Raphael Douady

CES Univ. Paris 1

Research

106 bv de l'Hôpital

Paris, 75013

France

Riskdata

Research Director

6, rue de l'Amiral Coligny

Paris, 75001

France

http://www.riskdata.com

Stony Brook university

Professor

Stony Brook, NY NY 10017

United States

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 12,732

SSRN RANKINGS

Top 12,732

in Total Papers Downloads

4,098

SSRN CITATIONS

3

CROSSREF CITATIONS

4

Scholarly Papers (17)

1.

On Measuring Hedge Fund Risk

Number of pages: 12 Posted: 28 Mar 2008 Last Revised: 16 Apr 2008
Moscow State University, CES Univ. Paris 1 and University of North Carolina (UNC) at Charlotte
Downloads 813 (32,227)
Citation 4

Abstract:

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Gussian copula, hedge fund replication, hedge fund risk

2.

Bermudan Option Pricing with Monte-Carlo Methods

Number of pages: 20 Posted: 23 Dec 2009
Raphael Douady
CES Univ. Paris 1
Downloads 635 (44,973)

Abstract:

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Term structure models, Bermudan options, Monte-Carlo pricing

3.

On Measuring Nonlinear Risk with Scarce Observations

Number of pages: 19 Posted: 31 Mar 2008 Last Revised: 22 Jun 2016
Moscow State University, CES Univ. Paris 1 and University of North Carolina (UNC) at Charlotte
Downloads 534 (56,182)
Citation 1

Abstract:

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Cross-term risk, factor risk, Gaussian copula, hedge fund replication, hedge fund risk, idiosyncratic risk, monomial risk, non-linear regression, risk measurement

4.

Financial Crisis and Contagion: A Dynamical Systems Approach

Number of pages: 26 Posted: 02 Jan 2011 Last Revised: 28 Nov 2011
Youngna Choi and Raphael Douady
Montclair State University - Department of Mathematical Sciences and CES Univ. Paris 1
Downloads 514 (58,963)
Citation 1

Abstract:

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Systemic Risk, Contagion, Butterfly Effect, Bifurcation, Symbolic Dynamics, Chaos

5.

Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator

Number of pages: 31 Posted: 06 Oct 2010 Last Revised: 19 Dec 2011
Youngna Choi and Raphael Douady
Montclair State University - Department of Mathematical Sciences and CES Univ. Paris 1
Downloads 345 (94,803)

Abstract:

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systemic risk, systemic crisis, econophysics, macroeconomics, bifurcation, system stability, chaos

6.

The Price of Risk: From Modern Portfolio Theory to Leveraged Portfolio Theory

Number of pages: 17 Posted: 17 Apr 2012 Last Revised: 10 Mar 2019
Olivier Le Marois, Julie Mikhalevsky and Raphael Douady
fluks, Fédéris Gestion d’Actifs and CES Univ. Paris 1
Downloads 321 (102,780)

Abstract:

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Asset Allocation, Risk, CAPM, Quantitative, Hedge, Capital, risk budgeting

7.

Chaos and Bifurcation in 2007-08 Financial Crisis

Number of pages: 21 Posted: 13 Dec 2009 Last Revised: 08 Oct 2010
Youngna Choi and Raphael Douady
Montclair State University - Department of Mathematical Sciences and CES Univ. Paris 1
Downloads 240 (139,418)

Abstract:

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systemic risk, systemic crisis, econophysics, macroeconomics, bifurcation, system stability, chaos

8.

The Whys of the LOIS: Credit Risk and Refinancing Rate Volatility

Number of pages: 10 Posted: 28 Jul 2012 Last Revised: 20 Aug 2012
Raphael Douady and Stéphane Crépey
CES Univ. Paris 1 and Université d'Évry - Equipe d'Analyse et Probabilites
Downloads 184 (178,860)
Citation 1

Abstract:

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LIBOR, OIS, LOIS, Multiple-Curve, Credit, Liquidity, Interest Rate Spread, Equilibrium, Fixed-income Moldeling, Funding Cost, Treasury Management, CVA

9.

A Non-Cyclical Capital Adequacy Rule and the Aversion of Systemic Risk

Number of pages: 8 Posted: 29 May 2010
Raphael Douady
CES Univ. Paris 1
Downloads 144 (220,310)

Abstract:

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Capital Adequacy, Value-at-Risk, Risk based Capital, Basel II Accords, Compliance

10.

Yield Curve Smoothing and Residual Variance of Fixed Income Positions

Number of pages: 42 Posted: 23 Dec 2009
Raphael Douady
CES Univ. Paris 1
Downloads 133 (234,728)
Citation 2

Abstract:

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Interest Rate Models, Arbitrage Theory, Infinite Dimensional Term-structure Models, Quasi-arbitrage

11.

Extreme Risk, Excess Return and Leverage: The LP Formula

Number of pages: 27 Posted: 24 Oct 2014 Last Revised: 27 Nov 2014
Olivier Le Marois, Julie Mikhalevsky and Raphael Douady
fluks, Fédéris Gestion d’Actifs and CES Univ. Paris 1
Downloads 119 (255,378)

Abstract:

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asset allocation, extreme risk, CAPM, risk budgeting, equilibrium

12.

Repurchase Agreements and the European Sovereign Debt Crises: The Role of European Clearinghouses

Number of pages: 37 Posted: 06 Oct 2017 Last Revised: 04 Nov 2017
University of Paris 1 Pantheon-Sorbonne - Laboratoire PRISM, CES Univ. Paris 1, University Paris 1 Panthéon - Sorbonne, PRISM Sorbonne & Labex ReFi and European University Institute
Downloads 64 (374,820)
Citation 1

Abstract:

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Repo, Haircut, CCP, Systemic Risk, Sovereign Debt Crisis

13.

'Time Suspended' A Self-Organizing Solution to Ensure the Economic Recovery

Number of pages: 8 Posted: 30 Jun 2020 Last Revised: 24 Jul 2020
Luca Donà and Raphael Douady
Independent and CES Univ. Paris 1
Downloads 32 (496,977)

Abstract:

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COVID-19, stimulus, economic crisis

14.

The Volatility of Low Rates

Number of pages: 11 Posted: 20 Jul 2020
Raphael Douady
CES Univ. Paris 1
Downloads 16 (598,402)

Abstract:

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Interest rate models, fixed income volatility, LIBOR, fixed income option pricing, financial risk

15.

Sabr Type Stochastic Volatility Operator in Hilbert Space

Number of pages: 23 Posted: 24 Jul 2020
Raphael Douady and Zeyu Cao
CES Univ. Paris 1 and State University of New York (SUNY) - Department of Applied Mathematics and Statistics
Downloads 4 (676,094)

Abstract:

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Interest Rate Modeling, Stochastic Volatility Operator, Hilbert Space

16.

The StressVaR: A New Risk Concept for Extreme Risk and Fund Allocation

Posted: 22 May 2019
Cyril Coste, Raphael Douady and Ilija I. Zovko
Riskdata S.A., CES Univ. Paris 1 and affiliation not provided to SSRN

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Risk management, Hedge funds, Factor models, Asset allocation, Hedge fund risk

17.

Managing the Downside of Active and Passive Strategies: Convexity and Fragilities

The Journal of Portfolio Management November 2019, 46 (1) 25-37; DOI: https://doi.org/10.3905/jpm.2019.1.112
Posted: 01 Apr 2019
Raphael Douady
CES Univ. Paris 1

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active investment, portfolio construction, financial crises, speculative bubbles, liquidity crises, convexity, antifragility