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Raphael Douady

Personal Details

First Name:Raphael
Middle Name:
Last Name:Douady
Suffix:
RePEc Short-ID:pdo453

Affiliation

SUNY Stony Brook University Applied Math and Statistics Dept

http://www.stonybrook.edu/commcms/ams2/
USA, NY, Stony Brook

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. Raphaël Douady & Yao Kuang, 2022. "Crisis risk prediction with concavity from Polymodel," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03512676, HAL.
  2. Young Shin Aaron Kim & Kum-Hwan Roh & Raphaël Douady, 2020. "Tempered Stable Processes with Time Varying Exponential Tails," Working Papers hal-03018495, HAL.
  3. Raphaël Douady & Zeyu Cao, 2020. "Sabr Type Stochastic Volatility Operator In Hilbert Space," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03018478, HAL.
  4. Ivan D Chase & Raphaël Douady & Dianna K Padilla, 2020. "A comparison of wealth inequality in humans and non-humans," Post-Print hal-03018472, HAL.
  5. Angela Armakola & Raphaël Douady & Jean-Paul Laurent & Francesco Molteni, 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-01479252, HAL.
  6. Xingxing Ye & Raphaël Douady, 2019. "Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel," Post-Print hal-02488592, HAL.
  7. Raphaël Douady, 2019. "Managing the Downside of Active and Passive Strategies: Convexity and Fragilities," Post-Print hal-02488589, HAL.
  8. Angela Armakola & Raphaël Douady & Jean-Paul Laurent, 2019. "Repurchase Agreements and the European Sovereign Debt Crises: The Role of European Clearinghouses," Post-Print hal-03265036, HAL.
  9. Raphaël Douady & Clément Goulet & Pierre-Charles Pradier, 2017. "Financial Regulation in the EU: From Resilience to Growth," Post-Print hal-03265024, HAL.
  10. Raphaël Douady & Shohruh Miryusupov, 2017. "Hamiltonian Flow Simulation of Rare Events," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01581894, HAL.
  11. Raphaël Douady & Shohruh Miryusupov, 2017. "Optimal Transport Filtering with Particle Reweighing in Finance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01581903, HAL.
  12. Raphaël Douady, 2015. "Capital Adequacy, Pro-cyclicality and Systemic Risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01478320, HAL.
  13. Antoine Kornprobst & Raphaël Douady, 2015. "A Pratical Approach to Financial Crisis Indicators Based on Random Matrices," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01169307, HAL.
  14. Antoine Kornprobst & Raphael Douady, 2015. "An Empirical Approach to Financial Crisis Indicators Based on Random Matrices," Papers 1506.00806, arXiv.org, revised Sep 2017.
  15. Hafiz Hoque & Dimitris Andriosopoulos & Kostas Andriosopoulos & Raphaël Douady, 2015. "Bank Regulation, Risk and Return: Evidence from the Credit and Sovereign Debt Crises," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01161670, HAL.
  16. Nassim Nicholas Taleb & Raphaël Douady, 2014. "On the Super-Additivity and Estimation Biases of Quantile Contributions," Documents de travail du Centre d'Economie de la Sorbonne 14090, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  17. Raphaël Douady, 2014. "Modèles mathématiques et crise financière," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01479099, HAL.
  18. Olivier Le Marois & Julia Mikhalevski & Raphaël Douady, 2014. "Extreme Risk, excess return and leverage: the LP formula," Documents de travail du Centre d'Economie de la Sorbonne 14094, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  19. Raphaël Douady, 2014. "A Non-cyclical Capital Adequacy Rule and the Aversion of Systemic Risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01478302, HAL.
  20. Stéphane Crépey & Raphaël Douady, 2014. "The Whys of the LOIS: Credit Skew and Funding Spread Volatility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01151315, HAL.
  21. Nassim Nicholas Taleb & Raphaël Douady, 2014. "Mathematical Definition, Mapping, and Detection of (Anti)Fragility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01151340, HAL.
  22. Nassim Nicholas Taleb & Rupert Read & Raphael Douady & Joseph Norman & Yaneer Bar-Yam, 2014. "The Precautionary Principle (with Application to the Genetic Modification of Organisms)," Papers 1410.5787, arXiv.org.
  23. Raphaël Douady, 2014. "Yield Curve Smoothing and Residual Variance of Fixed Income Positions," Documents de travail du Centre d'Economie de la Sorbonne 14091, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  24. Stéphane Crépey & Raphaël Douady, 2013. "Lois: credit and liquidity," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01477998, HAL.
  25. Youngna Choi & Raphaël Douady, 2013. "Financial Crisis and Contagion: A Dynamical Systems Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00666752, HAL.
  26. Stéphane Crépey & Raphaël Douady, 2013. "The Whys of the LOIS: Credit Skew and Funding Rates Volatility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01477891, HAL.
  27. Youngna Choi & Raphaël Douady, 2012. "Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00666245, HAL.
  28. Cyril Coste & Raphaël Douady & Ilija I. Zovko, 2011. "The Stress VaR: A New Risk Concept for Extreme Risk and Fund Allocation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00666234, HAL.
  29. Cyril Coste & Raphael Douady & Ilija I. Zovko, 2009. "The StressVaR: A New Risk Concept for Superior Fund Allocation," Papers 0911.4030, arXiv.org.
  30. Claude Bardos & Raphaël Douady & Andrei Fursikov, 2002. "Static Hedging Of Barrier Options With A Smile: An Inverse Problem," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01477102, HAL.
  31. Raphaël Douady & A.N. Shiryaev & Marc Yor, 2000. "On Probability Characteristics of "Downfalls" in a Standard Brownian Motion," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01477104, HAL.

Articles

  1. Young Shin Kim & Kum-Hwan Roh & Raphael Douady, 2022. "Tempered stable processes with time-varying exponential tails," Quantitative Finance, Taylor & Francis Journals, vol. 22(3), pages 541-561, March.
  2. Yao Kuang & Raphael Douady, 2022. "Has the Market Started to Collapse or Will It Resist?," Stats, MDPI, vol. 5(2), pages 1-7, April.
  3. Chase, Ivan D. & Douady, Raphael & Padilla, Dianna K., 2020. "A comparison of wealth inequality in humans and non-humans," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
  4. Raphael Douady & Antoine Kornprobst, 2018. "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., vol. 21(03), pages 1-22, May.
  5. Xingxing Ye & Raphael Douady, 2018. "Systemic Risk Indicators Based on Nonlinear PolyModel," JRFM, MDPI, vol. 12(1), pages 1-24, December.
  6. Le Theule François-Gilles & Douady Raphael & de Boissieu Christian, 2017. "Introduction," Accounting, Economics, and Law: A Convivium, De Gruyter, vol. 7(2), pages 13-15, July.
  7. Taleb, Nassim Nicholas & Douady, Raphael, 2015. "On the super-additivity and estimation biases of quantile contributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 252-260.
  8. Hoque, Hafiz & Andriosopoulos, Dimitris & Andriosopoulos, Kostas & Douady, Raphael, 2015. "Bank regulation, risk and return: Evidence from the credit and sovereign debt crises," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 455-474.
  9. N. N. Taleb & R. Douady, 2013. "Mathematical definition, mapping, and detection of (anti)fragility," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1677-1689, November.
  10. Youngna Choi & Raphael Douady, 2012. "Financial crisis dynamics: attempt to define a market instability indicator," Quantitative Finance, Taylor & Francis Journals, vol. 12(9), pages 1351-1365, August.
  11. Alexander Cherny & Raphael Douady & Stanislav Molchanov, 2010. "On measuring nonlinear risk with scarce observations," Finance and Stochastics, Springer, vol. 14(3), pages 375-395, September.
  12. Raphaël Douady, 1999. "Closed Form Formulas For Exotic Options And Their Lifetime Distribution," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 2(01), pages 17-42.

Chapters

  1. Angela Armakolla & Raphael Douady & Jean-Paul Laurent, 2019. "Repurchase Agreements and the European Sovereign Debt Crises: The Role of European Clearinghouses," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), HANDBOOK OF GLOBAL FINANCIAL MARKETS Transformations, Dependence, and Risk Spillovers, chapter 18, pages 467-492, World Scientific Publishing Co. Pte. Ltd..
  2. Raphael Douady, 2015. "Capital Adequacy, Pro-cyclicality and Systemic Risk," International Series in Operations Research & Management Science, in: Alain Bensoussan & Dominique Guegan & Charles S. Tapiero (ed.), Future Perspectives in Risk Models and Finance, edition 127, pages 137-148, Springer.
  3. Raphaël Douady, 2002. "Bermudan Option Pricing With Monte-Carlo Methods," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), chapter 14, pages 314-328, World Scientific Publishing Co. Pte. Ltd..
  4. Raphael Douady, 1999. "Closed Form Formulas For Exotic Options And Their Lifetime Distribution," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, chapter 6, pages 177-202, World Scientific Publishing Co. Pte. Ltd..

Books

  1. Raphaël Douady & Clément Goulet & Pierre-Charles Pradier (ed.), 2017. "Financial Regulation in the EU," Springer Books, Springer, number 978-3-319-44287-7, January.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Raphaël Douady & Yao Kuang, 2022. "Crisis risk prediction with concavity from Polymodel," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03512676, HAL.

    Cited by:

    1. Yao Kuang & Raphael Douady, 2022. "Has the Market Started to Collapse or Will It Resist?," Stats, MDPI, vol. 5(2), pages 1-7, April.

  2. Young Shin Aaron Kim & Kum-Hwan Roh & Raphaël Douady, 2020. "Tempered Stable Processes with Time Varying Exponential Tails," Working Papers hal-03018495, HAL.

    Cited by:

    1. Young Shin Kim & Hyangju Kim & Jaehyung Choi, 2023. "Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models," Papers 2303.08760, arXiv.org.
    2. Tong Liu & Yanlin Shi, 2022. "Innovation of the Component GARCH Model: Simulation Evidence and Application on the Chinese Stock Market," Mathematics, MDPI, vol. 10(11), pages 1-18, June.
    3. Young Shin Kim, 2022. "Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model," Annals of Operations Research, Springer, vol. 312(2), pages 853-881, May.

  3. Ivan D Chase & Raphaël Douady & Dianna K Padilla, 2020. "A comparison of wealth inequality in humans and non-humans," Post-Print hal-03018472, HAL.

    Cited by:

    1. Cui, Lijie & Lin, Chuandong, 2021. "A simple and efficient kinetic model for wealth distribution with saving propensity effect: Based on lattice gas automaton," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 561(C).

  4. Angela Armakola & Raphaël Douady & Jean-Paul Laurent & Francesco Molteni, 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-01479252, HAL.

    Cited by:

    1. Legroux, Vincent & Rahmouni-Rousseau, Imène & Szczerbowicz, Urszula & Valla, Natacha, 2017. "Stabilising virtues of central banks: (re)matching bank liquidity," EIB Working Papers 2017/01, European Investment Bank (EIB).
    2. Jean-Marc Bottazzi & Mario R. Pascoa & Guillermo Ramirez, 2017. "Do security prices rise or fall when margins are raised?," Nova SBE Working Paper Series wp616, Universidade Nova de Lisboa, Nova School of Business and Economics.
    3. Jean-Marc Bottazzi & Mário Páscoa & Guillermo Ramírez, 2017. "Do Security Prices Rise or Fall When Margins Are Raised?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01648215, HAL.
    4. Jean-Marc Bottazzi & Mário Páscoa & Guillermo Ramírez, 2017. "Do Security Prices Rise or Fall When Margins Are Raised?," Working Papers hal-01648215, HAL.

  5. Xingxing Ye & Raphaël Douady, 2019. "Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel," Post-Print hal-02488592, HAL.

    Cited by:

    1. Raphaël Douady, 2019. "Managing the Downside of Active and Passive Strategies: Convexity and Fragilities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02488589, HAL.

  6. Raphaël Douady, 2019. "Managing the Downside of Active and Passive Strategies: Convexity and Fragilities," Post-Print hal-02488589, HAL.

    Cited by:

    1. Siqiao Zhao & Zhikang Dong & Zeyu Cao & Raphael Douady, 2024. "Hedge Fund Portfolio Construction Using PolyModel Theory and iTransformer," Papers 2408.03320, arXiv.org, revised Aug 2024.

  7. Raphaël Douady & Clément Goulet & Pierre-Charles Pradier, 2017. "Financial Regulation in the EU: From Resilience to Growth," Post-Print hal-03265024, HAL.

    Cited by:

    1. John Levesque & Cédric Dalmasso & Sophie Hooge, 2022. "Understanding the Impacts of Digital Transformation in the Service Industry: the Mutation of the Back-Office Function in the Insurance Sector," Post-Print hal-04068150, HAL.
    2. Csaba, László, 2018. "Tőkepiaci unió vagy szabadságharc? [Capital-market union or a fight for freedom?]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(5), pages 484-498.

  8. Raphaël Douady & Shohruh Miryusupov, 2017. "Optimal Transport Filtering with Particle Reweighing in Finance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01581903, HAL.

    Cited by:

    1. Raphaël Douady & Shohruh Miryusupov, 2017. "Hamiltonian Flow Simulation of Rare Events," Working Papers hal-01581894, HAL.

  9. Antoine Kornprobst & Raphael Douady, 2015. "An Empirical Approach to Financial Crisis Indicators Based on Random Matrices," Papers 1506.00806, arXiv.org, revised Sep 2017.

    Cited by:

    1. Raphaël Douady, 2019. "Managing the Downside of Active and Passive Strategies: Convexity and Fragilities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02488589, HAL.
    2. Allaj, Erindi & Sanfelici, Simona, 2023. "Early Warning Systems for identifying financial instability," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1777-1803.
    3. Maria Elvira Mancino & Simona Sanfelici, 2020. "Identifying financial instability conditions using high frequency data," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 221-242, January.
    4. Lin, Li & Guo, Xin-Yu, 2019. "Identifying fragility for the stock market: Perspective from the portfolio overlaps network," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 132-151.

  10. Hafiz Hoque & Dimitris Andriosopoulos & Kostas Andriosopoulos & Raphaël Douady, 2015. "Bank Regulation, Risk and Return: Evidence from the Credit and Sovereign Debt Crises," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01161670, HAL.

    Cited by:

    1. Bermpei, Theodora & Kalyvas, Antonios & Nguyen, Thanh Cong, 2018. "Does institutional quality condition the effect of bank regulations and supervision on bank stability? Evidence from emerging and developing economies," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 255-275.
    2. Fabrizio De Francesco & Martino Maggetti, 2018. "Assessing disproportionality: indexes of policy responses to the 2007–2008 banking crisis," Policy Sciences, Springer;Society of Policy Sciences, vol. 51(1), pages 17-38, March.
    3. Alin Marius Andries & Alexandra-Maria Chiper & Steven Ongena & Nicu Sprincean, 2022. "External Wealth of Nations and Systemic Risk," Swiss Finance Institute Research Paper Series 22-74, Swiss Finance Institute.
    4. Cristina-Georgiana Zeldea & Mihai Nițoi, 2021. "Macroprudential tools, credit growth and financial stability: Lessons from Central and Eastern European countries," Journal of Financial Studies, Institute of Financial Studies, vol. 11(6), pages 156-178, December.
    5. Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Sovereign-bank linkages: Quantifying directional intensity of risk transfers in EMU countries," Journal of International Money and Finance, Elsevier, vol. 63(C), pages 137-164.
    6. Schlam, Carina & Woyand, Corinna, 2023. "The rollout of internal credit risk models: Implications for the novel partial-use philosophy," Discussion Papers 07/2023, Deutsche Bundesbank.
    7. Mirzaei, Ali & Samet, Anis, 2022. "Effectiveness of macroprudential policies: Do stringent bank regulation and supervision matter?," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 342-360.
    8. Bremus, Franziska & Ludolph, Melina, 2021. "The nexus between loan portfolio size and volatility: Does bank capital regulation matter?," Journal of Banking & Finance, Elsevier, vol. 127(C).
    9. Uddin, Ajim & Chowdhury, Mohammad Ashraful Ferdous & Sajib, Sanjay Deb & Masih, Mansur, 2020. "Revisiting the impact of institutional quality on post-GFC bank risk-taking: Evidence from emerging countries," Emerging Markets Review, Elsevier, vol. 42(C).
    10. Ashraf, Badar Nadeem & Zheng, Changjun & Arshad, Sidra, 2016. "Effects of national culture on bank risk-taking behavior," Research in International Business and Finance, Elsevier, vol. 37(C), pages 309-326.
    11. Seza Danışoğlu & Z. Nuray Güner & Hande Ayaydın Hacıömeroğlu, 2018. "International Evidence on Risk Taking by Banks Around the Global Financial Crisis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(9), pages 1946-1962, July.
    12. Faff, Robert W. & Parwada, Jerry T. & Tan, Eric K.M., 2019. "Did connected hedge funds benefit from bank bailouts during the financial crisis?," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
    13. Seyed Alireza Athari, 2021. "The effects of institutional settings and risks on bank dividend policy in an emerging market: Evidence from Tobit model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4493-4515, July.
    14. Wang, Li & Huang, Yiting & Hong, Zhiwu, 2024. "Digitalization as a double-edged sword: A deep learning analysis of risk management in Chinese banks," International Review of Financial Analysis, Elsevier, vol. 94(C).
    15. Chronopoulos, Dimitris K. & Wilson, John O.S. & Yilmaz, Muhammed H., 2023. "Regulatory oversight and bank risk," Journal of Financial Stability, Elsevier, vol. 64(C).
    16. Judit Temesvary, 2018. "The Role Of Regulatory Arbitrage In U.S. Banks' International Flows: Bank‐Level Evidence," Economic Inquiry, Western Economic Association International, vol. 56(4), pages 2077-2098, October.
    17. Halili, Alba & Fenech, Jean-Pierre & Contessi, Silvio, 2021. "Credit Derivatives and Bank Systemic Risk: Risk Enhancing or Reducing?," Finance Research Letters, Elsevier, vol. 42(C).
    18. Kladakis, George & Chen, Lei & Bellos, Sotirios K., 2022. "Bank regulation, supervision and liquidity creation," Journal of International Money and Finance, Elsevier, vol. 124(C).
    19. Anginer, Deniz & Cerutti, Eugenio & Martínez Pería, María Soledad, 2017. "Foreign bank subsidiaries' default risk during the global crisis: What factors help insulate affiliates from their parents?," Journal of Financial Intermediation, Elsevier, vol. 29(C), pages 19-31.
    20. Anginer, Deniz & Demirgüç-Kunt, Asli & Mare, Davide S., 2018. "Bank capital, institutional environment and systemic stability," Journal of Financial Stability, Elsevier, vol. 37(C), pages 97-106.
    21. Duan, Yuejiao & El Ghoul, Sadok & Guedhami, Omrane & Li, Haoran & Li, Xinming, 2021. "Bank systemic risk around COVID-19: A cross-country analysis," Journal of Banking & Finance, Elsevier, vol. 133(C).
    22. Franziska Bremus & Melina Ludolph, 2019. "The Nexus between Loan Portfolio Size and Volatility: Does Banking Regulation Matter?," Discussion Papers of DIW Berlin 1822, DIW Berlin, German Institute for Economic Research.
    23. Mollah, Sabur & Liljeblom, Eva, 2016. "Governance and bank characteristics in the credit and sovereign debt crises – the impact of CEO power11We are grateful to the Editor, Prof. Iftekhar Hasan and three anonymous referees for valuable com," Journal of Financial Stability, Elsevier, vol. 27(C), pages 59-73.
    24. Geoffroy Enjolras & Philippe Madiès, 2020. "The role of bank analysts and scores in the prediction of financial distress: Evidence from French farms," Economics Bulletin, AccessEcon, vol. 40(4), pages 2978-2993.
    25. Ashraf, Badar Nadeem, 2017. "Political institutions and bank risk-taking behavior," Journal of Financial Stability, Elsevier, vol. 29(C), pages 13-35.
    26. Ashraf, Badar Nadeem & Zheng, Changjun & Jiang, Chonghui & Qian, Ningyu, 2020. "Capital regulation, deposit insurance and bank risk: International evidence from normal and crisis periods," Research in International Business and Finance, Elsevier, vol. 52(C).
    27. Meier, Samira & Rodriguez Gonzalez, Miguel & Kunze, Frederik, 2021. "The global financial crisis, the EMU sovereign debt crisis and international financial regulation: lessons from a systematic literature review," International Review of Law and Economics, Elsevier, vol. 65(C).
    28. Cicchiello, Antonella Francesca & Cotugno, Matteo & Perdichizzi, Salvatore & Torluccio, Giuseppe, 2022. "Do capital buffers matter? Evidence from the stocks and flows of nonperforming loans," International Review of Financial Analysis, Elsevier, vol. 84(C).
    29. Lei Chen & Hui Li & Frank Hong Liu & Yue Zhou, 2021. "Bank regulation and systemic risk: cross country evidence," Review of Quantitative Finance and Accounting, Springer, vol. 57(1), pages 353-387, July.

  11. Nassim Nicholas Taleb & Raphaël Douady, 2014. "On the Super-Additivity and Estimation Biases of Quantile Contributions," Documents de travail du Centre d'Economie de la Sorbonne 14090, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

    Cited by:

    1. Carranza, Rafael & De Rosa, Mauricio & Flores, Ignacio, 2023. "Wealth Inequality in Latin America," IDB Publications (Working Papers) 12906, Inter-American Development Bank.
    2. Thomas Blanchet & Lucas Chancel & Amory Gethin, 2019. "How Unequal is Europe? Evidence from Distributional National Accounts, 1980-2017," Working Papers hal-02877000, HAL.
    3. Demetrio Guzzardi & Elisa Palagi & Andrea Roventini & Alessandro Santoro, 2022. "Reconstructing Income Inequality in Italy: New Evidence and Tax Policy Implications from Distributional National Accounts," SciencePo Working papers Main halshs-03693201, HAL.
    4. Thomas Blanchet & Juliette Fournier & Thomas Piketty, 2017. "Generalized Pareto Curves : Theory and Applications," PSE Working Papers halshs-02658851, HAL.
    5. Thomas Blanchet & Lucas Chancel & Amory Gethin, 2020. "Why Is Europe More Equal Than the United States?," World Inequality Lab Working Papers halshs-03022133, HAL.
    6. Thomas Blanchet & Ignacio Flores & Marc Morgan, 2018. "The Weight of the Rich: Improving Surveys Using Tax Data," PSE Working Papers hal-02878315, HAL.
    7. Maia, Adriano & Matsushita, Raul & Da Silva, Sergio, 2020. "Earnings distributions of scalable vs. non-scalable occupations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
    8. Andrea Fontanari & Nassim Nicholas Taleb & Pasquale Cirillo, 2017. "Gini estimation under infinite variance," Papers 1707.01370, arXiv.org, revised Dec 2017.
    9. Nassim Nicholas Taleb, 2015. "How to (Not) Estimate Gini Coefficients for Fat Tailed Variables," Papers 1510.04841, arXiv.org.
    10. Ignacio Flores, 2021. "The capital share and income inequality: Increasing gaps between micro and macro-data," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 19(4), pages 685-706, December.
    11. Fontanari, Andrea & Taleb, Nassim Nicholas & Cirillo, Pasquale, 2018. "Gini estimation under infinite variance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 256-269.
    12. Pablo Gutiérrez Cubillos, 2022. "Gini and undercoverage at the upper tail: a simple approximation," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 29(2), pages 443-471, April.

  12. Stéphane Crépey & Raphaël Douady, 2014. "The Whys of the LOIS: Credit Skew and Funding Spread Volatility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01151315, HAL.

    Cited by:

    1. St'ephane Cr'epey & R'emi Gerboud & Zorana Grbac & Nathalie Ngor, 2012. "Counterparty Risk and Funding: The Four Wings of the TVA," Papers 1210.5046, arXiv.org.

  13. Nassim Nicholas Taleb & Raphaël Douady, 2014. "Mathematical Definition, Mapping, and Detection of (Anti)Fragility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01151340, HAL.

    Cited by:

    1. Nassim N. Taleb, 2012. "How We Tend To Overestimate Powerlaw Tail Exponents," Papers 1210.1966, arXiv.org.
    2. Tran, Huy T. & Balchanos, Michael & Domerçant, Jean Charles & Mavris, Dimitri N., 2017. "A framework for the quantitative assessment of performance-based system resilience," Reliability Engineering and System Safety, Elsevier, vol. 158(C), pages 73-84.
    3. Raphaël Douady, 2019. "Managing the Downside of Active and Passive Strategies: Convexity and Fragilities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02488589, HAL.
    4. Bellè, Andrea & Zeng, Zhiguo & Duval, Carole & Sango, Marc & Barros, Anne, 2022. "Modeling and vulnerability analysis of interdependent railway and power networks: Application to British test systems," Reliability Engineering and System Safety, Elsevier, vol. 217(C).
    5. Samiul Hasan & Greg Foliente, 2015. "Modeling infrastructure system interdependencies and socioeconomic impacts of failure in extreme events: emerging R&D challenges," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 78(3), pages 2143-2168, September.
    6. Apanisile Temitope Samuel, 2024. "The Justification of Complex Systems Analysis in Better Informing Project Decisions: A Study of the us Surface Transportation Board," International Journal of Research and Scientific Innovation, International Journal of Research and Scientific Innovation (IJRSI), vol. 11(8), pages 263-280, August.
    7. Taleb, Nassim Nicholas, 2020. "On the statistical differences between binary forecasts and real-world payoffs," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1228-1240.
    8. Dar'io Alatorre & Carlos Gershenson & Jos'e L. Mateos, 2020. "Stocks and Cryptocurrencies: Anti-fragile or Robust?," Papers 2005.13033, arXiv.org, revised Jul 2022.
    9. Kourtit, Karima & Nijkamp, Peter & Banica, Alexandru, 2023. "An analysis of natural disasters’ effects – A global comparative study of ‘Blessing in Disguise’," Socio-Economic Planning Sciences, Elsevier, vol. 88(C).
    10. Evangelos Gkanatsas & Harold Krikke, 2020. "Towards a Pro-Silience Framework: A Literature Review on Quantitative Modelling of Resilient 3PL Supply Chain Network Designs," Sustainability, MDPI, vol. 12(10), pages 1-25, May.
    11. Ahmadreza Ghasemi & Mitra Alizadeh, 2017. "Evaluating organizational antifragility via fuzzy logic. The case of an Iranian company producing banknotes and security paper," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 27(2), pages 21-43.
    12. Harald de Bruijn & Andreas Größler & Nuno Videira, 2020. "Antifragility as a design criterion for modelling dynamic systems," Systems Research and Behavioral Science, Wiley Blackwell, vol. 37(1), pages 23-37, January.
    13. Nassim Nicholas Taleb & Rupert Read & Raphael Douady & Joseph Norman & Yaneer Bar-Yam, 2014. "The Precautionary Principle (with Application to the Genetic Modification of Organisms)," Papers 1410.5787, arXiv.org.
    14. Tan, Raymond R. & Aviso, Kathleen B. & Chiu, Anthony S.F. & Promentilla, Michael Angelo B. & Razon, Luis F. & Tseng, Ming-Lang & Yu, Krista Danielle S., 2017. "Towards “climate-proof” industrial networks," Resources, Conservation & Recycling, Elsevier, vol. 127(C), pages 244-245.
    15. Atif Ansar & Bent Flyvbjerg & Alexander Budzier & Daniel Lunn, 2016. "Big is Fragile: An Attempt at Theorizing Scale," Papers 1603.01416, arXiv.org, revised Jun 2017.
    16. Mahata, Ajit & Rai, Anish & Nurujjaman, Md. & Prakash, Om, 2021. "Modeling and analysis of the effect of COVID-19 on the stock price: V and L-shape recovery," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
    17. Giuseppe Montesi & Giovanni Papiro, 2018. "Bank Stress Testing: A Stochastic Simulation Framework to Assess Banks’ Financial Fragility †," Risks, MDPI, vol. 6(3), pages 1-54, August.
    18. Lalisa A. Duguma & Meine van Noordwijk & Peter A. Minang & Kennedy Muthee, 2021. "COVID-19 Pandemic and Agroecosystem Resilience: Early Insights for Building Better Futures," Sustainability, MDPI, vol. 13(3), pages 1-22, January.
    19. Meine van Noordwijk & Erika Speelman & Gert Jan Hofstede & Ai Farida & Ali Yansyah Abdurrahim & Andrew Miccolis & Arief Lukman Hakim & Charles Nduhiu Wamucii & Elisabeth Lagneaux & Federico Andreotti , 2020. "Sustainable Agroforestry Landscape Management: Changing the Game," Land, MDPI, vol. 9(8), pages 1-38, July.
    20. Kalantari, Somayeh & Nazemi, Eslam & Masoumi, Behrooz, 2021. "Entropy-based goal-oriented emergence management in self-organizing systems through feedback control loop: A case study in NASA ANTS mission," Reliability Engineering and System Safety, Elsevier, vol. 210(C).
    21. Yuri Biondi & Pierpaolo Giannoccolo, 2015. "Share price formation, market exuberance and financial stability under alternative accounting regimes," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(2), pages 333-362, October.

  14. Nassim Nicholas Taleb & Rupert Read & Raphael Douady & Joseph Norman & Yaneer Bar-Yam, 2014. "The Precautionary Principle (with Application to the Genetic Modification of Organisms)," Papers 1410.5787, arXiv.org.

    Cited by:

    1. Tina L. Saitone & Richard J. Sexton, 2017. "Agri-food supply chain: evolution and performance with conflicting consumer and societal demands," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 44(4), pages 634-657.
    2. Carla Susana A. Assuad, 2020. "Understanding Rationality in Sustainable Development Decision-Making: Unfolding the Motivations for Action," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 11(3), pages 1086-1119, September.
    3. Elettra Agliardi & Thomas Alexopoulos & Christian Cech, 2019. "On the Relationship Between GHGs and Global Temperature Anomalies: Multi-level Rolling Analysis and Copula Calibration," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 72(1), pages 109-133, January.
    4. Thomas A. Norton & Oluremi B. Ayoko & Neal M. Ashkanasy, 2021. "A Socio-Technical Perspective on the Application of Green Ergonomics to Open-Plan Offices: A Review of the Literature and Recommendations for Future Research," Sustainability, MDPI, vol. 13(15), pages 1-22, July.

  15. Raphaël Douady, 2014. "Yield Curve Smoothing and Residual Variance of Fixed Income Positions," Documents de travail du Centre d'Economie de la Sorbonne 14091, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

    Cited by:

    1. Sven Karbach, 2024. "Heat modulated affine stochastic volatility models for forward curve dynamics," Papers 2409.13070, arXiv.org.
    2. Raphaël Douady & Zeyu Cao, 2020. "Sabr Type Stochastic Volatility Operator In Hilbert Space," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03018478, HAL.
    3. Rene Carmona & Michael Tehranchi, 2004. "A Characterization of Hedging Portfolios for Interest Rate Contingent Claims," Papers math/0407119, arXiv.org.
    4. J. -P. Bouchaud & N. Sagna & R. Cont & N. El-Karoui & M. Potters, 1997. "Phenomenology of the Interest Rate Curve," Papers cond-mat/9712164, arXiv.org.
    5. Rama Cont, 2005. "Modeling Term Structure Dynamics: An Infinite Dimensional Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 357-380.
    6. Jean-Philippe BOUCHAUD & Rama CONT & Nicole EL KAROUI & Marc POTTERS & Nicolas SAGNA, 1997. "Phenomenology of the interest curve," Finance 9712009, University Library of Munich, Germany.

  16. Stéphane Crépey & Raphaël Douady, 2013. "Lois: credit and liquidity," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01477998, HAL.

    Cited by:

    1. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2019. "Multiple Yield Curve Modelling with CBI Processes," Working Papers 19/2019, University of Verona, Department of Economics.
    2. Gallitschke, Janek & Seifried (née Müller), Stefanie & Seifried, Frank Thomas, 2017. "Interbank interest rates: Funding liquidity risk and XIBOR basis spreads," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 142-152.
    3. Zorana Grbac & Laura Meneghello & Wolfgang J. Runggaldier, 2015. "Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model," Papers 1512.03259, arXiv.org, revised Jun 2016.
    4. Alfeus, Mesias & Grasselli, Martino & Schlögl, Erik, 2020. "A consistent stochastic model of the term structure of interest rates for multiple tenors," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
    5. Mesias Alfeus, 2019. "Stochastic Modelling of New Phenomena in Financial Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2019, January-A.

  17. Youngna Choi & Raphaël Douady, 2013. "Financial Crisis and Contagion: A Dynamical Systems Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00666752, HAL.

    Cited by:

    1. Francesca Biagini & Andrea Mazzon & Thilo Meyer-Brandis, 2016. "Liquidity induced asset bubbles via flows of ELMMs," Papers 1611.01440, arXiv.org, revised Nov 2016.
    2. Castellacci, Giuseppe & Choi, Youngna, 2015. "Modeling contagion in the Eurozone crisis via dynamical systems," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 400-410.
    3. Michael I.C. Nwogugu, 2019. "Complex Systems, Multi-Sided Incentives and Risk Perception in Companies," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-137-44704-3, December.
    4. Youngna Choi, 2019. "Borrowing Capacity, Financial Instability, And Contagion," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-25, February.
    5. Youngna Choi, 2018. "Masked Instability: Within-Sector Financial Risk in the Presence of Wealth Inequality," Risks, MDPI, vol. 6(3), pages 1-15, June.

  18. Stéphane Crépey & Raphaël Douady, 2013. "The Whys of the LOIS: Credit Skew and Funding Rates Volatility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01477891, HAL.

    Cited by:

    1. Stéphane Crépey & Rémi Gerboud & Zorana Grbac & Nathalie Ngor, 2013. "Counterparty Risk And Funding: The Four Wings Of The Tva," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(02), pages 1-31.

  19. Youngna Choi & Raphaël Douady, 2012. "Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00666245, HAL.

    Cited by:

    1. Mazzarisi, Piero & Lillo, Fabrizio & Marmi, Stefano, 2019. "When panic makes you blind: A chaotic route to systemic risk," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 176-199.
    2. Marian Gidea & Yuri Katz, 2017. "Topological Data Analysis of Financial Time Series: Landscapes of Crashes," Papers 1703.04385, arXiv.org, revised Apr 2017.
    3. Olivier de Weck & Daniel Krob & Li Lefei & Pao Chuen Lui & Antoine Rauzy & Xinguo Zhang, 2020. "Handling the COVID‐19 crisis: Toward an agile model‐based systems approach," Systems Engineering, John Wiley & Sons, vol. 23(5), pages 656-670, September.
    4. Natasa Golo & Guy Kelman & David S. Bree & Leanne Usher & Marco Lamieri & Sorin Solomon, 2015. "Many-to-one contagion of economic growth rate across trade credit network of firms," Papers 1506.01734, arXiv.org.
    5. Piero Mazzarisi & Fabrizio Lillo & Stefano Marmi, 2018. "When panic makes you blind: a chaotic route to systemic risk," Papers 1805.00785, arXiv.org.
    6. Mainik Georg & Schaanning Eric, 2014. "On dependence consistency of CoVaRand some other systemic risk measures," Statistics & Risk Modeling, De Gruyter, vol. 31(1), pages 49-77, March.
    7. Castellacci, Giuseppe & Choi, Youngna, 2015. "Modeling contagion in the Eurozone crisis via dynamical systems," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 400-410.
    8. Ekaterina Panttser & Weidong Tian, 2013. "A Welfare Analysis of Capital Insurance," Risks, MDPI, vol. 1(2), pages 1-24, September.
    9. Tang, Qihe & Tong, Zhiwei & Yang, Yang, 2021. "Large portfolio losses in a turbulent market," European Journal of Operational Research, Elsevier, vol. 292(2), pages 755-769.
    10. Youngna Choi, 2019. "Borrowing Capacity, Financial Instability, And Contagion," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-25, February.
    11. Youngna Choi, 2018. "Masked Instability: Within-Sector Financial Risk in the Presence of Wealth Inequality," Risks, MDPI, vol. 6(3), pages 1-15, June.
    12. Fabrizio Lillo & Giulia Livieri & Stefano Marmi & Anton Solomko & Sandro Vaienti, 2021. "Analysis of bank leverage via dynamical systems and deep neural networks," Papers 2104.04960, arXiv.org.

  20. Cyril Coste & Raphaël Douady & Ilija I. Zovko, 2011. "The Stress VaR: A New Risk Concept for Extreme Risk and Fund Allocation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00666234, HAL.

    Cited by:

    1. Raphaël Douady, 2019. "Managing the Downside of Active and Passive Strategies: Convexity and Fragilities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02488589, HAL.
    2. Rachida Hennani & Michel Terraza, 2015. "Contributions of a noisy chaotic model to the stressed Value-at-Risk," Economics Bulletin, AccessEcon, vol. 35(2), pages 1262-1273.
    3. Siqiao Zhao & Zhikang Dong & Zeyu Cao & Raphael Douady, 2024. "Hedge Fund Portfolio Construction Using PolyModel Theory and iTransformer," Papers 2408.03320, arXiv.org, revised Aug 2024.
    4. Xingxing Ye & Raphael Douady, 2018. "Systemic Risk Indicators Based on Nonlinear PolyModel," JRFM, MDPI, vol. 12(1), pages 1-24, December.
    5. Xingxing Ye & Raphaël Douady, 2019. "Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02488592, HAL.

  21. Cyril Coste & Raphael Douady & Ilija I. Zovko, 2009. "The StressVaR: A New Risk Concept for Superior Fund Allocation," Papers 0911.4030, arXiv.org.

    Cited by:

    1. Siqiao Zhao & Zhikang Dong & Zeyu Cao & Raphael Douady, 2024. "Hedge Fund Portfolio Construction Using PolyModel Theory and iTransformer," Papers 2408.03320, arXiv.org, revised Aug 2024.

  22. Claude Bardos & Raphaël Douady & Andrei Fursikov, 2002. "Static Hedging Of Barrier Options With A Smile: An Inverse Problem," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01477102, HAL.

    Cited by:

    1. Claude Bardos & Raphaël Douady & Andrei Fursikov, 2002. "Static Hedging Of Barrier Options With A Smile: An Inverse Problem," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01477102, HAL.
    2. Tim Leung & Matthew Lorig, 2015. "Optimal Static Quadratic Hedging," Papers 1506.02074, arXiv.org, revised Nov 2015.
    3. Priyanka Vashisht, 2012. "Ratio Spread with Calls- Creating a Zero Downside Risk Strategy in Stock Market," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 2(2), pages 48-60, April.

  23. Raphaël Douady & A.N. Shiryaev & Marc Yor, 2000. "On Probability Characteristics of "Downfalls" in a Standard Brownian Motion," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01477104, HAL.

    Cited by:

    1. Emiel Lemahieu & Kris Boudt & Maarten Wyns, 2023. "Generating drawdown-realistic financial price paths using path signatures," Papers 2309.04507, arXiv.org.
    2. Muneer Shaik & S. Maheswaran, 2019. "Robust Volatility Estimation with and Without the Drift Parameter," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(1), pages 57-91, March.
    3. David Landriault & Bin Li & Hongzhong Zhang, 2017. "A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes," Papers 1702.07786, arXiv.org.
    4. Mijatović, Aleksandar & Pistorius, Martijn R., 2012. "On the drawdown of completely asymmetric Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 122(11), pages 3812-3836.
    5. Hongzhong Zhang, 2018. "Stochastic Drawdowns," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10078, August.
    6. Ola Mahmoud, 2015. "The Temporal Dimension of Risk," Papers 1501.01573, arXiv.org, revised Jun 2016.
    7. Leonie Violetta Brinker, 2021. "Minimal Expected Time in Drawdown through Investment for an Insurance Diffusion Model," Risks, MDPI, vol. 9(1), pages 1-18, January.
    8. Pavel V. Gapeev & Neofytos Rodosthenous & V. L. Raju Chinthalapati, 2019. "On the Laplace Transforms of the First Hitting Times for Drawdowns and Drawups of Diffusion-Type Processes," Risks, MDPI, vol. 7(3), pages 1-15, August.
    9. Kyo Yamamoto & Seisho Sato & Akihiko Takahashi, 2009. "Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment," CIRJE F-Series CIRJE-F-625, CIRJE, Faculty of Economics, University of Tokyo.
    10. Kyo Yamamoto & Seisho Sato & Akihiko Takahashi, 2008. "Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment ( Revised in May 2009; Electronic version of an article will be published in "International Journal," CARF F-Series CARF-F-138, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    11. David Landriault & Bin Li & Hongzhong Zhang, 2014. "On the Frequency of Drawdowns for Brownian Motion Processes," Papers 1403.1183, arXiv.org.
    12. Zhenyu Cui & Duy Nguyen, 2018. "Magnitude and Speed of Consecutive Market Crashes in a Diffusion Model," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 117-135, March.
    13. Gapeev, Pavel V. & Rodosthenous, Neofytos & Chinthalapati, V.L Raju, 2019. "On the Laplace transforms of the first hitting times for drawdowns and drawups of diffusion-type processes," LSE Research Online Documents on Economics 101272, London School of Economics and Political Science, LSE Library.
    14. Zhang, Hongzhong & Leung, Tim & Hadjiliadis, Olympia, 2013. "Stochastic modeling and fair valuation of drawdown insurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 840-850.
    15. Hongzhong Zhang & Olympia Hadjiliadis, 2012. "Drawdowns and the Speed of Market Crash," Methodology and Computing in Applied Probability, Springer, vol. 14(3), pages 739-752, September.

Articles

  1. Young Shin Kim & Kum-Hwan Roh & Raphael Douady, 2022. "Tempered stable processes with time-varying exponential tails," Quantitative Finance, Taylor & Francis Journals, vol. 22(3), pages 541-561, March.
    See citations under working paper version above.
  2. Chase, Ivan D. & Douady, Raphael & Padilla, Dianna K., 2020. "A comparison of wealth inequality in humans and non-humans," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
    See citations under working paper version above.
  3. Raphael Douady & Antoine Kornprobst, 2018. "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., vol. 21(03), pages 1-22, May.
    See citations under working paper version above.
  4. Xingxing Ye & Raphael Douady, 2018. "Systemic Risk Indicators Based on Nonlinear PolyModel," JRFM, MDPI, vol. 12(1), pages 1-24, December.

    Cited by:

    1. Raphaël Douady, 2019. "Managing the Downside of Active and Passive Strategies: Convexity and Fragilities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02488589, HAL.
    2. Raphaël Douady & Yao Kuang, 2022. "Crisis risk prediction with concavity from Polymodel," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03512676, HAL.
    3. Yao Kuang & Raphael Douady, 2022. "Has the Market Started to Collapse or Will It Resist?," Stats, MDPI, vol. 5(2), pages 1-7, April.
    4. Buckmann, Marcus & Gallego Marquez, Paula & Gimpelewicz, Mariana & Kapadia, Sujit & Rismanchi, Katie, 2021. "The more the merrier? Evidence from the global financial crisis on the value of multiple requirements in bank regulation," Bank of England working papers 905, Bank of England.

  5. Taleb, Nassim Nicholas & Douady, Raphael, 2015. "On the super-additivity and estimation biases of quantile contributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 252-260.
    See citations under working paper version above.
  6. Hoque, Hafiz & Andriosopoulos, Dimitris & Andriosopoulos, Kostas & Douady, Raphael, 2015. "Bank regulation, risk and return: Evidence from the credit and sovereign debt crises," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 455-474.
    See citations under working paper version above.
  7. N. N. Taleb & R. Douady, 2013. "Mathematical definition, mapping, and detection of (anti)fragility," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1677-1689, November.
    See citations under working paper version above.
  8. Youngna Choi & Raphael Douady, 2012. "Financial crisis dynamics: attempt to define a market instability indicator," Quantitative Finance, Taylor & Francis Journals, vol. 12(9), pages 1351-1365, August.
    See citations under working paper version above.
  9. Alexander Cherny & Raphael Douady & Stanislav Molchanov, 2010. "On measuring nonlinear risk with scarce observations," Finance and Stochastics, Springer, vol. 14(3), pages 375-395, September.

    Cited by:

    1. Siqiao Zhao & Zhikang Dong & Zeyu Cao & Raphael Douady, 2024. "Hedge Fund Portfolio Construction Using PolyModel Theory and iTransformer," Papers 2408.03320, arXiv.org, revised Aug 2024.
    2. Xingxing Ye & Raphael Douady, 2018. "Systemic Risk Indicators Based on Nonlinear PolyModel," JRFM, MDPI, vol. 12(1), pages 1-24, December.
    3. Rosen, Dan & Saunders, David, 2010. "Risk factor contributions in portfolio credit risk models," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 336-349, February.
    4. Xingxing Ye & Raphaël Douady, 2019. "Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02488592, HAL.

  10. Raphaël Douady, 1999. "Closed Form Formulas For Exotic Options And Their Lifetime Distribution," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 2(01), pages 17-42.

    Cited by:

    1. Claude Bardos & Raphaël Douady & Andrei Fursikov, 2002. "Static Hedging Of Barrier Options With A Smile: An Inverse Problem," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01477102, HAL.
    2. Dell'Era Mario, M.D., 2008. "Pricing of Double Barrier Options by Spectral Theory," MPRA Paper 17502, University Library of Munich, Germany.
    3. Sbuelz, A., 2000. "Hedging Double Barriers with Singles," Other publications TiSEM e810e3ab-1936-457e-a3ae-7, Tilburg University, School of Economics and Management.
    4. Franck Moraux, 2009. "On perpetual American strangles," Post-Print halshs-00393811, HAL.
    5. Dell'Era Mario, M.D., 2008. "Pricing of the European Options by Spectral Theory," MPRA Paper 17429, University Library of Munich, Germany.
    6. Zhang, Kun & Liu, Jing & Wang, Erkang & Wang, Jin, 2017. "Quantifying risks with exact analytical solutions of derivative pricing distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 757-766.
    7. Barrieu, Pauline & Bellamy, Nadine & Sinclair-Desgagné, Bernard, 2017. "Assessing contaminated land cleanup costs and strategies," LSE Research Online Documents on Economics 68198, London School of Economics and Political Science, LSE Library.
    8. Sbuelz, A., 2000. "Hedging Double Barriers with Singles," Discussion Paper 2000-112, Tilburg University, Center for Economic Research.
    9. Vaibhav Srivastava & Samuel F. Feng & Jonathan D. Cohen & Naomi Ehrich Leonard & Amitai Shenhav, 2015. "A martingale analysis of first passage times of time-dependent Wiener diffusion models," Papers 1508.03373, arXiv.org, revised Sep 2016.

Chapters

  1. Raphaël Douady, 2002. "Bermudan Option Pricing With Monte-Carlo Methods," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), chapter 14, pages 314-328, World Scientific Publishing Co. Pte. Ltd..

    Cited by:

    1. Schmeiser, H. & Wagner, J., 2011. "A joint valuation of premium payment and surrender options in participating life insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 580-596.
    2. Alexander Kling & Jochen Russ & Hato Schmeiser, 2006. "Analysis of embedded options in individual pension schemes in Germany," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 31(1), pages 43-60, July.

  2. Raphael Douady, 1999. "Closed Form Formulas For Exotic Options And Their Lifetime Distribution," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, chapter 6, pages 177-202, World Scientific Publishing Co. Pte. Ltd..
    See citations under working paper version above.

Books

  1. Raphaël Douady & Clément Goulet & Pierre-Charles Pradier (ed.), 2017. "Financial Regulation in the EU," Springer Books, Springer, number 978-3-319-44287-7, January.

    Cited by:

    1. Eric Lamarque, 2018. "The Governance of Cooperative Banks: Main features and new challenges," Post-Print hal-02536224, HAL.
    2. John Levesque & Cédric Dalmasso & Sophie Hooge, 2022. "Understanding the Impacts of Digital Transformation in the Service Industry: the Mutation of the Back-Office Function in the Insurance Sector," Post-Print hal-04068150, HAL.
    3. Sholoiko, Antonina, 2017. "The Development Of European Insurance Market Infrastructure," EUREKA: Social and Humanities, Scientific Route OÜ, issue 6, pages 3-7.
    4. Csaba, László, 2018. "Tőkepiaci unió vagy szabadságharc? [Capital-market union or a fight for freedom?]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(5), pages 484-498.

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 24 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (19) 2009-11-27 2012-08-23 2015-02-05 2015-02-11 2015-06-05 2015-06-05 2015-06-05 2015-06-20 2016-10-16 2016-10-16 2020-03-30 2020-03-30 2020-04-06 2020-04-06 2020-07-27 2020-12-21 2020-12-21 2021-01-11 2021-01-11. Author is listed
  2. NEP-ECM: Econometrics (4) 2014-05-09 2015-06-05 2015-07-11 2020-07-27
  3. NEP-ORE: Operations Research (4) 2015-06-20 2020-07-27 2020-12-21 2021-01-11
  4. NEP-CMP: Computational Economics (2) 2015-06-20 2018-08-20
  5. NEP-BAN: Banking (1) 2020-12-21
  6. NEP-ETS: Econometric Time Series (1) 2020-12-21
  7. NEP-EVO: Evolutionary Economics (1) 2020-12-21
  8. NEP-FMK: Financial Markets (1) 2015-06-05
  9. NEP-HME: Heterodox Microeconomics (1) 2021-01-25
  10. NEP-MST: Market Microstructure (1) 2015-06-05
  11. NEP-NET: Network Economics (1) 2020-03-30

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