| Fire sales forensics: measuring endogenous risk R Cont, L Wagalath Mathematical finance 26 (4), 835-866, 2016 | 140 | 2016 |
| 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 | 120 | 2013 |
| Risk-based capital requirements and optimal liquidation in a stress scenario Y Braouezec, L Wagalath Review of finance 22 (2), 747-782, 2018 | 41 | 2018 |
| 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 | 39 | 2019 |
| Institutional investors and the dependence structure of asset returns R Cont, L Wagalath International Journal of Theoretical and Applied Finance 19 (02), 1650010, 2016 | 26 | 2016 |
| 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 | 15 | 2018 |
| Modelling the rebalancing slippage of leveraged exchange-traded funds L Wagalath Quantitative Finance 14 (9), 1503-1511, 2014 | 12 | 2014 |
| Risk management for whales R Cont, L Wagalath Available at SSRN 2739227, 2015 | 10 | 2015 |
| VIX versus VXX: A joint analytical framework M Grasselli, L Wagalath International Journal of Theoretical and Applied Finance 23 (05), 2050033, 2020 | 7 | 2020 |
| Lost in contagion? building a liquidation index from covariance dynamics L Wagalath International Journal of Theoretical and Applied Finance 20 (01), 1750001, 2017 | 1 | 2017 |
| Feedback effects and endogenous risk in financial markets L Wagalath 1 Finance 37 (2), 39-74, 2016 | 1 | 2016 |
| 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 endogene 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 | | |
Rama CONTUniversity of Oxford. 牛津大学数学系 دانشگاه آکسفورد ՕքսֆորդVerified email at math.cnrs.fr
Rama CONTUniversity of Oxford. 牛津大学数学系 دانشگاه آکسفورد ՕքսֆորդVerified email at math.cnrs.fr