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Lakshithe Wagalath
Lakshithe Wagalath
Verified email at ieseg.fr
Title
Cited by
Cited by
Year
Fire sales forensics: measuring endogenous risk
R Cont, L Wagalath
Mathematical finance 26 (4), 835-866, 2016
1502016
Running for the exit: distressed selling and endogenous correlation in financial markets
R Cont, L Wagalath
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2013
1272013
Strategic fire-sales and price-mediated contagion in the banking system
Y Braouezec, L Wagalath
European Journal of Operational Research 274 (3), 1180-1197, 2019
482019
Risk-based capital requirements and optimal liquidation in a stress scenario
Y Braouezec, L Wagalath
Review of finance 22 (2), 747-782, 2018
472018
Institutional investors and the dependence structure of asset returns
R Cont, L Wagalath
International Journal of Theoretical and Applied Finance 19 (02), 1650010, 2016
262016
A liquidation risk adjustment for value at risk and expected shortfall
L Wagalath, JP Zubelli
International Journal of Theoretical and Applied Finance 21 (03), 1850010, 2018
152018
Modelling the rebalancing slippage of leveraged exchange-traded funds
L Wagalath
Quantitative Finance 14 (9), 1503-1511, 2014
122014
Risk management for whales
R Cont, L Wagalath
Available at SSRN 2739227, 2015
102015
VIX versus VXX: A joint analytical framework
M Grasselli, L Wagalath
International Journal of Theoretical and Applied Finance 23 (05), 2050033, 2020
82020
Feedback effects and endogenous risk in financial markets
L Wagalath 1
Finance 37 (2), 39-74, 2016
22016
Lost in contagion? building a liquidation index from covariance dynamics
L Wagalath
International Journal of Theoretical and Applied Finance 20 (01), 1750001, 2017
12017
Pour des stress-tests bancaires réglementaires plus transparents
Y Braouezec, L Wagalath
HAL Post-Print, 2018
2018
Évaluation du risque systémique bancaire
Y Braouezec, L Wagalath
HAL Post-Print, 2016
2016
Modélisation mathématique du risque endogène dans les marchés financiers
L Wagalath
Université Pierre et Marie Curie-Paris VI, 2013
2013
Strategic fire sales and price-mediated contagion in the banking system
L Wagalath
Running for the Exit: Distressed Selling and Endogenous Correlation
R CONT, L WAGALATH
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