Ioannis Kosmidis

Department of Statistical Science, University College London

Lecturer

Gower Street

London, WC1E 6BT

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

364

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 Barbaraaffiliation not provided to SSRN
Downloads 178 (234,056)
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 MathematicsResilientML, University of California Santa Barbaraaffiliation not provided to SSRN, ESC Rennes School of Business and Department of Statistical Science, University College London
Downloads 138 (288,241)

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 Barbaraaffiliation not provided to SSRN and Department of Statistical Science, University College London
Downloads 48 (533,262)

Abstract:

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Limit Order Book, Liquidity, High Frequency Finance