Svetlana Borovkova

Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration

Associate Professor

De Boelelaan 1105

Amsterdam, 1081HV

Netherlands

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 18,905

SSRN RANKINGS

Top 18,905

in Total Papers Downloads

2,084

CITATIONS

1

Scholarly Papers (10)

SenSR: A Sentiment-Based Systemic Risk Indicator

Number of pages: 21 Posted: 07 Apr 2016 Last Revised: 08 Jul 2016
Svetlana Borovkova, Evgeny Garmaev, Philipp Lammers and Jordi Rustige
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration, VU University Amsterdam - Finance, VU University Amsterdam, Finance and VU University Amsterdam, Faculty of Economics and Business Administration
Downloads 315 (79,410)

Abstract:

Systemic Risk, News Sentiment, Granger Causality

SenSR: A Sentiment-Based Systemic Risk Indicator

De Nederlandsche Bank Working Paper No. 553
Number of pages: 25 Posted: 11 Apr 2017
Svetlana Borovkova, Evgeny Garmaev, Philipp Lammers and Jordi Rustige
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration, VU University Amsterdam - Finance, VU University Amsterdam, Finance and VU University Amsterdam, Faculty of Economics and Business Administration
Downloads 109 (213,955)

Abstract:

systemic risk, sentiment analysis, Granger causality

2.

Systemic Risk and Centralized Clearing of OTC Derivatives: A Network Approach

Number of pages: 56 Posted: 03 Oct 2013 Last Revised: 11 Dec 2013
Svetlana Borovkova and Hicham Lalaoui El Mouttalibi
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration and VU University Amsterdam
Downloads 280 (66,020)

Abstract:

centralized clearing, interest rate swaps, contagion, systemic risk

3.

News Analytics for Energy Futures

Number of pages: 18 Posted: 11 Dec 2010 Last Revised: 04 Nov 2014
Svetlana Borovkova
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration
Downloads 233 (69,262)
Citation 1

Abstract:

Oil Futures, News, Event Study

4.

Spatial GARCH: A Spatial Approach to Multivariate Volatility Modeling

Number of pages: 33 Posted: 17 Nov 2012
Svetlana Borovkova and Rik Lopuhaa
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration and Delft University of Technology
Downloads 157 (104,710)

Abstract:

conditional variance, space-time models, GARCH, weight matrix, maximum likelihood estimation

5.

News, Volatility and Jumps: The Case of Natural Gas Futures

Number of pages: 32 Posted: 03 Oct 2013
Svetlana Borovkova and Diego Mahakena
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 132 (126,618)

Abstract:

news sentiment, natural gas futures, state space modelling, Kalman filter, realized variance, Granger causality

6.

The Role of News in Commodity Markets

Number of pages: 41 Posted: 01 Apr 2015
Svetlana Borovkova
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration
Downloads 55 (129,648)

Abstract:

News sentiment, commodity markets, event studies, commodity indices, volatility modelling

7.

Conic CVA and DVA for Option Portfolios

Number of pages: 24 Posted: 07 Jul 2017 Last Revised: 25 Sep 2017
Sjoerd van Bakel, Svetlana Borovkova and Matteo Michielon
ABN AMRO Bank N.V., Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration and ABN AMRO Bank N.V.
Downloads 0 (324,714)

Abstract:

Conic Finance, CVA, DVA, bid and ask pricing, liquidity, futures options, distortion function

8.

News Sentiment, Factor Models and Abnormal Stock Returns

Number of pages: 11 Posted: 27 Nov 2015
Svetlana Borovkova and Ding Xiaobo
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration and VU University Amsterdam
Downloads 0 (150,597)

Abstract:

News sentiment, news analytics, factor models, abnormal returns

9.

Electricity Price Modeling with Stochastic Time Change

Number of pages: 36 Posted: 02 Nov 2015
Svetlana Borovkova and Maren Diane Schmeck
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration and University of Cologne - Institute of Mathematics
Downloads 0 (298,207)

Abstract:

electricity prices, stochastic time change, activity rate, mean reversion, jump diffusion

10.

Collateralized Commodity Obligations: Rating and Risk Assessment

Posted: 02 Oct 2012
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration, SNS Reaal, affiliation not provided to SSRN, NIBC Bank N.V. and affiliation not provided to SSRN

Abstract:

structured product, commodities, rating, bootstrap, mean reversion