Professor

Lakshithe WAGALATH

Lakshithe WAGALATH
Associate Professor
Ph.D. in Applied Mathemathics - University Pierre et Marie Curie (Paris VI)
Track: Finance
LEM Member
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, France
  • 2007 : Bachelor in mathematics and physics, Ecole Polytechnique, 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
  • 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.
  • Braouezec Y., Wagalath L., (2018). Risk-based Capital Requirements and Optimal Liquidation in a Stress Scenario, Review of Finance, 22 (2) 747-782.
  • 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.
Show all
  • Wagalath L., (2017). Lost in contagion? Building a liquidation index from covariance dynamics, International Journal of Theoretical and Applied Finance, 20 (1) 26.
  • Wagalath L., (2016). Feedback effects and endogenous risk in financial markets, Finance, 37 (2) 39-74.
  • Wagalath L., Cont R., (2016). Risk Management for Whales, Risk, 2016 (June) 79-82.
  • 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).
  • Cont R., Wagalath L., (2016). Fire sale forensics: measuring endogenous risk, Mathematical Finance, 26 (4) 835-866.
  • Wagalath Lakshithe, (2014). Modeling the rebalancing slippage of leveraged ETFs, Quantitative Finance, 14 (9) 1503-1511.
  • Cont R., Wagalath L., (2013). Running for the exit: distressed selling and endogenous correlation in financial markets, Mathematical Finance, 23 (4) 718-741.
Research field
  • Finance
Teaching
Grande Ecole Program:
  • Finance research seminar
  • Finance fundamentals
  • Fixed-income ii:valuation and risk
  • Options & futures ii:pricing
  • Systemic risk
MSc in Finance :
  • Bond markets and instruments
  • Options, futures and swaps
IÉSEG