Luitgard Anna Maria 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

15

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SSRN CITATIONS
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Top 7,538

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134

CROSSREF CITATIONS

39

Scholarly Papers (15)

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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 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.

Distress and Default Contagion in Financial Networks

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

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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

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interbank network, systemic risk, bailout, bank mergers

4.

When Does Portfolio Compression Reduce Systemic Risk?

Downloads 359 (117,987)
Citation 4

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

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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

5.

Interbank Clearing in Financial Networks with Multiple Maturities

Downloads 280 (152,892)
Citation 14

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

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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)

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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)

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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