Dimitris Karyampas

Bocconi University

Via Sarfatti, 25

Milan, MI 20136

Italy

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 13,052

SSRN RANKINGS

Top 13,052

in Total Papers Downloads

7,031

SSRN CITATIONS

10

CROSSREF CITATIONS

4

Scholarly Papers (8)

1.

A Sound Basel III Compliant Framework for Backtesting Credit Exposure Models

Risk, August 2014
Number of pages: 25 Posted: 14 May 2013 Last Revised: 30 Aug 2017
Fabrizio Anfuso, Dimitris Karyampas and Andreas Nawroth
PRA, Bank Of England, Bocconi University and Credit Suisse AG
Downloads 1,973 (15,583)
Citation 6

Abstract:

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Backtesting, Capital Requirements, Basel 3, Exposure Models

2.

The SA-CCR for Counterparty Credit Risk Exposure - An Analysis from Risk and Pricing Perspectives

Risk, June 2015
Number of pages: 13 Posted: 03 May 2014 Last Revised: 30 Aug 2017
Dimitris Karyampas and Fabrizio Anfuso
Bocconi University and PRA, Bank Of England
Downloads 1,692 (19,887)
Citation 1

Abstract:

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SA-CCR, OTC, IMM, Capital, Counterparty Credit Risk, Initial Margin

3.

Forecasting the Equity Risk Premium: The Importance of Regime-Dependent Evaluation

Journal of Financial Markets, Volume 38, March 2018, Pages 83-102
Number of pages: 49 Posted: 19 Jan 2016 Last Revised: 22 Sep 2020
Nick Baltas, Nick Baltas and Dimitris Karyampas
Imperial College Business SchoolGoldman Sachs International and Bocconi University
Downloads 905 (49,460)
Citation 2

Abstract:

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quity risk premium, predictability, out-of-sample forecasting, economic constraints, predictive regression, asset allocation, business cycles, profitability, trading strategies

4.

The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets

Econometric Reviews, Vol. 35 , Iss. 6,2016
Number of pages: 25 Posted: 18 Nov 2009 Last Revised: 30 Aug 2017
Álvaro Cartea and Dimitris Karyampas
University of Oxford and Bocconi University
Downloads 668 (74,060)
Citation 1

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volatility forecasts, high-frequency data, implied volatility, VIX, jumps, microstructure noise

5.

Volatility and Covariation of Financial Assets: A High-Frequency Analysis

Journal of Banking and Finance 35(12), December 2011, p 3319-3334
Number of pages: 52 Posted: 11 Feb 2009 Last Revised: 11 Mar 2013
Álvaro Cartea and Dimitris Karyampas
University of Oxford and Bocconi University
Downloads 540 (96,831)
Citation 1

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6.

Deep Replication

Number of pages: 65 Posted: 04 Mar 2020 Last Revised: 07 Feb 2023
Antoine Didisheim, Dimitris Karyampas and Simon Scheidegger
The University of Melbourne, Bocconi University and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 461 (117,224)
Citation 1

Abstract:

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Deep Learning, Agent Preferences, Risk Aversion, Volatility Smile, Asset Pricing

7.

Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis

Applied Mathematical Finance, Volume 19, Issue 6, 2012, 535-552
Number of pages: 23 Posted: 10 Jan 2012 Last Revised: 11 Mar 2013
Álvaro Cartea and Dimitris Karyampas
University of Oxford and Bocconi University
Downloads 423 (129,633)
Citation 1

Abstract:

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volatility, high-frequency data, jumps, microstructure noise

8.

Credit Limits, Stress Testing and Model Risk for Capital Metrics

Number of pages: 14 Posted: 12 Mar 2016
Global Valuation, PRA, Bank Of England, Global Valuation Ltd and Bocconi University
Downloads 369 (151,309)

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KVA, PFE, credit limits, stress testing