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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2,211

CITATIONS
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81

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 833 (27,771)
Citation 14

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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 301 (99,160)
Citation 55

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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 (116,851)
Citation 5

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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.

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 231 (130,731)
Citation 4

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Bayesian methods, random graphs, matrix balancing, systemic risk

5.

Interbank Clearing in Financial Networks with Multiple Maturities

Downloads 220 (137,045)
Citation 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 121 (229,812)

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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 55 (373,144)
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 44 (412,073)
Citation 5

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

6.

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 179 (165,940)
Citation 3

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Systemic risk, contagion, financial networks, stress testing

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 142 (201,932)
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?

Number of pages: 27 Posted: 09 Jan 2019
Luitgard A. M. Veraart
London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 29 (466,369)

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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 18 (526,893)

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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 (661,885)
Citation 4
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optimal investment, continuous time, estimation effects, lasso, shrinkage, vast portfolios