Richard Sowers

University of Illinois at Urbana-Champaign - Department of Mathematics

Professor

1409 W. Green St.

Urbana, IL 61801

United States

http://www.math.uiuc.edu/~r-sowers/

SCHOLARLY PAPERS

13

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CITATIONS
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18

Scholarly Papers (13)

1.

A Multiscale Model of High-Frequency Trading

Algorithmic Finance (2013), 2:1, 59-98
Number of pages: 41 Posted: 26 Apr 2012
Richard Sowers, Andrei A. Kirilenko and Xiangqian Meng
University of Illinois at Urbana-Champaign - Department of Mathematics, Imperial College London - Centre for Global Finance and Technology and University of Illinois at Urbana-Champaign
Downloads 878 (17,212)
Citation 1

Abstract:

2.

The Structure of Central Counterparty Clearing Networks and Network Stability

Number of pages: 17 Posted: 22 May 2012
Rui Song, Richard Sowers and Jonathan Jones
University of Illinois at Urbana-Champaign - College of Liberal Arts and Sciences, University of Illinois at Urbana-Champaign - Department of Mathematics and Office of the Comptroller of the Currency
Downloads 167 (134,666)

Abstract:

central counterparty, large deviations theory, clearing, systemic risk, network analysis

3.

Losses in Investment-Grade Tranches of Synthetic CDO's: A Large Deviations Analysis

Number of pages: 12 Posted: 27 Mar 2009 Last Revised: 23 Apr 2009
Richard Sowers
University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 150 (161,346)
Citation 1

Abstract:

rare events, synthetic collateralized debt obligations, large deviations

4.
Downloads 110 (211,574)
Citation 4

Large Portfolio Asymptotics for Loss from Default

Mathematical Finance, Forthcoming
Number of pages: 29 Posted: 06 Sep 2011 Last Revised: 18 Oct 2013
Stanford University - Management Science & Engineering, Brown University - Division of Applied Mathematics, University of Illinois at Urbana-Champaign - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 110 (212,601)
Citation 4

Abstract:

law of large numbers, loss distribution, interacting point processes, portfolio credit risk

Large Portfolio Asymptotics for Loss from Default

Mathematical Finance, Vol. 25, Issue 1, pp. 77-114, 2015
Number of pages: 38 Posted: 17 Jan 2015
Kay Giesecke, Richard Sowers and Justin Sirignano
Stanford University - Management Science & Engineering, University of Illinois at Urbana-Champaign - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 0
Citation 4
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Abstract:

law of large numbers, interacting point process, credit risk

5.

Dynamics of Bankrupt Stocks

Number of pages: 21 Posted: 22 Apr 2012
Richard Sowers, Xiao Li and Mike Lipkin
University of Illinois at Urbana-Champaign - Department of Mathematics, affiliation not provided to SSRN and Columbia University
Downloads 104 (188,768)
Citation 1

Abstract:

bubbles, hard-to-borrow, put-call parity

6.

Default Clustering in Large Portfolios: Typical Events

Annals of Applied Probability, Forthcoming
Number of pages: 40 Posted: 09 Jan 2011 Last Revised: 29 Apr 2012
Stanford University - Management Science & Engineering, Brown University - Division of Applied Mathematics and University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 86 (212,898)
Citation 5

Abstract:

Large Portfolio, Self-Exciting Defaults, Mean-Field, law of large numbers

7.

Large Correlation Structures in Pools of Defaults: A Large Deviations Analysis

Number of pages: 19 Posted: 17 Jun 2009 Last Revised: 22 Jun 2009
Richard Sowers
University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 71 (273,325)
Citation 1

Abstract:

correlation, structured finance, large deviations

8.

On Latency and Volatility

Number of pages: 20 Posted: 21 Jun 2015
Andrei A. Kirilenko and Richard Sowers
Imperial College London - Centre for Global Finance and Technology and University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 67 (163,217)

Abstract:

9.

Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool

Number of pages: 24 Posted: 10 Apr 2009 Last Revised: 22 Jun 2009
Richard Sowers
University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 35 (379,497)
Citation 3

Abstract:

synthetic CDO's, large deviations, investment-grade tranches

10.

Exact Pricing Asymptotics for Investment-Grade Tranches of Synthetic CDO's - Part ll: A Large Heterogeneous Pool

Number of pages: 46 Posted: 24 Apr 2009
Richard Sowers
University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 32 (379,497)
Citation 2

Abstract:

large deviations, synthetic CDO's

11.

Recovery Rates in Investment-Grade Pools of Credit Assets: A Large Deviations Analysis

Number of pages: 27 Posted: 09 Jun 2010
Konstantinos Spiliopoulos and Richard Sowers
Brown University - Division of Applied Mathematics and University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 30 (383,236)

Abstract:

Recovery rates, large deviations

12.

Default Clustering in Large Pools: Large Deviations

Number of pages: 25 Posted: 04 Nov 2013 Last Revised: 24 Sep 2014
Konstantinos Spiliopoulos and Richard Sowers
Boston University and University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 21 (407,591)

Abstract:

13.

Measuring the Unmeasurable: An Application of Uncertainty Quantification to Financial Portfolios

Office of Financial Research Working Paper No. 15-19
Number of pages: 24 Posted: 03 Oct 2015
Jingnan Chen, Mark D. Flood and Richard Sowers
University of Illinois at Urbana-Champaign, Government of the United States of America - Office of Financial Research and University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 0 (261,166)

Abstract: