Feedback effects and endogenous risk in financial markets

von Wagalath, Lakshithe
Veröffentlicht in Finance (2016)

Lost in contagion? : building a liquidation index from covariance dynamics

von Wagalath, Lakshithe
Veröffentlicht in International journal of theoretical and applied finance (2017)

Fire sales forensics : measuring endogenous risk

von Cont, Rama
Veröffentlicht in Mathematical finance (2016)

Risk-based capital requirements and optimal liquidation in a stress scenario

von Braouezec, Yann
Veröffentlicht in Review of finance (2018)

Institutional investors and the dependence structure of asset returns

von Cont, Rama
Veröffentlicht in International journal of theoretical and applied finance (2016)

VIX versus VXX : a joint analytical framework

von Grasselli, Martino
Veröffentlicht in International journal of theoretical and applied finance (2020)

Strategic fire-sales and price-mediated contagion in the banking system

von Braouezec, Yann
Veröffentlicht in European journal of operational research (2019)

Running for the exit : distressed selling and endogenous correlation in financial markets

von Cont, Rama
Veröffentlicht in Mathematical finance (2013)

A liquidation risk adjustment for value at risk and expected shortfall

von Wagalath, Lakshithe
Veröffentlicht in International journal of theoretical and applied finance (2018)