Browsing by Author "Wagalath, Lakshithe"
Now showing items 1-8 of 8
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A LIQUIDATION RISK ADJUSTMENT FOR VALUE AT RISK AND EXPECTED SHORTFALL
Wagalath, Lakshithe; Zubelli, JorgeInternational Journal of Theoretical and Applied Finance, World Scientific Publishing, 03-06-2018, 21; 03, 1850010Article dans une revue scientifique -
Évaluation du risque systémique bancaire
Braouezec, Yann; Wagalath, LakshitheBanque Stratégie, Retail banker international, 2016, 346Article dans une revue scientifique -
Feedback effects and endogenous risk in financial markets
Wagalath, LakshitheFinance, Presses universitaires de Grenoble, 02-2016, 37, 39-74Article dans une revue scientifique -
INSTITUTIONAL INVESTORS AND THE DEPENDENCE STRUCTURE OF ASSET RETURNS
Cont, Rama; Wagalath, LakshitheInternational Journal of Theoretical and Applied Finance, World Scientific Publishing, 03-2016, 19; 02, 1650010Article dans une revue scientifiquefulltext -
LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS
Wagalath, LakshitheInternational Journal of Theoretical and Applied Finance, World Scientific Publishing, 02-2017, 20; 01Article dans une revue scientifique -
Pour des stress-tests bancaires réglementaires plus transparents
Braouezec, Yann; Wagalath, LakshitheRevue Banque, Revue Banque édition, 23-02-2018, 818, 50-54Article dans une revue scientifique -
Risk-Based Capital Requirements and Optimal Liquidation in a Stress Scenario*
Braouezec, Yann; Wagalath, LakshitheReview of Finance, Oxford University Press (OUP): Policy F - Oxford Open Option D, 01-03-2018, 22; 2, 747-782Article dans une revue scientifiquefulltext -
Strategic fire-sales and price-mediated contagion in the banking system
Braouezec, Yann; Wagalath, LakshitheEuropean Journal of Operational Research, Elsevier, 05-2019, 274; 3, 1180-1197Article dans une revue scientifique