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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 2022-11-24. Update your information in the RePEc Author Service.

Short-id: pdo453


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Working Papers

2022

  1. 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 (2022) View citations (1)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2020) Downloads
    Working Papers, HAL (2020) Downloads

2021

  1. Tempered stable processes with time-varying exponential tails
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (1)
    Also in Post-Print, HAL (2021) View citations (1)
    Papers, arXiv.org (2020) Downloads
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2020) Downloads
    Working Papers, HAL (2020) Downloads

    See also Journal Article in Quantitative Finance (2022)

2020

  1. A comparison of wealth inequality in humans and non-humans
    Post-Print, HAL Downloads
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2020) Downloads

    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2020)
  2. 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 (4)
    Also in Working Papers, HAL (2020) Downloads
  3. SABR TYPE STOCHASTIC VOLATILITY OPERATOR IN HILBERT SPACE
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Working Papers, HAL (2020) Downloads

2019

  1. Managing the Downside of Active and Passive Strategies: Convexity and Fragilities
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Post-Print, HAL (2019) Downloads
  2. Repurchase Agreements and the European Sovereign Debt Crises: The Role of European Clearinghouses
    Post-Print, HAL
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2019)

    See also Chapter (2019)
  3. Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (2)
    Also in Post-Print, HAL (2019) Downloads View citations (2)

2018

  1. An empirical approach to financial crisis indicators based on random matrices
    Post-Print, HAL View citations (4)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2018) View citations (4)
    Papers, arXiv.org (2017) Downloads View citations (3)

    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2018)

2017

  1. Financial Regulation in the EU: From Resilience to Growth
    Post-Print, HAL View citations (2)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2017) View citations (2)
  2. Hamiltonian Flow Simulation of Rare Events
    Working Papers, HAL Downloads
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2017) Downloads
  3. Optimal Transport Filtering with Particle Reweighing in Finance
    Working Papers, HAL Downloads View citations (2)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2017) 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 Post-Print, HAL (2015) Downloads
    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
    Post-Print, HAL View citations (28)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2015) View citations (28)

    See also Journal Article in Journal of Banking & Finance (2015)
  3. 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 (2015)
  4. On the Super-Additivity and Estimation Biases of Quantile Contributions
    Post-Print, HAL Downloads View citations (9)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2015) Downloads View citations (9)
    Papers, arXiv.org (2014) Downloads
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2014) Downloads
    Post-Print, HAL (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
    Post-Print, HAL
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014)
  2. Extreme Risk, excess return and leverage: the LP formula
    Post-Print, 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
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (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)
    Post-Print, HAL (2013) View citations (12)
    Post-Print, HAL (2014) Downloads
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013) View citations (15)

    See also Journal Article in Quantitative Finance (2013)
  4. Modèles mathématiques et crise financière
    Post-Print, HAL
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014)
  5. 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 Papers, arXiv.org (2014) Downloads View citations (4)
    Working Papers, HAL (2014) View citations (2)
  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 Post-Print, HAL (2014) Downloads
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014) Downloads
  7. Yield Curve Smoothing and Residual Variance of Fixed Income Positions
    Post-Print, HAL Downloads View citations (2)
    Also in Post-Print, HAL (2013)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014) Downloads View citations (3)
    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 (6)

2013

  1. 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)
  2. Lois: credit and liquidity
    Post-Print, HAL View citations (5)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013) View citations (8)
  3. 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

  1. Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator
    Post-Print, HAL View citations (11)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2012) View citations (12)

    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)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010) Downloads
    Post-Print, HAL (2010) Downloads
    Post-Print, HAL (2011) 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
    Post-Print, HAL Downloads View citations (1)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2002) Downloads View citations (3)

2000

  1. On Probability Characteristics of "Downfalls" in a Standard Brownian Motion
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (16)
    Also in Post-Print, HAL (2000) View citations (14)

Journal Articles

2022

  1. Has the Market Started to Collapse or Will It Resist?
    Stats, 2022, 5, (2), 1-7 Downloads
  2. Tempered stable processes with time-varying exponential tails
    Quantitative Finance, 2022, 22, (3), 541-561 Downloads View citations (2)
    See also Working Paper (2021)

2020

  1. A comparison of wealth inequality in humans and non-humans
    Physica A: Statistical Mechanics and its Applications, 2020, 538, (C) Downloads View citations (1)
    See also Working Paper (2020)

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 (2)
    See also Working Paper (2018)
  2. Systemic Risk Indicators Based on Nonlinear PolyModel
    JRFM, 2018, 12, (1), 1-24 Downloads View citations (6)

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 (26)
    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 (21)
    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 (15)
    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 (11)
    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 (4)

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 (5)
    See also Chapter (1999)

Edited books

2017

  1. Financial Regulation in the EU
    Springer Books, Springer View citations (4)

Chapters

2019

  1. 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 Downloads
    See also Working Paper (2019)

2015

  1. Capital Adequacy, Pro-cyclicality and Systemic Risk
    Springer
    See also Working Paper (2015)

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 (2)

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 (9)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (1999)
 
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