Nombre de documents

15

Raphael Douady



Article dans une revue7 documents

  • Hafiz Hoque, Dimitris Andriosopoulos, Kostas Andriosopoulos, Raphaël Douady. Bank Regulation, Risk and Return: Evidence from the Credit and Sovereign Debt Crises. Journal of Banking and Finance, Elsevier, 2015, 50, pp.455-474. <hal-01161670>
  • N. N. Taleb, Raphaël Douady. Mathematical Definition, Mapping, and Detection of (Anti)fragility. Quantitative Finance, Taylor & Francis (Routledge), 2013, 13 (11), pp.1677-1689. <10.1080/14697688.2013.800219>. <hal-01052645>
  • Stéphane Crépey, Raphaël Douady. The Whys of the LOIS: Credit Skew and Funding Rates Volatility. Bloomberg Brief / Risk, Bloomberg Laboratory, 2013, pp.6-7. <https://math.maths.univ-evry.fr/crepey/papers/risklab_stephane_crepey-BLOOMBERG.pdf>. <hal-01477891>
  • Stéphane Crépey, Raphaël Douady. The spread between Libor and overnight index swap rates used to be negligible – until the crisis. Its behaviour since can be explained theoretically and empirically by a model driven by typical lenders’ liquidity and typical borrowers’ credit risk. . Risk Magazine, 2013. <hal-01477929>
  • Youngna Choi, Raphaël Douady. Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator. Quantitative Finance, Taylor & Francis (Routledge), 2012, 12 (9), pp.1351-1365. <10.1080/14697688.2011.627880>. <hal-00666245>
  • Cyril Coste, Raphaël Douady, Ilija I. Zovko. The Stress VaR: A New Risk Concept for Extreme Risk and Fund Allocation. Journal of Alternative Investments, 2011, 13 (3), pp.10-23. <10.3905/jai.2011.13.3.010>. <hal-00666234>
  • Raphaël Douady, A.N. Shiryaev, Marc Yor. On Probability Characteristics of "Downfalls" in a Standard Brownian Motion. Theory of Probability and Its Applications c/c of Teoriia Veroiatnostei i Ee Primenenie, Society for Industrial and Applied Mathematics, 2000, 44 (1), pp.29-38. <http://epubs.siam.org/doi/abs/10.1137/S0040585X97977306>. <10.1137/S0040585X97977306>. <hal-01477104>

Chapitre d'ouvrage2 documents

Autre publication6 documents

  • Antoine Kornprobst, Raphaël Douady. A Pratical Approach to Financial Crisis Indicators Based on Random Matrices. Documents de travail du Centre d'Economie de la Sorbonne 2015.49 - ISSN : 1955-611X. 2015. <halshs-01169307>
  • Nassim Nicholas Taleb, Raphaël Douady. Mathematical Definition, Mapping, and Detection of (Anti)Fragility. Documents de travail du Centre d'Economie de la Sorbonne 2014.93 - ISSN : 1955-611X. 2014. <hal-01151340>
  • Raphaël Douady. Yield Curve Smoothing and Residual Variance of Fixed Income Positions. Documents de travail du Centre d'Economie de la Sorbonne 2014.91 - ISSN : 1955-611X. 2014. <hal-01151276>
  • Stéphane Crépey, Raphaël Douady. The Whys of the LOIS: Credit Skew and Funding Spread Volatility. Documents de travail du Centre d'Economie de la Sorbonne 2014.92 - ISSN : 1955-611X. 2014. <hal-01151315>
  • Olivier Le Marois, Julia Mikhalevsky, Raphaël Douady. Extreme Risk, excess return and leverage: the LP formula. Documents de travail du Centre d'Economie de la Sorbonne 2014.94 - ISSN : 1955-611X. 2014. <hal-01151376>
  • Nassim Nicholas Taleb, Raphaël Douady. On the Super-Additivity and Estimation Biases of Quantile Contributions. Documents de travail du Centre d'Economie de la Sorbonne 2014.90 - ISSN : 1955-611X. 2014. <hal-01149834>