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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

14

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Rank 1,504

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Top 1,504

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16,701

CITATIONS
Rank 24,165

SSRN RANKINGS

Top 24,165

in Total Papers Citations

11

Scholarly Papers (14)

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1.

Mathematical Definition, Mapping, and Detection of (Anti)Fragility

Quantitative Finance, Forthcoming
Number of pages: 19 Posted: 06 Aug 2012 Last Revised: 04 Apr 2014
Nassim Nicholas Taleb and Raphael Douady
NYU-Tandon School of Engineering and Riskdata
Downloads 5,178 (920)
Citation 2

Abstract:

Fragility, Risk Management, Stress Testing, Model Error, Black Swans

2.

Statistical Undecidability

Number of pages: 3 Posted: 14 Oct 2010 Last Revised: 28 Dec 2015
Raphael Douady and Nassim Nicholas Taleb
Riskdata and NYU-Tandon School of Engineering
Downloads 4,655 (879)

Abstract:

3.

On the Super-Additivity and Estimation Biases of Quantile Contributions

Physica A: Statistical Mechanics and Applications, Forthcoming, NYU Tandon Research Paper No. 2434363
Number of pages: 6 Posted: 09 May 2014 Last Revised: 27 Jun 2017
Nassim Nicholas Taleb and Raphael Douady
NYU-Tandon School of Engineering and Riskdata
Downloads 1,504 (8,204)

Abstract:

Risk, Inequality, Statistics

4.

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 731 (25,858)
Citation 1

Abstract:

Gussian copula, hedge fund replication, hedge fund risk

5.

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 466 (45,997)
Citation 2

Abstract:

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

6.

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 (54,189)

Abstract:

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

7.

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 (49,737)
Citation 1

Abstract:

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

8.

Bermudan Option Pricing with Monte-Carlo Methods

Number of pages: 20 Posted: 23 Dec 2009
Raphael Douady
Riskdata
Downloads 341 (51,569)
Citation 1

Abstract:

Term structure models, Bermudan options, Monte-Carlo pricing

9.

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 (86,991)
Citation 2

Abstract:

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

10.

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 (121,106)

Abstract:

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

11.

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 (151,849)

Abstract:

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

12.

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 (178,452)

Abstract:

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

13.

Yield Curve Smoothing and Residual Variance of Fixed Income Positions

Number of pages: 42 Posted: 23 Dec 2009
Raphael Douady
Riskdata
Downloads 102 (204,633)
Citation 2

Abstract:

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

14.

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 (224,618)

Abstract:

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

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