Julian M. Williams

Durham Business School

Mill Hill Lane

Durham, Durham DH1 3LB

United Kingdom

SCHOLARLY PAPERS

25

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Scholarly Papers (25)

Credit Derivatives and the Default Risk of Large Complex Financial Institutions

Number of pages: 64 Posted: 13 Aug 2009
Christos Ioannidis, Julian M. Williams and Giovanni Calice
University of Bath-Department of Economics, Durham Business School and Loughborough University
Downloads 282 (107,297)

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distance to default, credit derivatives, credit default swap index, financial stability

Credit Derivatives and the Default Risk of Large Complex Financial Institutions

Finlawmetrics 2010 Conference Paper
Number of pages: 64 Posted: 14 Jan 2010
Giovanni Calice, Christos Ioannidis and Julian M. Williams
Loughborough University, University of Bath-Department of Economics and Durham Business School
Downloads 190 (159,261)
Citation 1

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distance to default, credit derivatives, credit default swap index, financial stability

Credit Derivatives and the Default Risk of Large Complex Financial Institutions

Paolo Baffi Centre Research Paper No. 2009-75
Number of pages: 65 Posted: 21 Jul 2010 Last Revised: 13 Feb 2011
Giovanni Calice, Christos Ioannidis and Julian M. Williams
Loughborough University, University of Bath-Department of Economics and Durham Business School
Downloads 187 (161,610)
Citation 1

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distance to default, credit derivatives, credit default swap index, financial stability

Credit Derivatives and the Default Risk of Large Complex Financial Institutions

Number of pages: 54 Posted: 03 Mar 2011
Giovanni Calice, Christos Ioannides and Julian M. Williams
Loughborough University, University of Bath - Department of Economics and Durham Business School
Downloads 79 (310,683)

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distance to default, credit derivatives, credit default swap index, financial stability

2.

Decentralized Financial Intermediation Beyond Blockchains

Number of pages: 32 Posted: 21 Jun 2016 Last Revised: 23 Sep 2018
Fabio Massacci, Chan-Nam Ngo and Julian M. Williams
DISI - University of Trento, University of Trento and Durham Business School
Downloads 537 (50,619)
Citation 2

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Blockchain, Byzantine Fault Tolerance, Distributed Payment Transaction Network, Smart Contract, Derivative Contracts as Programs

3.

Credit Risk Transfer and the Forecasting of Bank Defaults

Number of pages: 61 Posted: 21 Mar 2009 Last Revised: 13 Jul 2009
Giovanni Calice, Christos Ioannidis and Julian M. Williams
Loughborough University, University of Bath-Department of Economics and Durham Business School
Downloads 501 (55,296)

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Banks, Distance to Default, Credit Derivatives, Mutlivariate Volatility

Liquidity Spillovers in Sovereign Bond and CDS Markets: An Analysis of The Eurozone Sovereign Debt Crisis

Paolo Baffi Centre Research Paper No. 2011-105
Number of pages: 48 Posted: 29 Jul 2011 Last Revised: 09 Oct 2017
Giovanni Calice, Jing Chen and Julian M. Williams
Loughborough University, Cardiff University - School of Mathematics and Durham Business School
Downloads 387 (74,998)
Citation 11

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credit derivatives, liquidity, sovereign bonds, credit spreads

Liquidity Spillovers in Sovereign Bond and CDs Markets: An Analysis of the Eurozone Sovereign Debt Crisis

Number of pages: 69 Posted: 20 Dec 2011 Last Revised: 21 Jan 2012
Giovanni Calice, Jing Chen and Julian M. Williams
Loughborough University, Cardiff University - School of Mathematics and Durham Business School
Downloads 97 (272,572)
Citation 1

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Credit Default Swaps, Liquidity, Sovereign Bonds, Credit Spreads

5.

Static and Dynamic Asset Allocation with Higher Moments

Number of pages: 14 Posted: 05 Jan 2007
Julian M. Williams and Christos Ioannidis
Durham Business School and University of Bath-Department of Economics
Downloads 359 (82,576)
Citation 1

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Higher Moments, Asset Allocation, Portfolio Selection, Utility Theory

6.

Hansen-Scheinkman Factorization and Ross Recovery from Option Panels

Number of pages: 75 Posted: 25 May 2016 Last Revised: 31 Mar 2019
Fabio Massacci, Julian M. Williams and Yang Zhang
DISI - University of Trento, Durham Business School and Northwestern University
Downloads 233 (131,315)
Citation 4

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Option pricing, Markov chain, Non-linear programming, Stochastic Discount Factor

7.

Are There Benefits to Being Naked?

Number of pages: 54 Posted: 16 Jan 2011 Last Revised: 08 Feb 2011
Giovanni Calice, Jing Chen and Julian M. Williams
Loughborough University, Cardiff University - School of Mathematics and Durham Business School
Downloads 228 (134,161)

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Capital Structure Arbitrage, Credit Default Swaps, Portfolio Management

8.

Unruly Innovation: Distributed Ledgers, Blockchains and the Protection of Transactional Rents

Number of pages: 39 Posted: 22 Dec 2016
Karen Elliott, Fabio Massacci, Chan-Nam Ngo and Julian M. Williams
University of Newcastle - Business School, DISI - University of Trento, University of Trento and Durham Business School
Downloads 212 (143,836)
Citation 2

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Disruptive Innovation, Combinatorial Innovation, Smart Contracts and crypto currencies, Theory of the firm

9.

Multivariate Asset Price Dynamics with Stochastic Covariation

Number of pages: 13 Posted: 18 Jan 2007
Julian M. Williams and Christos Ioannidis
Durham Business School and University of Bath-Department of Economics
Downloads 202 (150,502)

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Stochastic Volatility, Multivariate Pricing Models, Hedging

10.

How Predictable are Equity Covariance Matrices? Evidence from High Frequency Data for Four Markets

Number of pages: 48 Posted: 31 Jul 2012
Jing Chen, Julian M. Williams and Mike Buckle
Cardiff University - School of Mathematics, Durham Business School and University of Wales, Swansea - School of Business and Economics
Downloads 182 (165,663)

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Realized Covariance, Microstructure, Wishart Distribution

Regulatory Changes, Market Integration and Spill-Over Effects in the Chinese A, B and Hong Kong Equity Markets

Number of pages: 54 Posted: 08 Dec 2009
Jing Chen, Roger Buckland and Julian M. Williams
Cardiff University - School of Mathematics, University of Aberdeen - Business School and Durham Business School
Downloads 116 (240,310)
Citation 1

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Chinese Equity Markets, Segmentation, Co-integration, Spill-over

Regulatory Changes, Market Integration and Spill-Over Effects in the Chinese A, B and Hong Kong Equity Markets

Finance and Corporate Governance Conference 2010 Paper
Number of pages: 54 Posted: 07 Dec 2009
Roger Buckland, Julian M. Williams and Jing Chen
University of Aberdeen - Business School, Durham Business School and Cardiff University - School of Mathematics
Downloads 65 (347,244)
Citation 3

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Chinese Equity Markets, Segmentation, Co-integration, Spill-over

12.

The Importance of Jumps in Modelling Volatility During the 2008 Financial Crisis

Number of pages: 33 Posted: 30 Jul 2012
Jing Chen, Julian M. Williams, Angela J. Black and Oleg Gustap
Cardiff University - School of Mathematics, Durham Business School, University of Aberdeen - Business School and Nutmeg Saving and Investment Limited
Downloads 158 (187,354)
Citation 1

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Autoregressive Jump Models, GARCH, Volatility, Option Pricing

13.

LIBOR Manipulation and Detecting Informed Trading Evidence from the Interest Rate Derivatives Market

Number of pages: 26 Posted: 04 Nov 2016 Last Revised: 20 Jan 2017
Pongsutti Phuensane and Julian M. Williams
Khon Kaen Business School and Durham Business School
Downloads 135 (213,142)

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Microstructure, Informed Trading, PIN, LIBOR Manipulation, Market Manipulation, Financial Economics, Law and Economics, Eurodollar

14.

The Work-Averse Cyber Attacker Model: Theory and Evidence From Two Million Attack Signatures

Number of pages: 36 Posted: 01 Nov 2016 Last Revised: 28 Jun 2017
Luca Allodi, Fabio Massacci and Julian M. Williams
Eindhoven University of Technology, DISI - University of Trento and Durham Business School
Downloads 124 (227,655)
Citation 1

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Cyber Security, Dynamic Programming, Malware Production, Risk Management

15.

Realised Higher Moments: Theory and Practice

Number of pages: 33 Posted: 31 Jul 2012
Jing Chen, Mike Buckle and Julian M. Williams
Cardiff University - School of Mathematics, University of Wales, Swansea - School of Business and Economics and Durham Business School
Downloads 124 (227,655)

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Higher Moments, Asset Allocation, Portfolio Management, Co-movement

16.

Credit Derivates and the Default Risk of Large Complex Financial Institutions

CESifo Working Paper Series No. 3583
Number of pages: 46 Posted: 23 Sep 2011
Giovanni Calice, Christos Ioannidis and Julian M. Williams
Loughborough University, University of Bath-Department of Economics and Durham Business School
Downloads 121 (231,850)

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distance of default, credit derivatives, credit default swap index, financial stability

17.

The Information Content of Option Implied Moments and Co-Moments: Extended Abstract

Number of pages: 9 Posted: 24 Apr 2017
Julian M. Williams and Yang Zhang
Durham Business School and Northwestern University
Downloads 119 (234,759)

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Asset Pricing, Risk Neutral Moments, Correlation Risk, Higher-Order CAPM, Higher Moments and Co-Moments

18.

Term-Structure Analysis of Hidden Order in the Limit Order Book: Evidence from the E-Mini S&P 500

Number of pages: 47 Posted: 26 Oct 2016
Pongsutti Phuensane and Julian M. Williams
Khon Kaen Business School and Durham Business School
Downloads 114 (242,198)

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Hidden Order, Microstructure, Term-Structure

19.

Order Flow Toxicity and Informed Trading around Known Market Manipulation Events: Evidence from Interest Rate Futures

Number of pages: 63 Posted: 12 Jul 2016
Pongsutti Phuensane and Julian M. Williams
Khon Kaen Business School and Durham Business School
Downloads 111 (246,811)
Citation 1

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Microstructure, Informed Trading, PIN, VPIN, LIBOR Manipulation, Eurodollar, Market Manipulation, Financial Economics, Law and Economics

20.

Option Implied Measures of Systemic Risk in the US Financial Sector: Operator and Quadrature Measures of Extreme Events

Number of pages: 43 Posted: 15 Dec 2016 Last Revised: 02 May 2017
Yang Zhang, Valentina Lagasio, Marina Brogi and Julian M. Williams
Northwestern University, Sapienza University, University of Rome I - Dipartimento Banche Assicurazioni Mercati and Durham Business School
Downloads 104 (258,340)

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Systemic Risk, Correlation Risk, CLASS Model, Contingent Pricing

21.

Econometric Identification of Foreign Exchange Options Volatility Surfaces Recovering Foreign Exchange Option Prices from Spot Price Dynamics

Number of pages: 63 Posted: 08 Nov 2016 Last Revised: 29 May 2017
Julian Cook, Dennis Philip, Handing Sun and Julian M. Williams
BGC Partners, Inc. - Fenics Software Limited, Durham University - Department of Economics and Finance, Durham Business School and Durham Business School
Downloads 92 (280,048)

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OTC FX Options, Calibration, Volatility Surface, Implied Volatility

22.

A Tale of Two Market Microstructures: Spillovers of Informed Trading and Liquidity for Cross Listed Chinese A and B Shares

Number of pages: 65 Posted: 17 Jan 2011 Last Revised: 15 Feb 2011
Jing Chen, Julian M. Williams and Roger Buckland
Cardiff University - School of Mathematics, Durham Business School and University of Aberdeen - Business School
Downloads 90 (284,083)
Citation 3

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Microstructure, Time Varying Vector Autoregression, Informed Trading

23.

Was There Informed Trading in LIBOR Referenced Interest Rate Futures?

Number of pages: 49 Posted: 04 Nov 2016
Pongsutti Phuensane and Julian M. Williams
Khon Kaen Business School and Durham Business School
Downloads 49 (392,121)

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Marketmicrostructure, Informed Trading, PIN, LIBOR Manipulation, Eurodollar, Market Manipulation, Financial Economics, Law and Economics

24.

Who Should Pay for Interdependent Risk? Policy Implications for Cyber-Physical Security Interdependence in Aviation

Number of pages: 29 Posted: 17 Dec 2018
Gabriel M. Kuper, Fabio Massacci, Woohyun Shim and Julian M. Williams
University of Trento, DISI - University of Trento, University of Trento and Durham Business School
Downloads 25 (493,907)

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Risk Analysis, Game Theory, Cyber Security, Interdependence

25.

Knowledge Protection in Firms: Theory and Evidence from HP Labs

Posted: 15 Apr 2016 Last Revised: 20 Sep 2019
University of Newcastle - Business School, University of East Anglia (UEA) - Norwich Business School, Independent and Durham Business School

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Secrecy, information security, organization design, trust, innovation, appropriability mechanisms