Alexander Denev

Deloitte Financial Advisory Services

Amsterdam

Netherlands

University of Oxford

Mansfield Road

Oxford, Oxfordshire OX1 4AU

United Kingdom

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 21,902

SSRN RANKINGS

Top 21,902

in Total Papers Downloads

2,180

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (10)

1.

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 Deloitte Financial Advisory Services
Downloads 485 (58,047)
Citation 2

Abstract:

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2.

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
Deloitte Financial Advisory Services and Markit Group
Downloads 313 (96,945)

Abstract:

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Stress Testing, Probabilistic Graphical Models

3.

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
Deloitte Financial Advisory Services
Downloads 298 (102,258)
Citation 1

Abstract:

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financial networks, probabilistic graphical models, bayesian networks

4.

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
Deloitte Financial Advisory Services
Downloads 284 (107,692)
Citation 1

Abstract:

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

5.

Macro-Hedging of Portfolios of Assets

Number of pages: 25 Posted: 07 Mar 2014 Last Revised: 18 May 2016
Alexander Denev
Deloitte Financial Advisory Services
Downloads 258 (119,112)

Abstract:

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6.

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 Deloitte Financial Advisory Services
Downloads 189 (161,131)

Abstract:

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missing data, machine learning, spectral analysis

7.

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
Deloitte Financial Advisory Services and IHS Markit
Downloads 168 (178,893)

Abstract:

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

8.

A Probabilistic Graphical Models Approach to Model Interconnectedness

Number of pages: 15 Posted: 30 Nov 2017 Last Revised: 16 Mar 2019
Alexander Denev, Adrien Papaioannou and Orazio Angelini
Deloitte Financial Advisory Services, IHS Markit and IHS Markit
Downloads 150 (196,789)

Abstract:

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Probabilistic Graphical Models, Stress Testing, Model Risk

9.

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
Deloitte Financial Advisory Services
Downloads 35 (448,014)

Abstract:

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Brexit, complex events, Bayesian Nets, Scottish Independence

10.

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 Deloitte Financial Advisory Services

Abstract:

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