Raphael DOUADY

Publications

Article dans une revue (17)

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⟩ Article dans une revue hal-03929240v1
Crisis risk prediction with concavity from Polymodel Raphaël Douady,Yao Kuang Journal of Dynamics and Games, 2022 Article dans une revue hal-03512676v1
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⟩ Article dans une revue hal-03512709v1
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⟩ Article dans une revue hal-03018472v1
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⟩ Article dans une revue hal-02488592v1
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⟩ Article dans une revue 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⟩ Article dans une revue hal-03265045v1
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⟩ Article dans une revue hal-02488594v1
Bank Regulation, Risk and Return: Evidence from the Credit and Sovereign Debt Crises Hafiz Hoque,Dimitris Andriosopoulos,Kostas Andriosopoulos,Raphaël Douady Journal of banking & finance = Journal of banking and finance, 2015, 50, pp.455-474 Article dans une revue hal-01161670v1
Lois: credit and liquidity Stéphane Crépey,Raphaël Douady Risk, 2013 Article dans une revue hal-01477998v1
The Whys of the LOIS: Credit Skew and Funding Rates Volatility Stéphane Crépey,Raphaël Douady Bloomberg Brief / Risk, 2013, pp.6-7 Article dans une revue 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⟩ Article dans une revue hal-01052645v1
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⟩ Article dans une revue 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⟩ Article dans une revue hal-00666234v1
The StressVaR: A New Risk Concept for Extreme Risk and Fund Allocation Cyril Coste,Raphaël Douady,Ilija I Zovko Journal of Alternative Investments, 2010, 13 (3), pp.10-23. ⟨10.3905/jai.2011.13.3.010⟩ Article dans une revue hal-02488591v1
STATIC HEDGING OF BARRIER OPTIONS WITH A SMILE: AN INVERSE PROBLEM Claude Bardos,Raphaël Douady,Andrei Fursikov ESAIM: Control, Optimisation and Calculus of Variations, 2002, 8, pp.127-142. ⟨10.1051/cocv:2002040⟩ Article dans une revue hal-01477102v1
On Probability Characteristics of &quot;Downfalls&quot; in a Standard Brownian Motion Raphaël Douady,A.N. Shiryaev,Marc Yor Theory of Probability and its Applications, 2000, 44 (1), pp.29-38. ⟨10.1137/S0040585X97977306⟩ Article dans une revue hal-01477104v1

Ouvrages (2)

Artificial Intelligence for Financial Markets Thomas Barrau,Raphaël Douady Springer International Publishing, 2022, Financial Mathematics and Fintech, ⟨10.1007/978-3-030-97319-3⟩ Ouvrages hal-03929243v1
Financial Regulation in the EU: From Resilience to Growth Raphaël Douady,Clément Goulet,Pierre-Charles Pradier Palgrave Macmillan; Springer International Publishing, pp.486, 2017, 978-3-319-44286-0. ⟨10.1007/978-3-319-44287-7⟩ Ouvrages hal-03265024v1

Chapitre d'ouvrage (6)

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⟩ Chapitre d'ouvrage 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⟩ Chapitre d'ouvrage hal-01478320v1
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 Chapitre d'ouvrage hal-01479099v1
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 Chapitre d'ouvrage hal-01478302v1
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⟩ Chapitre d'ouvrage hal-00666752v1
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⟩ Chapitre d'ouvrage hal-00666751v1

Autre publication scientifique (6)

A Pratical Approach to Financial Crisis Indicators Based on Random Matrices Antoine Kornprobst,Raphaël Douady 2015 Autre publication scientifique halshs-01169307v1
Yield Curve Smoothing and Residual Variance of Fixed Income Positions Raphaël Douady 2014 Autre publication scientifique hal-01151276v1
Extreme Risk, excess return and leverage: the LP formula Olivier Le Marois,Julia Mikhalevsky,Raphaël Douady 2014 Autre publication scientifique hal-01151376v1
Mathematical Definition, Mapping, and Detection of (Anti)Fragility Nassim Nicholas Taleb,Raphaël Douady 2014 Autre publication scientifique hal-01151340v1
The Whys of the LOIS: Credit Skew and Funding Spread Volatility Stéphane Crépey,Raphaël Douady 2014 Autre publication scientifique hal-01151315v1
On the Super-Additivity and Estimation Biases of Quantile Contributions Nassim Nicholas Taleb,Raphaël Douady 2014 Autre publication scientifique hal-01149834v1

Pré-publication, Document de travail (7)

Crisis Risk Prediction with Concavity from Polymodel Raphaël Douady,Yao Kuang 2020 Pré-publication, Document de travail hal-03018481v1
Tempered Stable Processes with Time Varying Exponential Tails Young Shin Aaron Kim,Kum-Hwan Roh,Raphaël Douady 2020 Pré-publication, Document de travail hal-03018495v1
Repurchase agreements and systemic risk in the European sovereign debt crises: the role of European clearing houses Angela Armakola,Raphaël Douady,Jean-Paul Laurent,Francesco Molteni 2020 Pré-publication, Document de travail hal-01479252v1
SABR TYPE STOCHASTIC VOLATILITY OPERATOR IN HILBERT SPACE Raphaël Douady,Zeyu Cao 2020 Pré-publication, Document de travail hal-03018478v1
Optimal Transport Filtering with Particle Reweighing in Finance Raphaël Douady,Shohruh Miryusupov 2017 Pré-publication, Document de travail hal-01581903v1
Hamiltonian Flow Simulation of Rare Events Raphaël Douady,Shohruh Miryusupov 2017 Pré-publication, Document de travail hal-01581894v1
The Precautionary Principle (with Application to the Genetic Modification of Organisms) Nassim Nicholas Taleb,Rupert Read,Raphaël Douady,Joseph Norman,Yaneer Bar-Yam 2014 Pré-publication, Document de travail hal-01479405v1