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Results: 7
Number of items: 7
  • Open Access
    Janczewski, A., Anagnostou, I., & Kandhai, D. (2024). Inferring Dealer Networks in the Foreign Exchange Market Using Conditional Transfer Entropy: Analysis of a Central Bank Announcement. Entropy, 26(9), Article 738. https://doi.org/10.3390/e26090738
  • Open Access
    Anagnostou, I., Squartini, T., Kandhai, D., & Garlaschelli, D. (2021). Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling. Quantitative Finance, 21(9), 1501-1518. https://doi.org/10.1080/14697688.2021.1890807
  • Open Access
    Anagnostou, I., Sanchez Rivero, J., Sourabh, S., & Kandhai, D. (2020). Contagious defaults in a credit portfolio: a Bayesian network approach. Journal of Credit Risk, 16(1), 1-26. https://doi.org/10.2139/ssrn.3446615, https://doi.org/10.21314/JCR.2020.257
  • Open Access
    Anagnostou, I. (2020). Risk management in trading activities through the lens of complex systems theory. [Thesis, fully internal, Universiteit van Amsterdam].
  • Moysiadis, G., Anagnostou, I., & Kandhai, D. (2019). Calibrating the Mean-Reversion Parameter in the Hull-White Model Using Neural Networks. In C. Alzate, & A. Monreale (Eds.), ECML PKDD 2018 Workshops: MIDAS 2018 and PAP 2018, Dublin, Ireland, September 10-14, 2018 : proceedings (pp. 23-36). (Lecture Notes in Computer Science; Vol. 11054), (Lecture Notes in Artificial Intelligence). Springer. https://doi.org/10.1007/978-3-030-13463-1_2
  • Open Access
    Anagnostou, I., & Kandhai, D. (2019). Risk Factor Evolution for Counterparty Credit Risk under a Hidden Markov Model. Risks, 7(2), Article 66. https://doi.org/10.3390/risks7020066
  • Open Access
    Anagnostou, I., Sourabh, S., & Kandhai, D. (2018). Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory. Complexity, 2018, Article 6076173. https://doi.org/10.1155/2018/6076173
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