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An empirical analysis of heavy-tails behavior of financial data: The case for...
This article aims at underlying the importance of a correct modelling of the heavy-tail behavior of extreme values of financial data for an accurate risk estimation.... -
A New Approach to Comparing VaR Estimation Methods
International audience -
Market Risk Measurement Models: Estimation of Volatility and Correlation
International audience -
Non-linear models and forecasting
The interest of non-linear models is, on the one hand, to better take into account non-linearities characterizing themacroeconomic and financial series and, on the... -
What Is the Best Risk Measure in Practice? A Comparison of Standard Measures
Publié in Journal of Risk 18:2, 31-60 (2015). DOI : https://doi.org/10.21314/jor.2015.318 -
High-Frequency Risk Measures
This paper proposes intraday High Frequency Risk (HFR) measures for market risk in the case of irregularly spaced high-frequency data. In this context, we distinguish...
