Lakshithe Wagalath

IESEG School of Management

1 Parvis de la Défense

Paris, 92044

France

SCHOLARLY PAPERS

10

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3,434

CITATIONS
Rank 36,077

SSRN RANKINGS

Top 36,077

in Total Papers Citations

5

Scholarly Papers (10)

Running for the Exit: Distressed Selling and Endogenous Correlation in Financial Markets

Number of pages: 29 Posted: 23 Jan 2011 Last Revised: 29 May 2013
Rama Cont and Lakshithe Wagalath
University of Oxford and IESEG School of Management
Downloads 1,133 (17,205)
Citation 4

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fire sales, distressed selling, liquidity, diffusion models, market impact, price impact, correlation, volatility

Running for the Exit: Distressed Selling and Endogenous Correlation in Financial Markets

Mathematical Finance, Vol. 23, Issue 4, pp. 718-741, 2013
Number of pages: 24 Posted: 06 Aug 2013
Rama Cont and Lakshithe Wagalath
University of Oxford and IESEG School of Management
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Citation 4
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systemic risk, feedback effects, volatility, endogenous risk, liquidity, fire resales, realized covariance, quadratic covariation

2.
Downloads 884 ( 25,355)
Citation 1

Fire Sales Forensics: Measuring Endogenous Risk

Number of pages: 37 Posted: 04 May 2012 Last Revised: 05 Feb 2013
Rama Cont and Lakshithe Wagalath
University of Oxford and IESEG School of Management
Downloads 884 (24,935)
Citation 1

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fire sales, endogenous risk, systemic risk, liquidity, financial econometrics, correlation, volatility

Fire Sales Forensics: Measuring Endogenous Risk

Mathematical Finance, Vol. 26, Issue 4, pp. 835-866, 2016
Number of pages: 32 Posted: 20 Sep 2016
Rama Cont and Lakshithe Wagalath
University of Oxford and IESEG School of Management
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Citation 1
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fire sales, financial contagion, feedback effects, price impact, liquidity, diffusion approximation, diffusion models, correlations, endogenous risk

3.

Risk Management for Whales

Number of pages: 7 Posted: 29 Feb 2016 Last Revised: 19 May 2016
Rama Cont and Lakshithe Wagalath
University of Oxford and IESEG School of Management
Downloads 627 (40,506)

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liquidity, liquidation, deleveraging, fire sales, London Whale, JP Morgan CIO, market impact, risk management, LVaR, liquidity-adusted Value-at-Risk

4.

VIX vs VXX: A Joint Analytical Framework

Number of pages: 31 Posted: 24 Mar 2018
Martino Grasselli and Lakshithe Wagalath
University of Padova - Department of Mathematics and IESEG School of Management
Downloads 192 (154,779)

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Volatility Index, VIX, VIX Exchange-Traded Notes, VXX

5.

Modeling the Re-Balancing Slippage of Leveraged Exchange-Traded Funds

Number of pages: 16 Posted: 27 Aug 2013
Lakshithe Wagalath
IESEG School of Management
Downloads 171 (171,690)

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leveraged ETF, ETF, liquidity, active management, fund re-balancing, regulation

6.

Institutional Investors and the Dependence Structure of Asset Returns

Number of pages: 35 Posted: 28 Feb 2014
Rama Cont and Lakshithe Wagalath
University of Oxford and IESEG School of Management
Downloads 155 (186,669)

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Institutional investors, liquidity, endogenous risk, feedback effects, correlation, dependence structure of asset returns

7.

Risk-Based Capital Requirements and Optimal Liquidation in a Stress Scenario

Forthcoming in Review of Finance
Number of pages: 46 Posted: 21 May 2016 Last Revised: 29 Oct 2016
Yann Braouezec and Lakshithe Wagalath
IESEG School of Management, LEM CNRS, UMR 9221 and IESEG School of Management
Downloads 90 (278,617)

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8.

Lost in Contagion? Building a Liquidation Index from Covariance Dynamics

Number of pages: 24 Posted: 05 Apr 2015
Lakshithe Wagalath
IESEG School of Management
Downloads 70 (323,230)

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Fire sales, fund liquidations, contagion, systemic risk, covariances, liquidity

9.

Strategic Fire-Sales and Price-Mediated Contagion in the Banking System

European Journal of Operations Research, Forthcoming
Number of pages: 49 Posted: 13 Sep 2017 Last Revised: 25 Nov 2018
Yann Braouezec and Lakshithe Wagalath
IESEG School of Management, LEM CNRS, UMR 9221 and IESEG School of Management
Downloads 58 (355,929)

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Fire sales, price-mediated contagion, Nash equilibrium with strategic complementarities, CCAR 2015, macro-prudential stress-tests

10.

A Liquidation Risk Adjustment for Value at Risk and Expected Shortfall

Number of pages: 17 Posted: 03 Jan 2018
Lakshithe Wagalath and Jorge P. Zubelli
IESEG School of Management and Instituto de Matematica Pura e Aplicada (IMPA)
Downloads 54 (368,300)

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liquidation risk, fire sales, value at risk, expected shortfall, risk management, price impact