Dimitris Karyampas

ICMA, University of Reading

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 9,665

SSRN RANKINGS

Top 9,665

in Total Papers Downloads

3,885

CITATIONS
Rank 40,188

SSRN RANKINGS

Top 40,188

in Total Papers Citations

4

Scholarly Papers (7)

1.

A Sound Basel III Compliant Framework for Backtesting Credit Exposure Models

Number of pages: 25 Posted: 14 May 2013 Last Revised: 16 Apr 2014
Fabrizio Anfuso, Dimitris Karyampas and Andreas P. Nawroth
Credit Suisse Securities (Europe) Limited, ICMA, University of Reading and Credit Suisse AG
Downloads 663 (16,445)

Abstract:

Backtesting, Capital Requirements, Basel 3, Exposure Models

2.

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

Number of pages: 13 Posted: 03 May 2014 Last Revised: 16 Jan 2016
Dimitris Karyampas and Fabrizio Anfuso
ICMA, University of Reading and Credit Suisse Securities (Europe) Limited
Downloads 581 (12,549)

Abstract:

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

3.

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

Econometric Reviews, Forthcoming
Number of pages: 25 Posted: 18 Nov 2009 Last Revised: 08 May 2014
Álvaro Cartea and Dimitris Karyampas
University of Oxford and ICMA, University of Reading
Downloads 443 (42,508)
Citation 1

Abstract:

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

4.

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 ICMA, University of Reading
Downloads 368 (55,423)
Citation 2

Abstract:

5.

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 ICMA, University of Reading
Downloads 286 (74,640)
Citation 1

Abstract:

volatility, high-frequency data, jumps, microstructure noise

6.

Credit Limits, Stress Testing and Model Risk for Capital Metrics

Number of pages: 14 Posted: 12 Mar 2016
Global Valuation, Credit Suisse Securities (Europe) Limited, Global Valuation Ltd and ICMA, University of Reading
Downloads 0 (150,910)

Abstract:

KVA, PFE, credit limits, stress testing

7.

Forecasting the Equity Risk Premium: Predictability versus Profitability

Number of pages: 41 Posted: 19 Jan 2016 Last Revised: 23 Nov 2016
Nick Baltas and Dimitris Karyampas
Imperial College Business School and ICMA, University of Reading
Downloads 0 (103,999)

Abstract:

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