Raphael Douady

Riskdata

Research Director

6, rue de l'Amiral Coligny

Paris, 75001

France

http://www.riskdata.com

Stony Brook university

Professor

Stony Brook, NY 11794

United States

CES Univ. Paris 1

Research

106 bv de l'Hôpital

Paris, 75013

France

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 10,867

SSRN RANKINGS

Top 10,867

in Total Papers Downloads

3,725

CITATIONS
Rank 27,100

SSRN RANKINGS

Top 27,100

in Total Papers Citations

9

Scholarly Papers (12)

1.

On Measuring Hedge Fund Risk

Number of pages: 12 Posted: 28 Mar 2008 Last Revised: 16 Apr 2008
Moscow State University, Riskdata and University of North Carolina (UNC) at Charlotte
Downloads 731 (26,579)
Citation 1

Abstract:

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Gussian copula, hedge fund replication, hedge fund risk

2.

On Measuring Nonlinear Risk with Scarce Observations

Number of pages: 19 Posted: 31 Mar 2008 Last Revised: 22 Jun 2016
Moscow State University, Riskdata and University of North Carolina (UNC) at Charlotte
Downloads 466 (46,938)
Citation 2

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

3.

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

Number of pages: 21 Posted: 19 Nov 2009 Last Revised: 21 Sep 2010
Cyril Coste, Raphael Douady and Ilija I. Zovko
Riskdata S.A., Riskdata and affiliation not provided to SSRN
Downloads 395 (55,371)

Abstract:

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

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 Riskdata
Downloads 387 (50,736)
Citation 1

Abstract:

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

5.

Bermudan Option Pricing with Monte-Carlo Methods

Number of pages: 20 Posted: 23 Dec 2009
Raphael Douady
Riskdata
Downloads 341 (51,287)
Citation 1

Abstract:

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Term structure models, Bermudan options, Monte-Carlo pricing

6.

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 Riskdata
Downloads 243 (87,494)
Citation 2

Abstract:

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

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 Riskdata
Downloads 189 (121,369)

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 Stephane Crepey
Riskdata and Université d'Évry - Math Department
Downloads 138 (156,025)

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
Riskdata
Downloads 126 (184,398)

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
Riskdata
Downloads 102 (208,596)
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 Riskdata
Downloads 63 (222,706)

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, Riskdata, University Paris 1 Panthéon - Sorbonne, PRISM Sorbonne & Labex ReFi and European University Institute
Downloads 0 (425,665)

Abstract:

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