Ioannis Kosmidis

Department of Statistical Science, University College London

Lecturer

Gower Street

London, WC1E 6BT

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

333

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Multi Yield Curve Stress-Testing Framework Incorporating Temporal and Cross Tenor Structural Dependencies

Bank of England Working Paper No. 655
Number of pages: 34 Posted: 10 Apr 2017
Emmanouil Karimalis, Ioannis Kosmidis and Gareth Peters
Bank of England, Department of Statistical Science, University College London and University of California Santa Barbara
Downloads 160 (226,259)
Citation 1

Abstract:

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Stress-testing, term structure, yield curve, liquidity risk, credit risk

2.

Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence

Number of pages: 19 Posted: 18 Jun 2014
The Institute of Statistical Mathematics, University of California Santa Barbara, ESC Rennes School of Business and Department of Statistical Science, University College London
Downloads 127 (272,035)

Abstract:

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Currency carry trade, Multivariate tail dependence, Forward premium puzzle, Mixture models, Generalized Archimedean copula

3.

Liquidity Commonality Does Not Imply Liquidity Resilience Commonality: A Functional Characterisation for Ultra-High Frequency Cross-Sectional LOB Data

Number of pages: 37 Posted: 05 Jun 2017
Efstathios Panayi, Gareth Peters and Ioannis Kosmidis
University College London - Financial Computing and Analytics Group, Department of Computer Science, University of California Santa Barbara and Department of Statistical Science, University College London
Downloads 46 (484,696)

Abstract:

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Limit Order Book, Liquidity, High Frequency Finance