Lakshithe Wagalath

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
VIX versus VXX: a joint analytical framework International Journal of Theoretical and Applied Finance	2021-01-29	Paper
Risk-based capital requirements and optimal liquidation in a stress scenario Review of Finance	2019-10-25	Paper
Strategic fire-sales and price-mediated contagion in the banking system European Journal of Operational Research	2019-01-09	Paper
A liquidation risk adjustment for value at risk and expected shortfall International Journal of Theoretical and Applied Finance	2018-06-07	Paper
Lost in contagion? Building a liquidation index from covariance dynamics International Journal of Theoretical and Applied Finance	2017-03-30	Paper
Fire sales forensics: measuring endogenous risk Mathematical Finance	2016-11-01	Paper
Institutional investors and the dependence structure of asset returns International Journal of Theoretical and Applied Finance	2016-04-14	Paper
Modelling the rebalancing slippage of leveraged exchange-traded funds Quantitative Finance	2015-04-16	Paper
Running for the exit: distressed selling and endogenous correlation in financial markets Mathematical Finance	2013-10-11	Paper

Research outcomes over time

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