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

DOWNLOADS
Rank 11,305

SSRN RANKINGS

Top 11,305

in Total Papers Downloads

4,090

CITATIONS
Rank 26,976

SSRN RANKINGS

Top 26,976

in Total Papers Citations

9

Scholarly Papers (14)

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 795 (29,430)
Citation 2

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 565 (46,588)
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
Moscow State University, Riskdata and University of North Carolina (UNC) at Charlotte
Downloads 519 (51,890)

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 498 (54,625)
Citation 2

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 Riskdata
Downloads 323 (91,409)
Citation 2

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 Riskdata
Downloads 312 (94,975)

Abstract:

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

7.

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

Number of pages: 28 Posted: 01 Apr 2019
Raphael Douady
Riskdata
Downloads 241 (124,683)

Abstract:

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

8.

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 229 (131,207)

Abstract:

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

9.

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 173 (170,297)
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

10.

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

Number of pages: 8 Posted: 29 May 2010
Raphael Douady
Riskdata
Downloads 141 (202,075)

Abstract:

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

11.

Yield Curve Smoothing and Residual Variance of Fixed Income Positions

Number of pages: 42 Posted: 23 Dec 2009
Raphael Douady
Riskdata
Downloads 127 (219,604)
Citation 2

Abstract:

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

12.

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 115 (236,554)

Abstract:

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

13.

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 52 (375,152)
Citation 1

Abstract:

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

14.

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., Riskdata and affiliation not provided to SSRN

Abstract:

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