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

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3,931

CITATIONS
Rank 26,897

SSRN RANKINGS

Top 26,897

in Total Papers Citations

9

Scholarly Papers (12)

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1.

On Measuring Hedge Fund Risk

Number of pages: 12 Posted: 28 Mar 2008 Last Revised: 16 Apr 2008
Alexander S. Cherny, Raphael Douady and Stanislav A. Molchanov
Moscow State University, Riskdata and University of North Carolina (UNC) at Charlotte
Downloads 790 (28,576)
Citation 1

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
Riskdata
Downloads 534 (48,067)
Citation 1

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
Alexander S. Cherny, Raphael Douady and Stanislav A. Molchanov
Moscow State University, Riskdata and University of North Carolina (UNC) at Charlotte
Downloads 515 (50,400)
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

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 492 (53,299)
Citation 1

Abstract:

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

5.

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 465 (57,279)

Abstract:

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

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 320 (88,978)
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 226 (128,230)

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 169 (167,764)

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 140 (196,368)

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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 122 (218,679)
Citation 2

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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 112 (232,920)

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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
Angela Armakolla, Raphael Douady, Jean-Paul Laurent and Francesco Molteni
University of Paris 1 Pantheon-Sorbonne - Laboratoire PRISM, Riskdata, University Paris 1 Panthéon - Sorbonne, PRISM Sorbonne & Labex ReFi and European University Institute
Downloads 46 (382,489)

Abstract:

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