Luitgard Anna Maria Veraart

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

Houghton Street

GB-London WC2A 2AE

United Kingdom

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 19,220

SSRN RANKINGS

Top 19,220

in Total Papers Downloads

4,986

SSRN CITATIONS
Rank 7,278

SSRN RANKINGS

Top 7,278

in Total Papers Citations

204

CROSSREF CITATIONS

39

Scholarly Papers (14)

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 Anna Maria Veraart
Imperial College London - Department of Mathematics and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 1,191 (33,875)
Citation 31

Abstract:

Loading...

Unknown interbank liabilities, systemic risk, Gibbs sampler

2.
Downloads 498 (107,906)
Citation 21

Distress and Default Contagion in Financial Networks

Number of pages: 31 Posted: 05 Sep 2017 Last Revised: 22 Jun 2018
Luitgard Anna Maria Veraart
London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 265 (215,050)
Citation 3

Abstract:

Loading...

Systemic risk, contagion, financial networks, stress testing

Distress and Default Contagion in Financial Networks

Number of pages: 35 Posted: 16 Oct 2019
Luitgard Anna Maria Veraart
London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 233 (244,349)
Citation 20

Abstract:

Loading...

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

3.

Failure and Rescue in an Interbank Network

Number of pages: 33 Posted: 25 Sep 2011
L. C. G. Rogers and Luitgard Anna Maria Veraart
University of Cambridge - Centre for Mathematical Sciences and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 476 (113,792)
Citation 83

Abstract:

Loading...

interbank network, systemic risk, bailout, bank mergers

When Does Portfolio Compression Reduce Systemic Risk?

Number of pages: 42 Posted: 10 Sep 2020
Luitgard Anna Maria Veraart
London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 228 (249,554)
Citation 2

Abstract:

Loading...

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

When Does Portfolio Compression Reduce Systemic Risk?

Number of pages: 27 Posted: 09 Jan 2019
Luitgard Anna Maria Veraart
London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 147 (369,561)
Citation 2

Abstract:

Loading...

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

When Does Portfolio Compression Reduce Systemic Risk?

Number of pages: 45 Posted: 25 Nov 2019
Luitgard Anna Maria Veraart
London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 76 (591,545)
Citation 1

Abstract:

Loading...

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

5.

A Macroprudential View on Portfolio Rebalancing and Compression

Number of pages: 68 Posted: 08 Jun 2021
Luitgard Anna Maria Veraart and Yuliang Zhang
London School of Economics & Political Science (LSE) - Department of Mathematics and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 423 (130,773)

Abstract:

Loading...

Systemic risk, liquidity, post-trade risk reduction, portfolio rebalancing, portfolio compression, multilateral netting

Interbank Clearing in Financial Networks with Multiple Maturities

Number of pages: 34 Posted: 19 Oct 2016
Michael Kusnetsov and Luitgard Anna Maria Veraart
London School of Economics & Political Science (LSE) - Department of Mathematics and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 202 (279,622)
Citation 1

Abstract:

Loading...

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 Anna Maria Veraart
London School of Economics & Political Science (LSE) - Department of Mathematics and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 106 (476,156)

Abstract:

Loading...

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 Anna Maria Veraart
London School of Economics & Political Science (LSE) - Department of Mathematics and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 89 (536,299)
Citation 16

Abstract:

Loading...

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

7.

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 Anna Maria Veraart
Imperial College London - Department of Mathematics and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 321 (177,392)
Citation 15

Abstract:

Loading...

Bayesian methods, random graphs, matrix balancing, systemic risk

8.

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 Anna Maria Veraart
Imperial College London and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 291 (196,639)
Citation 2

Abstract:

Loading...

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

9.

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 Anna Maria Veraart
London School of Economics & Political Science (LSE) and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 185 (303,322)
Citation 1

Abstract:

Loading...

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

10.

Compound Poisson Models for Weighted Networks with Applications in Finance

Number of pages: 22 Posted: 18 Jun 2019 Last Revised: 29 Apr 2020
Axel Gandy and Luitgard Anna Maria Veraart
Imperial College London - Department of Mathematics and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 176 (317,102)

Abstract:

Loading...

Weighted directed networks, compound Poisson distribution, regression, subnetwork prediction, financial networks, systemic risk

Assessing and Mitigating Fire Sales Risk under Partial Information

Number of pages: 48 Posted: 30 Aug 2022
Raymond Ka-Kay Pang and Luitgard Anna Maria Veraart
CFA Institute and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 78 (582,475)

Abstract:

Loading...

systemic risk, fire sales, stress testing, financial networks, matrix reconstruction, policy interventions

Assessing and Mitigating Fire Sales Risk Under Partial Information

Number of pages: 35 Posted: 26 Apr 2021
Raymond Ka-Kay Pang and Luitgard Anna Maria Veraart
CFA Institute and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 88 (540,303)

Abstract:

Loading...

Systemic risk, fire sales, stress testing, financial networks, matrix reconstruction, policy interventions

12.

How does the repo market behave under stress? Evidence from the Covid-19 crisis

Bank of England Working Paper No. 910
Number of pages: 30 Posted: 02 Mar 2021 Last Revised: 18 Jun 2021
Anne-Caroline Hüser, Caterina Lepore and Luitgard Anna Maria Veraart
Bank of England, International Monetary Fund (IMF) and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 158 (347,951)
Citation 7

Abstract:

Loading...

Repo market, liquidity risk, financial networks, market microstructure, Covid-19 crisis

13.

Systemic Risk in Markets with Multiple Central Counterparties

Number of pages: 48 Posted: 11 May 2022
Luitgard Anna Maria Veraart and Iñaki Aldasoro
London School of Economics & Political Science (LSE) - Department of Mathematics and Bank for International Settlements (BIS)
Downloads 152 (359,367)

Abstract:

Loading...

Central counterparties, systemic risk, contagion, stress testing, Cover 2

14.

How Does the Repo Market Behave Under Stress? Evidence from the COVID-19 Crisis

IMF Working Paper No. 2021/267
Number of pages: 31 Posted: 17 Feb 2022
Anne-Caroline Hüser, Caterina Lepore and Luitgard Anna Maria Veraart
Bank of England, International Monetary Fund (IMF) and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 101 (489,633)

Abstract:

Loading...

repo market, repo network, gilt dealer, policy debate, repo transaction, COVID-19, Currencies, Hedge funds, Central counterparty clearing house, Liquidity