Luitgard Anna Maria Veraart

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

Houghton Street

GB-London WC2A 2AE

United Kingdom

SCHOLARLY PAPERS

15

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3,836

SSRN CITATIONS
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SSRN RANKINGS

Top 7,538

in Total Papers Citations

134

CROSSREF CITATIONS

39

Scholarly Papers (15)

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 1,082 (28,685)
Citation 22

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Unknown interbank liabilities, systemic risk, Gibbs sampler

2.
Downloads 393 (106,198)
Citation 10

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 230 (185,057)
Citation 3

Abstract:

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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 Anna Maria Veraart
London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 163 (252,532)
Citation 9

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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 370 (113,702)
Citation 58

Abstract:

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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 179 (234,095)

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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 127 (308,198)
Citation 2

Abstract:

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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 Anna Maria Veraart
London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 53 (519,633)
Citation 1

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systemic risk, portfolio compression, financial networks, cycles, 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 135 (294,228)
Citation 1

Abstract:

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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 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 79 (422,514)

Abstract:

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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 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 66 (466,696)
Citation 16

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

6.

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 277 (154,595)
Citation 12

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Bayesian methods, random graphs, matrix balancing, systemic risk

7.

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 272 (157,527)
Citation 2

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

8.

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 201 (210,424)

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

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 159 (257,477)
Citation 1

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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 147 (274,273)

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

11.

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 110 (339,926)
Citation 2

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

12.

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 78 (421,109)

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

13.

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
London School of Economics & Political Science (LSE) - Department of Mathematics and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 67 (457,133)

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

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 41 (572,091)

Abstract:

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

15.

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 Anna Maria Veraart
Imperial College London - Department of Mathematics and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 0 (906,128)

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