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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

7

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CITATIONS
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9

Scholarly Papers (7)

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1.

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 221 (94,340)
Citation 5

Abstract:

interbank network, systemic risk, bailout, bank mergers

2.

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 212 (105,285)
Citation 3

Abstract:

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

3.

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 and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 182 (37,696)

Abstract:

Unknown interbank liabilities, systemic risk, Gibbs sampler

4.

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 Steve 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 96 (176,760)

Abstract:

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

5.

Adjustable Network Reconstruction with Applications to CDS Exposures

Number of pages: 22 Posted: 10 Jan 2017
Axel Gandy and Luitgard A. M. Veraart
Imperial College London and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 0 (322,172)

Abstract:

Bayesian methods, random graphs, matrix balancing, systemic risk

6.

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 0 (270,341)

Abstract:

systemic risk, multiple maturities, clearing, financial networks

7.

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 and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 0 (548,341)
Citation 1

Abstract:

optimal investment, continuous time, estimation effects, lasso, shrinkage, vast portfolios

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