Donal A. Gallagher

Quaternion Risk Management

Managing Director

54 Fitzwilliam Square

Dublin 2

Dublin

Ireland

http://www.quaternion.com

SCHOLARLY PAPERS

3

DOWNLOADS

774

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

Valuation of a Cashflow CDO Without Monte Carlo Simulation

Number of pages: 25 Posted: 16 Sep 2009
Donal A. Gallagher, James P. Gleeson, Chris Kenyon and Roland Lichters
Quaternion Risk Management, University of Limerick, Ireland, MUFG Securities EMEA plc and Quaternion Risk Management
Downloads 486 (59,773)

Abstract:

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cashflow CDO, CLO, tranche, pricing, derivatives, credit, Monte Carlo, simulation

2.

A Data Science Approach to Predict the Impact of Collateralization on Systemic Risk

Number of pages: 17 Posted: 22 Dec 2017
Sharyn O'Halloran, Nikolai Nowaczyk and Donal A. Gallagher
Columbia University - School of International & Public Affairs, Quaternion Risk Management and Quaternion Risk Management
Downloads 151 (201,551)
Citation 2

Abstract:

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big data, graph theoretic models, data science, machine learning, Python, C , random graph generation, stochastic Linear Gauss-Markov model, Monte Carlo simulation, financial risk analytics, systemic risk, collateralizations, variation margin, initial margin, open source risk engine, financial regu

3.

Big Data and Graph Theoretic Models: Simulating the Impact of Collateralization on a Financial System

Number of pages: 8 Posted: 01 Jun 2017
Sharyn O'Halloran, Nikolai Nowaczyk and Donal A. Gallagher
Columbia University - School of International & Public Affairs, Quaternion Risk Management and Quaternion Risk Management
Downloads 137 (218,272)
Citation 1

Abstract:

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Big Data, Graph Theoretic Models, Stochastic Linear Gauss-Markov Model, Monte Carlo Simulation, Financial Risk Analytics, Collateralizations, Variation Margin, Initial Margin, Open Source Risk Engine