Nick Constantinou

University of Essex - Essex Business School

Wivenhoe Park

Colchester, Essex CO4 3SQ

United Kingdom

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 39,972

SSRN RANKINGS

Top 39,972

in Total Papers Downloads

1,112

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (8)

1.

Constant Proportion Portfolio Insurance Strategies under Cumulative Prospect Theory with Reference Point Adaptation

Number of pages: 24 Posted: 17 Jul 2012
Anil Khuman, Nick Constantinou and Steve Phelps
University of Essex - Centre for Computational Finance and Economic Agents, University of Essex - Essex Business School and Department of Informatics, King's College London
Downloads 313 (99,491)
Citation 2

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Constant Proportion Portfolio Insurance, Rachets, Cumulative Prospect Theory, Adaptive Reference Point

2.

Could the Trigger to the Subprime Crisis Have Been Predicted? A Mortgage Risk Modeling Approach

Number of pages: 31 Posted: 28 May 2010 Last Revised: 24 Apr 2011
Jose Molina Utrilla and Nick Constantinou
University of Essex - Centre for Computational Finance and Economic Agents and University of Essex - Essex Business School
Downloads 234 (134,917)

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Default Probabilities, Logistic Regression, Markov Chain, Credit Risk

3.

A Framework for Extracting the Probability of Default from Listed Stock Option Prices

Number of pages: 38 Posted: 25 Nov 2011
Azusa Takeyama, Nick Constantinou and Dmitri Vinogradov
University of Essex, University of Essex - Essex Business School and University of Glasgow - Adam Smith Business School
Downloads 230 (137,184)

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probability of default (PD), option pricing under credit risk, perturbation method

4.

Do CDS Spreads Reflect Credit Risks? Evidence from UK Bank Bailouts

Number of pages: 55 Posted: 30 Oct 2010 Last Revised: 25 Nov 2011
Azusa Takeyama, Nick Constantinou and Dmitri Vinogradov
University of Essex, University of Essex - Essex Business School and University of Glasgow - Adam Smith Business School
Downloads 190 (164,237)
Citation 1

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Credit Default Swap (CDS), Loss Given Default (LGD), Volatility Surface

5.

A Multiple Regime Nonlinear Asymmetric AR(p)-GARCH(1,1) Model

Number of pages: 41 Posted: 01 Dec 2010 Last Revised: 29 Jul 2011
Adán Díaz Hernández and Nick Constantinou
Instituto Tecnologico y de Estudios Superiores de Monterrey (ITESM) and University of Essex - Essex Business School
Downloads 143 (209,746)

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GARCH, Regime-switching, volatility forecast, risk measurement

6.

The Signalling Properties of the Shape of the Credit Default Swap Term Structure

Journal of Risk, Vol. 17, No. 4, 2015
Number of pages: 30 Posted: 29 Jun 2016
Jenny Castellanos, Nick Constantinou and Wing Lon Ng
University of Essex - Centre for Computational Finance and Economic Agents, University of Essex - Essex Business School and Bounded Rationality Advancement in Computational Intelligence Laboratory (BRACIL)
Downloads 1 (670,840)
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credit risk, CDS term structure, Nelson–Siegel, implied volatility

7.

The Relationship between Credit Default Swap Spreads and Equity Prices

Journal of Risk, Vol. 17, No. 1, 2014
Number of pages: 26 Posted: 09 Jun 2016
Michele Marzano, Gary Dunn and Nick Constantinou
University of Essex, HSBC (London) and University of Essex - Essex Business School
Downloads 1 (670,840)
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credit default swap, over-the-counter derivative counterparties, equity prices

8.

Portfolio Valuation Under Liquidity and Expected Shortfall Constraints

Posted: 24 Jul 2016
Hwayoung Lee, Nick Constantinou and John G O'Hara
University of Essex - Centre for Computational Finance and Economic Agents, University of Essex - Essex Business School and University of Essex - Centre for Computational Finance and Economic Agents

Abstract:

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Liquidity Risk, Portfolio Valuation, Market Impact, MSDC, Expected Shortfall