Alexander Denev

University of Oxford

Mansfield Road

Oxford, Oxfordshire OX1 4AU

United Kingdom

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 16,257

SSRN RANKINGS

Top 16,257

in Total Papers Downloads

3,662

SSRN CITATIONS

7

CROSSREF CITATIONS

3

Scholarly Papers (12)

1.

Building Probabilistic Causal Models using Collective Intelligence

Number of pages: 23 Posted: 19 Mar 2021 Last Revised: 26 Mar 2021
Olav Laudy, Alexander Denev and Allen Ginsberg
Causality Link, University of Oxford and Causality Link
Downloads 877 (32,457)

Abstract:

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NLP, causal graphs, Bayesian Networks, macro-finance, expert elicitation, knowledge mining.

2.

Coherent Asset Allocation and Diversification in the Presence of Stress Events

Journal of Investment Management, 10, 4, 2012
Number of pages: 36 Posted: 28 Apr 2011 Last Revised: 06 May 2013
Riccardo Rebonato and Alexander Denev
Royal Bank of Scotland and University of Oxford
Downloads 611 (52,923)
Citation 3

Abstract:

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3.

Imputation of Multivariate Time Series Data - Performance Benchmarks for Multiple Imputation and Spectral Techniques

Number of pages: 18 Posted: 06 Jul 2017
Johannes Bauer, Orazio Angelini and Alexander Denev
IHS Markit, IHS Markit and University of Oxford
Downloads 448 (77,665)

Abstract:

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missing data, machine learning, spectral analysis

4.

A Formalized, Integrated and Visual Approach to Stress Testing

Risk Management - December 2016, Volume 18, Issue 4, pp 189–216
Number of pages: 25 Posted: 19 May 2016 Last Revised: 16 Jul 2017
Alexander Denev and Yaacov Mutnikas
University of Oxford and Markit Group
Downloads 342 (106,044)
Citation 2

Abstract:

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Stress Testing, Probabilistic Graphical Models

5.

Financial Networks as Directed Cyclic Graphs

CORPORATE OWNERSHIP AND CONTROL, Forthcoming
Number of pages: 17 Posted: 09 Feb 2014 Last Revised: 28 Sep 2016
Alexander Denev
University of Oxford
Downloads 321 (113,766)
Citation 1

Abstract:

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financial networks, probabilistic graphical models, bayesian networks

6.

Credit Portfolio Models in the Presence of Forward-Looking Stress Events

Journal of Risks Models Validation, Forthcoming
Number of pages: 32 Posted: 28 May 2012 Last Revised: 28 Sep 2016
Alexander Denev
University of Oxford
Downloads 295 (124,459)
Citation 3

Abstract:

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credit portfolio models, economic capital, stress testing, Bayesian Networks, tail events

7.

Macro-Hedging of Portfolios of Assets

Number of pages: 25 Posted: 07 Mar 2014 Last Revised: 18 May 2016
Alexander Denev
University of Oxford
Downloads 279 (131,983)

Abstract:

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8.

A Probabilistic Graphical Models Approach to Model Interconnectedness

International Journal of Risk Assessment and Management 23 (2), 119-133
Number of pages: 15 Posted: 30 Nov 2017 Last Revised: 07 Jul 2020
Alexander Denev, Adrien Papaioannou and Orazio Angelini
University of Oxford, IHS Markit and IHS Markit
Downloads 250 (147,526)
Citation 1

Abstract:

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Probabilistic Graphical Models, Stress Testing, Model Risk

9.

Underdetermination and Variability of the Results in Macro-to-Micro Stress Tests – A Machine Learning Approach

Journal of Risk Management in Financial Institutions, Volume 10/ Number 2/ Spring 2017, pp. 130-149(20)
Number of pages: 25 Posted: 26 Oct 2016 Last Revised: 16 Jul 2017
Alexander Denev and Orazio Angelini
University of Oxford and IHS Markit
Downloads 180 (200,526)
Citation 1

Abstract:

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Stress Testing, Scenario Analysis, Probabilistic Graphical Models, Visualization, Model Risk, Machine Learning

10.

A Split of a Country - A Bayesian Net Approach to the Study of Complex Political Events

Number of pages: 48 Posted: 18 Jun 2019
Alexander Denev
University of Oxford
Downloads 48 (467,615)

Abstract:

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Brexit, complex events, Bayesian Nets, Scottish Independence

11.

Innovating with Confidence - Embedding AI Governance and Fairness in a Financial Services Risk Management Framework

Number of pages: 19 Posted: 29 Apr 2021
Michelle Seng Ah Lee, Luciano Floridi and Alexander Denev
University of Cambridge, University of Oxford - Oxford Internet Institute and University of Oxford
Downloads 11 (679,842)

Abstract:

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Artificial Intelligence, Financial Services, Auditing, Innovation

12.

Coherent Asset Allocation and Diversification in the Presence of Stress Events

Journal of Investment Management (JOIM), Fourth Quarter 2012
Posted: 20 May 2013
Riccardo Rebonato and Alexander Denev
Independent and University of Oxford

Abstract:

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Asset allocation, Bayesian Nets, causality, stress, portfolio optimization, extreme events