Ioannis Kosmidis

Department of Statistical Science, University College London

Lecturer

Gower Street

London, WC1E 6BT

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

245

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

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, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, ESC Rennes School of Business and Department of Statistical Science, University College London
Downloads 110 (248,526)

Abstract:

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

2.

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 Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 96 (272,554)
Citation 1

Abstract:

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

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, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Department of Statistical Science, University College London
Downloads 39 (429,046)

Abstract:

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Limit Order Book, Liquidity, High Frequency Finance