Luitgard A. M. Veraart

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

Houghton Street

GB-London WC2A 2AE

United Kingdom

SCHOLARLY PAPERS

8

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CITATIONS
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Top 27,091

in Total Papers Citations

9

Scholarly Papers (8)

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 (94,502)
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 (105,102)
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 (34,411)

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 (179,541)

Abstract:

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

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 81 (259,542)

Abstract:

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 7 (539,091)

Abstract:

Systemic Risk, Multiple Maturities, Clearing, Financial Networks

6.

Distress and Default Contagion in Financial Networks

Number of pages: 25 Posted: 05 Sep 2017 Last Revised: 22 Sep 2017
Luitgard A. M. Veraart
London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 0 (418,767)

Abstract:

Systemic risk, financial networks, distress contagion, default contagion, reduced form approach, bankruptcy costs, ordering results

7.

Adjustable Network Reconstruction with Applications to CDS Exposures

Number of pages: 31 Posted: 10 Jan 2017 Last Revised: 16 Jun 2017
Axel Gandy and Luitgard A. M. Veraart
Imperial College London and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 0 (230,901)

Abstract:

Bayesian methods, random graphs, matrix balancing, systemic risk

8.

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 (565,802)
Citation 1
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Abstract:

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