Education
- 2013 : Ph.D. in Applied Mathemathics, University Pierre et Marie Curie (Paris VI), France
- 2009 : Master of probability and finance, University Pierre et Marie Curie (Paris VI), France
- 2008 : Master in mathematics, Ecole Polytechnique Paris, France
- 2007 : Bachelor in mathematics and physics, Ecole Polytechnique Paris, France
Professional Experiences
Academic Experience
- 2012 - 2012, Assistant Professor, ESILV, La défense, France
- 2011 - present, Teaching Assistant, IÉSEG School of Management, Lille, France
- 2011 - 2011, Teaching Assistant, Lycée Stanislas, Paris, France
- 2007 - 2007, Teaching Assistant, Lycée Louis Le Grand, Paris, France
Professional Experience :
- 2010 - 2011, Consulting, CA Cheuvreux, Paris, France
Published Papers in Refereed Journals
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Wagalath L., Grasselli M., (2020). VIX VERSUS VXX: A JOINT ANALYTICAL FRAMEWORK, International Journal of Theoretical and Applied Finance, 23 (5) 1-39.
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Braouezec Y., Wagalath L., (2019). Strategic fire-sales and price-mediated contagion in the banking system, European Journal of Operational Research, 274 (3) 1180-1197.
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Braouezec Y., Wagalath L., (2018). Pour des stress-tests bancaires réglementaires plus transparents, Revue Banque, 818 50-54.
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Wagalath L., Zubelli Jorge, (2018). A liquidation risk adjustment for value at risk and expected shortfall, International Journal of Theoretical and Applied Finance, 21 (2) 21.
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Braouezec Y., Wagalath L., (2018). Risk-based Capital Requirements and Optimal Liquidation in a Stress Scenario, Review of Finance, 22 (2) 747-782.
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Wagalath L., (2017). Lost in contagion? Building a liquidation index from covariance dynamics, International Journal of Theoretical and Applied Finance, 20 (1) 26.
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Wagalath L., Cont R., (2016). Risk Management for Whales, Risk, 2016 (June) 79-82.
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Wagalath L., (2016). Feedback effects and endogenous risk in financial markets, Finance, 37 (2) 39-74.
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Braouezec Y., Wagalath L., (2016). Evaluation du risque systémique bancaire, Banque & Stratégie, 346 (avril) 36-42.
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Cont R., Wagalath L., (2016). Institutional investors and the dependence structure of asset returns, International Journal of Theoretical and Applied Finance, 19 (2) 1650010 (37 pages).
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Cont R., Wagalath L., (2016). Fire sale forensics: measuring endogenous risk, Mathematical Finance, 26 (4) 835-866.
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Wagalath Lakshithe, (2014). Modeling the rebalancing slippage of leveraged ETFs, Quantitative Finance, 14 (9) 1503-1511.
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Cont R., Wagalath L., (2013). Running for the exit: distressed selling and endogenous correlation in financial markets, Mathematical Finance, 23 (4) 718-741.
Teaching
Grande Ecole (Bachelor cycle) :
Grande Ecole (Master cycle) :
- Options & futures ii:pricing
- Fixed-income ii:valuation and risk
MSc in Finance :
- Options, futures and swaps
- Bond markets and instruments
