3 papers
q-fin.TR2020
Order book dynamics with liquidity fluctuations: limit theorems and large deviations
Helder Rojas, Artem Logachov, Anatoly Yambartsev
We propose a class of stochastic models for a dynamics of limit order book with different type of liquidities. Within this class of models we study the one where a spread decreases…
stat.AP2019
Stress Testing Network Reconstruction via Graphical Causal Model
Helder Rojas, David Dias
An resilience optimal evaluation of financial portfolios implies having plausible hypotheses about the multiple interconnections between the macroeconomic variables and the risk pa…
stat.AP2018
Transmission of Macroeconomic Shocks to Risk Parameters: Their uses in Stress Testing
Helder Rojas, David Dias
In this paper, we are interested in evaluating the resilience of financial portfolios under extreme economic conditions. Therefore, we use empirical measures to characterize the tr…