Luitgard A. M. Veraart

London School of Economics & Political Science (LSE) - Department of Mathematics

Houghton Street

GB-London WC2A 2AE

United Kingdom

  • London School of Economics & Political Science (LSE) - Department of Mathematics

SCHOLARLY PAPERS

10

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2,451

SSRN CITATIONS
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Top 11,697

in Total Papers Citations

46

CROSSREF CITATIONS

36

Scholarly Papers (10)

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1.

A Bayesian Methodology for Systemic Risk Assessment in Financial Networks

Number of pages: 42 Posted: 21 Mar 2015 Last Revised: 03 May 2016
Axel Gandy and Luitgard A. M. Veraart
Imperial College London - Department of Mathematics and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 876 (27,112)
Citation 10

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Unknown interbank liabilities, systemic risk, Gibbs sampler

2.

Failure and Rescue in an Interbank Network

Number of pages: 33 Posted: 25 Sep 2011
L. C. G. Rogers and Luitgard A. M. Veraart
University of Cambridge - Centre for Mathematical Sciences and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 305 (102,100)
Citation 32

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interbank network, systemic risk, bailout, bank mergers

3.

Stochastic Volatility and Stochastic Leverage

CREATES Research Paper No. 2009-20
Number of pages: 51 Posted: 19 May 2009 Last Revised: 28 Sep 2011
Almut Veraart and Luitgard A. M. Veraart
Imperial College London and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 258 (122,050)
Citation 1

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Stochastic volatility, volatility of volatility, stochastic correlation, leverage effect, Jacobi process, Ornstei-Uhlenbeck process, square root diffusion, Lévy process, Heston

4.

Distress and Default Contagion in Financial Networks

Downloads 252 (125,057)
Citation 3

Distress and Default Contagion in Financial Networks

Number of pages: 31 Posted: 05 Sep 2017 Last Revised: 22 Jun 2018
Luitgard A. M. Veraart
London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 201 (155,510)
Citation 4

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Systemic risk, contagion, financial networks, stress testing

Distress and Default Contagion in Financial Networks

Number of pages: 35 Posted: 16 Oct 2019
Luitgard A. M. Veraart
London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 51 (402,974)

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systemic risk, contagion, financial networks, stress testing, mark-to-market losses

5.

Adjustable Network Reconstruction with Applications to CDS Exposures

Number of pages: 21 Posted: 10 Jan 2017 Last Revised: 27 Apr 2018
Axel Gandy and Luitgard A. M. Veraart
Imperial College London - Department of Mathematics and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 244 (129,218)
Citation 8

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Bayesian methods, random graphs, matrix balancing, systemic risk

6.

Interbank Clearing in Financial Networks with Multiple Maturities

Downloads 236 (133,624)
Citation 7

Interbank Clearing in Financial Networks with Multiple Maturities

Number of pages: 34 Posted: 19 Oct 2016
Michael Kusnetsov and Luitgard A. M. Veraart
London School of Economics & Political Science (LSE) - Department of Mathematics and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 126 (232,325)
Citation 1

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systemic risk, multiple maturities, clearing, financial networks

Interbank Clearing in Financial Networks with Multiple Maturities

Number of pages: 49 Posted: 19 Jul 2017
Michael Kusnetsov and Luitgard A. M. Veraart
London School of Economics & Political Science (LSE) - Department of Mathematics and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 60 (372,454)
Citation 1

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Systemic Risk, Multiple Maturities, Clearing, Financial Networks

Interbank Clearing in Financial Networks with Multiple Maturities

Number of pages: 33 Posted: 27 Apr 2018
Michael Kusnetsov and Luitgard A. M. Veraart
London School of Economics & Political Science (LSE) - Department of Mathematics and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 50 (406,569)
Citation 7

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systemic risk, default, multiple maturities, clearing, financial networks

7.

Optimal Diversification in the Presence of Parameter Uncertainty for a Risk Averse Investor

Number of pages: 41 Posted: 06 Aug 2014 Last Revised: 18 Apr 2015
Mathieu Dubois and Luitgard A. M. Veraart
London School of Economics & Political Science (LSE) and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 145 (207,101)
Citation 1

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optimal investment, power-utility, parameter uncertainty, risk aversion, L1-norm constraint, sparse portfolio

8.

When Does Portfolio Compression Reduce Systemic Risk?

Downloads 83 (307,394)
Citation 1

When Does Portfolio Compression Reduce Systemic Risk?

Number of pages: 27 Posted: 09 Jan 2019
Luitgard A. M. Veraart
London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 76 (327,094)
Citation 1

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systemic risk, portfolio compression, financial networks, cycles, netting

When Does Portfolio Compression Reduce Systemic Risk?

Number of pages: 45 Posted: 25 Nov 2019
Luitgard A. M. Veraart
London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 7 (646,991)

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systemic risk, portfolio compression, financial networks, cycles, netting

9.

Compound Poisson Models for Financial Networks

Number of pages: 20 Posted: 18 Jun 2019
Axel Gandy and Luitgard A. M. Veraart
Imperial College London - Department of Mathematics and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 52 (392,904)

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Financial Networks, Compound Poisson Distribution, Regression, Subnetwork Prediction, Systemic Risk

10.

The Effect of Estimation in High‐Dimensional Portfolios

Mathematical Finance, Vol. 23, Issue 3, pp. 531-559, 2013
Number of pages: 29 Posted: 09 Jun 2013
Axel Gandy and Luitgard A. M. Veraart
Imperial College London - Department of Mathematics and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 0 (687,116)
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optimal investment, continuous time, estimation effects, lasso, shrinkage, vast portfolios