7
H index
5
i10 index
164
Citations
Raphael Douady : Citation Profile
| RESEARCH PRODUCTION: 12 Articles 84 Papers 4 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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23 years (1999 - 2022). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Raphael Douady. | Is cited by:
| Cites to:
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Main data
Where Raphael Douady has published?
| Journals with more than one article published | # docs |
|---|---|
| Quantitative Finance | 3 |
| International Journal of Theoretical and Applied Finance (IJTAF) | 2 |
| Physica A: Statistical Mechanics and its Applications | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) / HAL | 36 |
| Post-Print / HAL | 29 |
| Working Papers / HAL | 7 |
| Documents de travail du Centre d'Economie de la Sorbonne / Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne | 6 |
| Papers / arXiv.org | 6 |
Recent works citing Raphael Douady (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models. (2023). Choi, Jae Hyung ; Kim, Hyangju. In: Papers. RePEc:arx:papers:2303.08760. Full description at Econpapers || Download paper |
| 2023 | Generating drawdown-realistic financial price paths using path signatures. (2023). Wyns, Maarten ; Boudt, Kris ; Lemahieu, Emiel. In: Papers. RePEc:arx:papers:2309.04507. Full description at Econpapers || Download paper |
| 2024 | Digitalization as a double-edged sword: A deep learning analysis of risk management in Chinese banks. (2024). Hong, Zhiwu ; Huang, Yiting ; Wang, LI. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001819. Full description at Econpapers || Download paper |
| 2023 | Regulatory oversight and bank risk. (2023). Yilmaz, Muhammed H ; Chronopoulos, Dimitris K. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s1572308923000050. Full description at Econpapers || Download paper |
| 2024 | External wealth of nations and systemic risk. (2024). Ongena, Steven ; Chiper, Alexandra Maria ; Andrie, Alin Marius ; Sprincean, Nicu. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s157230892300092x. Full description at Econpapers || Download paper |
| 2023 | Early Warning Systems for identifying financial instability. (2023). Sanfelici, Simona ; Allaj, Erindi. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1777-1803. Full description at Econpapers || Download paper |
| 2023 | An analysis of natural disasters’ effects – A global comparative study of ‘Blessing in Disguise’. (2023). Banica, Alexandru ; Nijkamp, Peter ; Kourtit, Karima. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:88:y:2023:i:c:s003801212300099x. Full description at Econpapers || Download paper |
| 2023 | Wealth inequality in Latin America. (2023). Flores, Ignacio ; de Rosa, Mauricio ; Carranza, Rafael. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:119426. Full description at Econpapers || Download paper |
| 2023 | The rollout of internal credit risk models: Implications for the novel partial-use philosophy. (2023). Woyand, Corinna ; Schlam, Carina. In: Discussion Papers. RePEc:zbw:bubdps:072023. Full description at Econpapers || Download paper |
Raphael Douady has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Raphael Douady:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2009 | The StressVaR: A New Risk Concept for Superior Fund Allocation In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Mathematical Definition, Mapping, and Detection of (Anti)Fragility In: Papers. [Full Text][Citation analysis] | paper | 19 |
| 2013 | Mathematical Definition, Mapping, and Detection of (Anti)fragility.(2013) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2014 | Mathematical Definition, Mapping, and Detection of (Anti)Fragility.(2014) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2013 | Mathematical Definition, Mapping, and Detection of (Anti)fragility.(2013) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2014 | Mathematical Definition, Mapping, and Detection of (Anti)Fragility.(2014) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2014 | Mathematical Definition, Mapping, and Detection of (Anti)Fragility.(2014) In: Documents de travail du Centre d'Economie de la Sorbonne. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2013 | Mathematical definition, mapping, and detection of (anti)fragility.(2013) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | article | |
| 2014 | On the Super-Additivity and Estimation Biases of Quantile Contributions In: Papers. [Full Text][Citation analysis] | paper | 21 |
| 2015 | On the super-additivity and estimation biases of quantile contributions.(2015) In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | article | |
| 2014 | On the Super-Additivity and Estimation Biases of Quantile Contributions.(2014) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 2015 | On the Super-Additivity and Estimation Biases of Quantile Contributions.(2015) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 2014 | On the Super-Additivity and Estimation Biases of Quantile Contributions.(2014) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 2015 | On the Super-Additivity and Estimation Biases of Quantile Contributions.(2015) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 2014 | On the Super-Additivity and Estimation Biases of Quantile Contributions.(2014) In: Documents de travail du Centre d'Economie de la Sorbonne. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 2014 | The Precautionary Principle (with Application to the Genetic Modification of Organisms) In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2014 | The Precautionary Principle (with Application to the Genetic Modification of Organisms).(2014) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2014 | The Precautionary Principle (with Application to the Genetic Modification of Organisms).(2014) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2017 | An Empirical Approach to Financial Crisis Indicators Based on Random Matrices In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2018 | An empirical approach to financial crisis indicators based on random matrices.(2018) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2018 | An empirical approach to financial crisis indicators based on random matrices.(2018) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2018 | AN EMPIRICAL APPROACH TO FINANCIAL CRISIS INDICATORS BASED ON RANDOM MATRICES.(2018) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2020 | Tempered Stable Processes with Time Varying Exponential Tails In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2020 | Tempered Stable Processes with Time Varying Exponential Tails.(2020) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2021 | Tempered stable processes with time-varying exponential tails.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2021 | Tempered stable processes with time-varying exponential tails.(2021) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2020 | Tempered Stable Processes with Time Varying Exponential Tails.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2022 | Tempered stable processes with time-varying exponential tails.(2022) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2017 | Introduction In: Accounting, Economics, and Law: A Convivium. [Full Text][Citation analysis] | article | 0 |
| 2015 | Bank regulation, risk and return: Evidence from the credit and sovereign debt crises In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 32 |
| 2015 | Bank Regulation, Risk and Return: Evidence from the Credit and Sovereign Debt Crises.(2015) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
| 2015 | Bank Regulation, Risk and Return: Evidence from the Credit and Sovereign Debt Crises.(2015) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
| 2020 | A comparison of wealth inequality in humans and non-humans In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 1 |
| 2020 | A comparison of wealth inequality in humans and non-humans.(2020) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2020 | A comparison of wealth inequality in humans and non-humans.(2020) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2018 | Systemic Risk Indicators Based on Nonlinear PolyModel In: JRFM. [Full Text][Citation analysis] | article | 1 |
| In: . [Full Text][Citation analysis] | article | 0 | |
| 2011 | The Stress VaR: A New Risk Concept for Extreme Risk and Fund Allocation In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 2 |
| 2010 | The StressVaR: A New Risk Concept for Extreme Risk and Fund Allocation.(2010) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2011 | The Stress VaR: A New Risk Concept for Extreme Risk and Fund Allocation.(2011) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2010 | The StressVaR: A New Risk Concept for Extreme Risk and Fund Allocation.(2010) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2012 | Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 12 |
| 2012 | Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator.(2012) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2012 | Financial crisis dynamics: attempt to define a market instability indicator.(2012) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 2013 | Yield Curve Smoothing and Residual Variance of Fixed Income Positions In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 6 |
| 2014 | Yield Curve Smoothing and Residual Variance of Fixed Income Positions.(2014) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2013 | Yield Curve Smoothing and Residual Variance of Fixed Income Positions.(2013) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2014 | Yield Curve Smoothing and Residual Variance of Fixed Income Positions.(2014) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2014 | Yield Curve Smoothing and Residual Variance of Fixed Income Positions.(2014) In: Documents de travail du Centre d'Economie de la Sorbonne. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2013 | Financial Crisis and Contagion: A Dynamical Systems Approach In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 5 |
| 2013 | Financial Crisis and Contagion: A Dynamical Systems Approach.(2013) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2014 | The Whys of the LOIS: Credit Skew and Funding Spread Volatility In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 1 |
| 2014 | The Whys of the LOIS: Credit Skew and Funding Spread Volatility.(2014) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2014 | The Whys of the LOIS: Credit Skew and Funding Spread Volatility.(2014) In: Documents de travail du Centre d'Economie de la Sorbonne. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2014 | Extreme Risk, excess return and leverage: the LP formula In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 0 |
| 2014 | Extreme Risk, excess return and leverage: the LP formula.(2014) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2014 | Extreme Risk, excess return and leverage: the LP formula.(2014) In: Documents de travail du Centre d'Economie de la Sorbonne. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2002 | STATIC HEDGING OF BARRIER OPTIONS WITH A SMILE: AN INVERSE PROBLEM In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 2 |
| 2002 | STATIC HEDGING OF BARRIER OPTIONS WITH A SMILE: AN INVERSE PROBLEM.(2002) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2000 | On Probability Characteristics of Downfalls in a Standard Brownian Motion In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 16 |
| 2000 | On Probability Characteristics of Downfalls in a Standard Brownian Motion.(2000) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
| 2013 | The Whys of the LOIS: Credit Skew and Funding Rates Volatility In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 1 |
| 2013 | The Whys of the LOIS: Credit Skew and Funding Rates Volatility.(2013) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2013 | Lois: credit and liquidity In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 8 |
| 2013 | Lois: credit and liquidity.(2013) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2014 | A Non-cyclical Capital Adequacy Rule and the Aversion of Systemic Risk In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 0 |
| 2014 | A Non-cyclical Capital Adequacy Rule and the Aversion of Systemic Risk.(2014) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2015 | Capital Adequacy, Pro-cyclicality and Systemic Risk In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 0 |
| 2015 | Capital Adequacy, Pro-cyclicality and Systemic Risk.(2015) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2015 | Capital Adequacy, Pro-cyclicality and Systemic Risk.(2015) In: International Series in Operations Research & Management Science. [Citation analysis] This paper has nother version. Agregated cites: 0 | chapter | |
| 2014 | Modèles mathématiques et crise financière In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 0 |
| 2014 | Modèles mathématiques et crise financière.(2014) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2020 | Repurchase agreements and systemic risk in the European sovereign debt crises: the role of European clearing houses In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 5 |
| 2020 | Repurchase agreements and systemic risk in the European sovereign debt crises: the role of European clearing houses.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2017 | Hamiltonian Flow Simulation of Rare Events In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 0 |
| 2017 | Hamiltonian Flow Simulation of Rare Events.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2017 | Optimal Transport Filtering with Particle Reweighing in Finance In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 0 |
| 2017 | Optimal Transport Filtering with Particle Reweighing in Finance.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2019 | Managing the Downside of Active and Passive Strategies: Convexity and Fragilities In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 1 |
| 2019 | Managing the Downside of Active and Passive Strategies: Convexity and Fragilities.(2019) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2019 | Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 0 |
| 2019 | Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel.(2019) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2020 | SABR TYPE STOCHASTIC VOLATILITY OPERATOR IN HILBERT SPACE In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 0 |
| 2020 | SABR TYPE STOCHASTIC VOLATILITY OPERATOR IN HILBERT SPACE.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2020 | Crisis Risk Prediction with Concavity from Polymodel In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 0 |
| 2022 | Crisis risk prediction with concavity from Polymodel.(2022) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2022 | Crisis risk prediction with concavity from Polymodel.(2022) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2020 | Crisis Risk Prediction with Concavity from Polymodel.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2017 | Financial Regulation in the EU: From Resilience to Growth In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 2 |
| 2017 | Financial Regulation in the EU: From Resilience to Growth.(2017) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2019 | Repurchase Agreements and the European Sovereign Debt Crises: The Role of European Clearinghouses In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 0 |
| 2019 | Repurchase Agreements and the European Sovereign Debt Crises: The Role of European Clearinghouses.(2019) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2019 | Repurchase Agreements and the European Sovereign Debt Crises: The Role of European Clearinghouses.(2019) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | chapter | |
| 2015 | A Pratical Approach to Financial Crisis Indicators Based on Random Matrices In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 0 |
| 2015 | A Pratical Approach to Financial Crisis Indicators Based on Random Matrices.(2015) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2015 | A Practical Approach to Financial Crisis Indicators Based on Random Matrices.(2015) In: Documents de travail du Centre d'Economie de la Sorbonne. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2010 | On measuring nonlinear risk with scarce observations In: Finance and Stochastics. [Full Text][Citation analysis] | article | 2 |
| 1999 | CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 8 |
| 1999 | CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION.(1999) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | chapter | |
| 2002 | BERMUDAN OPTION PRICING WITH MONTE-CARLO METHODS In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 2 |
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