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Mesure de risques : calcul de la Value-at-Risk et application à la gestion de...
Our work aims to study the behavior of financial assets' returns and to measure the market risk. In order to model the tail of the distribution of assets' returns, we... -
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.... -
Mesure de risque : détection du régime de crise et calcul de la Value-at-Risk
This work aims to study the behavior of financial assets' returns and to measure market risk. Using the hidden Markov model, we classify the data according to the... -
On Tail Index Estimation based on Multivariate Data
This article is devoted to the study of tail index estimation based on i.i.d. multivariate observations, drawn from a standard heavy-tailed distribution, i.e. of which...
