Lakshithe Wagalath

IESEG School of Management

1 Parvis de la Défense

Paris, 92044

France

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 17,941

SSRN RANKINGS

Top 17,941

in Total Papers Downloads

4,216

SSRN CITATIONS
Rank 7,907

SSRN RANKINGS

Top 7,907

in Total Papers Citations

72

CROSSREF CITATIONS

92

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 1,230 (24,595)
Citation 3

Abstract:

Loading...

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
Downloads 4 (935,144)
Citation 6

Abstract:

Loading...

systemic risk, feedback effects, volatility, endogenous risk, liquidity, fire resales, realized covariance, quadratic covariation

2.
Downloads 988 ( 34,367)
Citation 35

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 986 (33,969)
Citation 7

Abstract:

Loading...

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
Downloads 2 (964,725)
Citation 19

Abstract:

Loading...

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 792 (46,480)
Citation 5

Abstract:

Loading...

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 411 (105,691)
Citation 3

Abstract:

Loading...

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 206 (215,402)

Abstract:

Loading...

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 167 (259,934)
Citation 5

Abstract:

Loading...

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

7.

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 127 (321,292)
Citation 1

Abstract:

Loading...

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

8.

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 104 (369,581)
Citation 9

Abstract:

Loading...

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

9.

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 103 (371,979)
Citation 4

Abstract:

Loading...

10.

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 84 (422,890)

Abstract:

Loading...

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