with Particle Reweighing in Finance
Working Papers, HAL View citations (2)
Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2017) View citations (2)
2015
- 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 
Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2015)  Post-Print, HAL (2015)
- Bank Regulation, Risk and Return: Evidence from the Credit and Sovereign Debt Crises
Post-Print, HAL View citations (32)
Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2015) View citations (32)
See also Journal Article Bank regulation, risk and return: Evidence from the credit and sovereign debt crises, Journal of Banking & Finance, Elsevier (2015) View citations (30) (2015)
- Capital Adequacy, Pro-cyclicality and Systemic Risk
Post-Print, HAL
Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2015)
See also Chapter Capital Adequacy, Pro-cyclicality and Systemic Risk, International Series in Operations Research & Management Science, Springer (2015) (2015)
- On the Super-Additivity and Estimation Biases of Quantile Contributions
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (9)
Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2014)  Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014)  Post-Print, HAL (2014)  Papers, arXiv.org (2014)  Post-Print, HAL (2015) View citations (9)
See also Journal Article On the super-additivity and estimation biases of quantile contributions, Physica A: Statistical Mechanics and its Applications, Elsevier (2015) View citations (22) (2015)
2014
- A Non-cyclical Capital Adequacy Rule and the Aversion of Systemic Risk
Post-Print, HAL
Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014)
- Extreme Risk, excess return and leverage: the LP formula
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL 
Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2014)  Post-Print, HAL (2014)
- Mathematical Definition, Mapping, and Detection of (Anti)Fragility
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (3)
Also in Post-Print, HAL (2014)  Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013) View citations (15) Papers, arXiv.org (2012) View citations (2) Post-Print, HAL (2013) View citations (12) Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2014) View citations (1)
See also Journal Article Mathematical definition, mapping, and detection of (anti)fragility, Quantitative Finance, Taylor & Francis Journals (2013) View citations (17) (2013)
- Modèles mathématiques et crise financière
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
Also in Post-Print, HAL (2014)
- The Precautionary Principle (with Application to the Genetic Modification of Organisms)
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (4)
Also in Working Papers, HAL (2014) View citations (2) Papers, arXiv.org (2014) View citations (4)
- 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 View citations (1)
Also in Post-Print, HAL (2014)  Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014)
- Yield Curve Smoothing and Residual Variance of Fixed Income Positions
Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne View citations (7)
Also in Post-Print, HAL (2013) Post-Print, HAL (2014) View citations (3) Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014) View citations (3) Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013)
2013
- Financial Crisis and Contagion: A Dynamical Systems Approach
Post-Print, HAL View citations (3)
Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013) View citations (5)
- Lois: credit and liquidity
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (8)
Also in Post-Print, HAL (2013) View citations (5)
- The Whys of the LOIS: Credit Skew and Funding Rates Volatility
Post-Print, HAL
Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013) View citations (1)
2012
- Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (12)
Also in Post-Print, HAL (2012) View citations (12)
See also Journal Article Financial crisis dynamics: attempt to define a market instability indicator, Quantitative Finance, Taylor & Francis Journals (2012) View citations (12) (2012)
2011
- The Stress VaR: A New Risk Concept for Extreme Risk and Fund Allocation
Post-Print, HAL View citations (6)
Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) View citations (6) Post-Print, HAL (2010)  Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010) View citations (1)
2009
- The StressVaR: A New Risk Concept for Superior Fund Allocation
Papers, arXiv.org View citations (1)
2002
- STATIC HEDGING OF BARRIER OPTIONS WITH A SMILE: AN INVERSE PROBLEM
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (3)
Also in Post-Print, HAL (2002) View citations (1)
2000
- On Probability Characteristics of "Downfalls" in a Standard Brownian Motion
Post-Print, HAL View citations (14)
Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2000) View citations (16)
Journal Articles
2022
- Has the Market Started to Collapse or Will It Resist?
Stats, 2022, 5, (2), 1-7
- Tempered stable processes with time-varying exponential tails
Quantitative Finance, 2022, 22, (3), 541-561 View citations (3)
See also Working Paper Tempered stable processes with time-varying exponential tails, Post-Print (2021) View citations (1) (2021)
2020
- A comparison of wealth inequality in humans and non-humans
Physica A: Statistical Mechanics and its Applications, 2020, 538, (C) View citations (1)
See also Working Paper A comparison of wealth inequality in humans and non-humans, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2020) (2020)
2018
- AN EMPIRICAL APPROACH TO FINANCIAL CRISIS INDICATORS BASED ON RANDOM MATRICES
International Journal of Theoretical and Applied Finance (IJTAF), 2018, 21, (03), 1-22 View citations (3)
See also Working Paper An empirical approach to financial crisis indicators based on random matrices, Post-Print (2018) View citations (4) (2018)
- Systemic Risk Indicators Based on Nonlinear PolyModel
JRFM, 2018, 12, (1), 1-24 View citations (6)
2017
- Introduction
Accounting, Economics, and Law: A Convivium, 2017, 7, (2), 13-15
2015
- Bank regulation, risk and return: Evidence from the credit and sovereign debt crises
Journal of Banking & Finance, 2015, 50, (C), 455-474 View citations (30)
See also Working Paper Bank Regulation, Risk and Return: Evidence from the Credit and Sovereign Debt Crises, Post-Print (2015) View citations (32) (2015)
- On the super-additivity and estimation biases of quantile contributions
Physica A: Statistical Mechanics and its Applications, 2015, 429, (C), 252-260 View citations (22)
See also Working Paper On the Super-Additivity and Estimation Biases of Quantile Contributions, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2015) View citations (9) (2015)
2013
- Mathematical definition, mapping, and detection of (anti)fragility
Quantitative Finance, 2013, 13, (11), 1677-1689 View citations (17)
See also Working Paper Mathematical Definition, Mapping, and Detection of (Anti)Fragility, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2014) View citations (3) (2014)
2012
- Financial crisis dynamics: attempt to define a market instability indicator
Quantitative Finance, 2012, 12, (9), 1351-1365 View citations (12)
See also Working Paper Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2012) View citations (12) (2012)
2010
- On measuring nonlinear risk with scarce observations
Finance and Stochastics, 2010, 14, (3), 375-395 View citations (6)
1999
- CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION
International Journal of Theoretical and Applied Finance (IJTAF), 1999, 02, (01), 17-42 View citations (5)
See also Chapter CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION, World Scientific Book Chapters, 1999, 177-202 (1999) View citations (9) (1999)
Edited books
2017
- Financial Regulation in the EU
Springer Books, Springer View citations (4)
Chapters
2019
- Repurchase Agreements and the European Sovereign Debt Crises: The Role of European Clearinghouses
Chapter 18 in HANDBOOK OF GLOBAL FINANCIAL MARKETS Transformations, Dependence, and Risk Spillovers, 2019, pp 467-492 
See also Working Paper Repurchase Agreements and the European Sovereign Debt Crises: The Role of European Clearinghouses, HAL (2019) (2019)
2015
- Capital Adequacy, Pro-cyclicality and Systemic Risk
Springer
See also Working Paper Capital Adequacy, Pro-cyclicality and Systemic Risk, HAL (2015) (2015)
2002
- 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 View citations (2)
1999
- 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 View citations (9)
See also Journal Article CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION, World Scientific Publishing Co. Pte. Ltd. (1999) View citations (5) (1999)
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