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Raphael DOUADY



Crisis risk prediction with concavity from Polymodel

Raphaël Douady , Yao Kuang
Journal of Dynamics and Games, 2022
Journal articles hal-03512676v1

Has the Market Started to Collapse or Will It Resist?

Yao Kuang , Raphaël Douady
Stats, 2022, Feature Paper Special Issue: Quantitative Finance, 5 (2), pp.401-407. ⟨10.3390/stats5020023⟩
Journal articles hal-03929240v1

Tempered stable processes with time-varying exponential tails

Raphaël Douady , Young Shin Kim , Kum-Hwan Roh
Quantitative Finance, 2021, pp.1-21. ⟨10.1080/14697688.2021.1962958⟩
Journal articles hal-03512709v1
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A comparison of wealth inequality in humans and non-humans

Ivan D Chase , Raphaël Douady , Dianna K Padilla
Physica A: Statistical Mechanics and its Applications, 2020, 538, pp.122962. ⟨10.1016/j.physa.2019.122962⟩
Journal articles hal-03018472v1
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Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel

Xingxing Ye , Raphaël Douady
Journal of Risk and Financial Management, 2019, 12 (1), pp.2. ⟨10.3390/jrfm12010002⟩
Journal articles hal-02488592v1
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Managing the Downside of Active and Passive Strategies: Convexity and Fragilities

Raphaël Douady
Journal of portfolio management, 2019, 46 (1), pp.25-37. ⟨10.3905/jpm.2019.1.112⟩
Journal articles hal-02488589v1

An empirical approach to financial crisis indicators based on random matrices

Raphaël Douady , Antoine Kornprobst
International Journal of Theoretical and Applied Finance, 2018, 21 (03), pp.1850022. ⟨10.1142/S021902491850022X⟩
Journal articles hal-03265045v1

Bank Regulation, Risk and Return: Evidence from the Credit and Sovereign Debt Crises

Hafiz Hoque , Dimitris Andriosopoulos , Kostas Andriosopoulos , Raphaël Douady
Journal of Banking and Finance, 2015, 50, pp.455-474
Journal articles hal-01161670v1
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On the Super-Additivity and Estimation Biases of Quantile Contributions

Nassim Nicholas Taleb , Raphaël Douady
Physica A: Statistical Mechanics and its Applications, 2015, 429, pp.252-260. ⟨10.1016/j.physa.2015.02.038⟩
Journal articles hal-02488594v1

The Whys of the LOIS: Credit Skew and Funding Rates Volatility

Stéphane Crépey , Raphaël Douady
Bloomberg Brief / Risk, 2013, pp.6-7
Journal articles hal-01477891v1

Mathematical Definition, Mapping, and Detection of (Anti)fragility

N. N. Taleb , Raphaël Douady
Quantitative Finance, 2013, 13 (11), pp.1677-1689. ⟨10.1080/14697688.2013.800219⟩
Journal articles hal-01052645v1

Lois: credit and liquidity

Stéphane Crépey , Raphaël Douady
Risk Magazine, 2013
Journal articles hal-01477998v1

Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator

Youngna Choi , Raphaël Douady
Quantitative Finance, 2012, 12 (9), pp.1351-1365. ⟨10.1080/14697688.2011.627880⟩
Journal articles hal-00666245v1

The Stress VaR: A New Risk Concept for Extreme Risk and Fund Allocation

Cyril Coste , Raphaël Douady , Ilija I. Zovko
Journal of Alternative Investments, 2011, 13 (3), pp.10-23. ⟨10.3905/jai.2011.13.3.010⟩
Journal articles hal-00666234v1
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The StressVaR: A New Risk Concept for Extreme Risk and Fund Allocation

Cyril Coste , Raphaël Douady , Ilija I Zovko
The Journal of Alternative Investments, 2010, 13 (3), pp.10-23. ⟨10.3905/jai.2011.13.3.010⟩
Journal articles hal-02488591v1
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Claude Bardos , Raphaël Douady , Andrei Fursikov
ESAIM: Control, Optimisation and Calculus of Variations, 2002, 8, pp.127-142. ⟨10.1051/cocv:2002040⟩
Journal articles hal-01477102v1

On Probability Characteristics of "Downfalls" in a Standard Brownian Motion

Raphaël Douady , A.N. Shiryaev , Marc Yor
Theory of Probability and Its Applications c/c of Teoriia Veroiatnostei i Ee Primenenie, 2000, 44 (1), pp.29-38. ⟨10.1137/S0040585X97977306⟩
Journal articles hal-01477104v1

Repurchase Agreements and the European Sovereign Debt Crises: The Role of European Clearinghouses

Angela Armakola , Raphaël Douady , Jean-Paul Laurent
Sabri Boubaker; Duc Khuong Nguyen. Handbook of Global Financial Markets. Transformations, Dependence, and Risk Spillovers, World Scientific, pp.467-492, 2019, 978-981-3236-64-6. ⟨10.1142/9789813236653_0018⟩
Book sections hal-03265036v1

Capital Adequacy, Pro-cyclicality and Systemic Risk

Raphaël Douady
Alain Bensoussan; Dominique Guégan; Charles S. Tapiero. Future Perspectives in Risk Models and Finance, 211, Springer International Publishing, pp.137-148, 2015, International Series in Operations Research & Management Science, 978-3-319-07524-2. ⟨10.1007/978-3-319-07524-2⟩
Book sections hal-01478320v1

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

Raphaël Douady
Christian de Boissieu; François-Gilles Le Theule; Paolo Bailo. Comment la régulation financière peut-elle sortir l’Europe de la crise ?, ENA éditions, 2014, Professionnels De L'europe, 9782111385320
Book sections hal-01478302v1

Modèles mathématiques et crise financière

Raphaël Douady
Daniel Justens. Mathématiques : de l'esthétique à l'éthique. Une dimension insoupçonnée, 51, Editions Pôle Paris, pp.134-139, 2014, Bibliothèque Tangente, 2-8488-4168-0
Book sections hal-01479099v1

Yield Curve Smoothing and Residual Variance of Fixed Income Positions

Raphaël Douady
Y. Kabanov, M. Rutkowski, T. Zariphopoulou. Inspired by Finance. The Musiela Festschrift, Springer, pp.221-256, 2013, 978-3-319-02069-3. ⟨10.1007/978-3-319-02069-3_10⟩
Book sections hal-00666751v1

Financial Crisis and Contagion: A Dynamical Systems Approach

Youngna Choi , Raphaël Douady
Jean-Pierre Fouque, Joseph A. Langsam. Handbook on systemic risk, Cambridge University Press, pp.453-480, 2013, 9781107023437. ⟨10.1017/CBO9781139151184.024⟩
Book sections hal-00666752v1