Radu Tunaru

University of Sussex

Professor of Finance and Risk Management

Jubilee

Brighton, BN1 9SL

United Kingdom

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 10,004

SSRN RANKINGS

Top 10,004

in Total Papers Downloads

5,662

SSRN CITATIONS
Rank 21,388

SSRN RANKINGS

Top 21,388

in Total Papers Citations

23

CROSSREF CITATIONS

23

Scholarly Papers (17)

1.

Investment Strategies with VIX and VSTOXX Futures

Number of pages: 44 Posted: 08 Nov 2013 Last Revised: 02 Dec 2013
Silvia Stanescu and Radu Tunaru
University of Kent - Kent Business School and University of Sussex
Downloads 1,876 (10,142)

Abstract:

Loading...

volatility indexes, volatility derivatives, GARCH models, statistical arbitrage

2.

Emerging Markets: Stock Market Investing with Political Risk

EFMA 2001 Lugano Meetings, Middlesex University Business School Discussion Paper No. 6, Cass Business School Research Paper
Number of pages: 21 Posted: 14 May 2001
Ephraim Clark and Radu Tunaru
Middlesex University Business School and University of Sussex
Downloads 1,422 (15,707)
Citation 1

Abstract:

Loading...

Portfolio investment, political risk, insurance policy, geometric Brownian motion, Poisson arrival process.

Property Derivatives for Managing European Real-Estate Risk

Yale ICF Working Paper No. 09-17
Number of pages: 37 Posted: 15 Aug 2009
EDHEC Business School, Yale University - Cowles Foundation and University of Sussex
Downloads 675 (45,157)

Abstract:

Loading...

real-estate markets, property derivatives, balance guaranteed swaps

Property Derivatives for Managing European Real-Estate Risk

European Financial Management, Vol. 16, Issue 1, pp. 8-26, January 2010
Number of pages: 19 Posted: 28 Dec 2009
EDHEC Business School, Yale University - Cowles Foundation and University of Sussex
Downloads 3 (766,967)
Citation 8
  • Add to Cart

Abstract:

Loading...

4.

Dividend Derivatives

Number of pages: 38 Posted: 25 Oct 2014
Radu Tunaru
University of Sussex
Downloads 316 (114,507)
Citation 2

Abstract:

Loading...

dividend derivatives, stochastic logistic diffusion, market price

5.

The SKEW Index: Extracting What Has Been Left

Journal of Financial Stability, Forthcoming
Number of pages: 45 Posted: 21 Feb 2018 Last Revised: 30 Oct 2020
Mattia Bevilacqua and Radu Tunaru
Systemic Risk Centre - London School of Economics and University of Sussex
Downloads 216 (168,826)
Citation 2

Abstract:

Loading...

Option Prices, Market Downturns, Recessions Predictability, Market Sentiment, Tail Risk

6.

CMCDS Premia Implicit in the Term Structure of Corporate CDS Spreads

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 48 Posted: 14 Oct 2008 Last Revised: 01 Oct 2020
Arturo Leccadito, Radu Tunaru and Giovanni Urga
Università degli Studi della Calabria, University of Sussex and Centre for Econometric Analysis, Faculty of Finance, Cass Business School, London, UK and University of Bergamo, Italy
Downloads 208 (174,238)

Abstract:

Loading...

Constant Maturity Credit Default Swaps, Forward Credit Rates, Convexity Adjustment, Forward Rate Unbiasedness Hypothesis

7.

Pricing and Hedging Basket Options with Exact Moment Matching

Number of pages: 29 Posted: 18 Dec 2013 Last Revised: 28 May 2014
University of Kent - Kent Business School, Università degli Studi della Calabria and University of Sussex
Downloads 190 (189,301)
Citation 1

Abstract:

Loading...

Basket options, Shifted log-normal jump process, Hermite polynomials, Negative skewness, Option pricing and hedging

8.

Options-Based Systemic Risk, Financial Distress, and Macroeconomic Downturns

Number of pages: 55 Posted: 12 Jan 2021 Last Revised: 24 Mar 2021
Mattia Bevilacqua, Radu Tunaru and Davide Vioto
Systemic Risk Centre - London School of Economics, University of Sussex and Bank of England
Downloads 189 (190,160)

Abstract:

Loading...

Systemic Risk, Options Market, Financial Distress, Macro-finance, Financial Stability

9.

An Improved Method for Pricing and Hedging American Options

Number of pages: 45 Posted: 25 Oct 2014 Last Revised: 16 Nov 2014
Tommaso Paletta, Silvia Stanescu and Radu Tunaru
University of Kent - Kent Business School, University of Kent - Kent Business School and University of Sussex
Downloads 122 (272,353)

Abstract:

Loading...

American options, Optimal exercise price, Quasi-analytic method, Delta-Hedging performance

10.

Risk Spillovers and Interconnectedness between Systemically Important Institutions

Swiss Finance Institute Research Paper No. 20-40
Number of pages: 56 Posted: 16 May 2020 Last Revised: 18 May 2020
Alexandru Ioan Cuza University of Iasi, University of Zurich - Department of Banking and Finance, Alexandru Ioan Cuza University of Iasi and University of Sussex
Downloads 102 (308,694)

Abstract:

Loading...

systemic risk, interconnectedness, bank networks

11.

Asymmetric Network Connectedness of Fears

Review of Economics and Statistics, Forthcoming
Number of pages: 30 Posted: 20 Nov 2018 Last Revised: 27 Oct 2020
Charles University in Prague - Department of Economics, Systemic Risk Centre - London School of Economics and University of Sussex
Downloads 98 (316,782)
Citation 1

Abstract:

Loading...

Implied Volatility, Asymmetric Network Connectedness, U.S. Financial Sector.

12.

A Cost-Benefit Analysis of Capital Requirements Adjusted for Model Risk

Swiss Finance Institute Research Paper No. 20-86, Journal of Corporate Finance, Forthcoming
Number of pages: 44 Posted: 13 Oct 2020 Last Revised: 16 Oct 2020
University of Zurich - Department of Banking and Finance, Federal Reserve Banks - Federal Reserve Bank of New York and University of Sussex
Downloads 60 (419,184)

Abstract:

Loading...

Basel framework, capital requirements, cost-benefit analysis, model risk

13.

Emerging Markets: Investing with Political Risk

Multinational Finance Journal, Vol. 5, No. 3, p. 155-173, 2001
Number of pages: 19 Posted: 08 Jul 2015
Ephraim Clark and Radu Tunaru
Middlesex University Business School and University of Sussex
Downloads 55 (436,830)
Citation 1

Abstract:

Loading...

geometric Brownian motion; insurance policy; Poisson arrival process; portfolio investment; political risk

14.

Testing the Systemic Risk Differences in Banks

Bank of Finland Research Discussion Paper No. 13/2018
Number of pages: 56 Posted: 02 Jun 2018 Last Revised: 03 Jun 2018
Esa Jokivuolle, Radu Tunaru and Davide Vioto
Bank of Finland, Research Unit, University of Sussex and Bank of England
Downloads 50 (455,523)

Abstract:

Loading...

Systemic risk measures, Systemic risk ranking validation, Dominance tests, Confidence intervals, Financial stability, Concordance measures

15.

The Determinants of the Model-Free Positive and Negative Volatilities

Journal of International Money and Finance, Vol. 92, April 2019, Pages 1-24
Number of pages: 35 Posted: 27 Dec 2018 Last Revised: 27 Feb 2019
Mattia Bevilacqua, David Morelli and Radu Tunaru
Systemic Risk Centre - London School of Economics, affiliation not provided to SSRN and University of Sussex
Downloads 42 (488,928)
Citation 1

Abstract:

Loading...

Implied Volatility, Risk Premia, Macro Variables, Financial Variables, Mixed Frequency

16.

The Timing of Voluntary Delisting

Number of pages: 48 Posted: 13 Jan 2020
Izidin El Kalak, Alcino Azevedo and Radu Tunaru
Cardiff Business School, Aston Business School and University of Sussex
Downloads 34 (526,561)

Abstract:

Loading...

Delist Timing; Real Options; Survival Analysis; Voluntary Delisting

17.

A Pricing Framework for Real Estate Derivatives

European Financial Management, Vol. 18, Issue 5, pp. 762-789, 2012
Number of pages: 28 Posted: 20 Oct 2012
EDHEC Business School, Yale University - Cowles Foundation and University of Sussex
Downloads 4 (726,375)
  • Add to Cart

Abstract:

Loading...

derivatives pricing, real estate indices, incomplete markets, market price of risk, serial correlation