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Number of documents

34

Raphael Douady



Journal articles15 documents

  • Raphaël Douady, Yao Kuang. Crisis risk prediction with concavity from Polymodel. Journal of Dynamics and Games, AIMS, 2022. ⟨hal-03512676⟩
  • Raphaël Douady, Young Shin Kim, Kum-Hwan Roh. Tempered stable processes with time-varying exponential tails. Quantitative Finance, Taylor & Francis (Routledge), 2021, pp.1-21. ⟨10.1080/14697688.2021.1962958⟩. ⟨hal-03512709⟩
  • Ivan Chase, Raphaël Douady, Dianna Padilla. A comparison of wealth inequality in humans and non-humans. Physica A: Statistical Mechanics and its Applications, Elsevier, 2020, 538, pp.122962. ⟨10.1016/j.physa.2019.122962⟩. ⟨hal-03018472⟩
  • Xingxing Ye, Raphaël Douady. Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel. Journal of Risk and Financial Management, MDPI, 2019, 12 (1), pp.2. ⟨10.3390/jrfm12010002⟩. ⟨hal-02488592⟩
  • Raphaël Douady. Managing the Downside of Active and Passive Strategies: Convexity and Fragilities. Journal of portfolio management, Institutional Investor Inc, 2019, 46 (1), pp.25-37. ⟨10.3905/jpm.2019.1.112⟩. ⟨hal-02488589⟩
  • 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⟩
  • Nassim Nicholas Taleb, Raphaël Douady. On the Super-Additivity and Estimation Biases of Quantile Contributions. Physica A: Statistical Mechanics and its Applications, Elsevier, 2015, 429, pp.252-260. ⟨10.1016/j.physa.2015.02.038⟩. ⟨hal-02488594⟩
  • 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. ⟨hal-01477891⟩
  • Stéphane Crépey, Raphaël Douady. Lois: credit and liquidity. Risk Magazine, 2013. ⟨hal-01477998⟩
  • 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⟩
  • Cyril Coste, Raphaël Douady, Ilija Zovko. The StressVaR: A New Risk Concept for Extreme Risk and Fund Allocation. The Journal of Alternative Investments, 2010, 13 (3), pp.10-23. ⟨10.3905/jai.2011.13.3.010⟩. ⟨hal-02488591⟩
  • Claude Bardos, Raphaël Douady, Andrei Fursikov. STATIC HEDGING OF BARRIER OPTIONS WITH A SMILE: AN INVERSE PROBLEM. ESAIM: Control, Optimisation and Calculus of Variations, EDP Sciences, 2002, 8, pp.127-142. ⟨10.1051/cocv:2002040⟩. ⟨hal-01477102⟩
  • 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. ⟨10.1137/S0040585X97977306⟩. ⟨hal-01477104⟩

Book sections6 documents

  • Angela Armakola, Raphaël Douady, Jean-Paul Laurent. Repurchase Agreements and the European Sovereign Debt Crises: The Role of European Clearinghouses: Chapter 18. Sabri Boubaker; Duc Khuong Nguyen. Handbook of Global Financial Markets. Transformations, Dependence, and Risk Spillovers, World Scientific, pp.467-492, 2019, 978-981-3236-64-6. ⟨10.1142/9789813236653_0018⟩. ⟨hal-03265036⟩
  • Raphaël Douady. Capital Adequacy, Pro-cyclicality and Systemic Risk. Alain Bensoussan; Dominique Guégan; Charles S. Tapiero. Future Perspectives in Risk Models and Finance, 211, Springer International Publishing, pp.137-148, 2015, International Series in Operations Research & Management Science, 978-3-319-07524-2. ⟨10.1007/978-3-319-07524-2⟩. ⟨hal-01478320⟩
  • Raphaël Douady. Modèles mathématiques et crise financière. Daniel Justens. Mathématiques : de l'esthétique à l'éthique. Une dimension insoupçonnée, 51, Editions Pôle Paris, pp.134-139, 2014, Bibliothèque Tangente, 2-8488-4168-0. ⟨hal-01479099⟩
  • Raphaël Douady. A Non-cyclical Capital Adequacy Rule and the Aversion of Systemic Risk. Christian de Boissieu; François-Gilles Le Theule; Paolo Bailo. Comment la régulation financière peut-elle sortir l’Europe de la crise ?, ENA éditions, 2014, Professionnels De L'europe, 9782111385320. ⟨hal-01478302⟩
  • Youngna Choi, Raphaël Douady. Financial Crisis and Contagion: A Dynamical Systems Approach. Jean-Pierre Fouque, Joseph A. Langsam. Handbook on systemic risk, Cambridge University Press, pp.453-480, 2013, 9781107023437. ⟨10.1017/CBO9781139151184.024⟩. ⟨hal-00666752⟩
  • Raphaël Douady. Yield Curve Smoothing and Residual Variance of Fixed Income Positions. Y. Kabanov, M. Rutkowski, T. Zariphopoulou. Inspired by Finance. The Musiela Festschrift, Springer, pp.221-256, 2013, 978-3-319-02069-3. ⟨10.1007/978-3-319-02069-3_10⟩. ⟨hal-00666751⟩

Other publications6 documents

  • Antoine Kornprobst, Raphaël Douady. A Pratical Approach to Financial Crisis Indicators Based on Random Matrices. 2015. ⟨halshs-01169307⟩
  • Olivier Le Marois, Julia Mikhalevsky, Raphaël Douady. Extreme Risk, excess return and leverage: the LP formula. 2014. ⟨hal-01151376⟩
  • Nassim Nicholas Taleb, Raphaël Douady. On the Super-Additivity and Estimation Biases of Quantile Contributions. 2014. ⟨hal-01149834⟩
  • Stéphane Crépey, Raphaël Douady. The Whys of the LOIS: Credit Skew and Funding Spread Volatility. 2014. ⟨hal-01151315⟩
  • Raphaël Douady. Yield Curve Smoothing and Residual Variance of Fixed Income Positions. 2014. ⟨hal-01151276⟩
  • Nassim Nicholas Taleb, Raphaël Douady. Mathematical Definition, Mapping, and Detection of (Anti)Fragility. 2014. ⟨hal-01151340⟩

Preprints, Working Papers, ...7 documents

  • Angela Armakola, Raphaël Douady, Jean-Paul Laurent, Francesco Molteni. Repurchase agreements and systemic risk in the European sovereign debt crises: the role of European clearing houses. 2020. ⟨hal-01479252⟩
  • Young Shin Kim, Kum-Hwan Roh, Raphaël Douady. Tempered Stable Processes with Time Varying Exponential Tails. 2020. ⟨hal-03018495⟩
  • Raphaël Douady, Yao Kuang. Crisis Risk Prediction with Concavity from Polymodel. 2020. ⟨hal-03018481⟩
  • Raphaël Douady, Zeyu Cao. SABR TYPE STOCHASTIC VOLATILITY OPERATOR IN HILBERT SPACE. 2020. ⟨hal-03018478⟩
  • Raphaël Douady, Shohruh Miryusupov. Hamiltonian Flow Simulation of Rare Events. 2017. ⟨hal-01581894⟩
  • Raphaël Douady, Shohruh Miryusupov. Optimal Transport Filtering with Particle Reweighing in Finance. 2017. ⟨hal-01581903⟩
  • Nassim Nicholas Taleb, Rupert Read, Raphaël Douady, Joseph Norman, Yaneer Bar-Yam. The Precautionary Principle (with Application to the Genetic Modification of Organisms). 2014. ⟨hal-01479405⟩