-
Random self-decomposability and autoregressive processes
International audience -
A note on stable point processes occurring in branching Brownian motion
International audience -
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.... -
Stress-Test Exercises and the Pricing of Very Long-Term Bonds
In the first part of this thesis, we introduce a new methodology for stress-test exercises. Our approach allows to consider richer stress-test exercises, which assess... -
There is a VaR Beyond Usual Approximations
Basel II and Solvency 2 both use the Value-at Risk (VaR) as the risk measure to compute the Capital Requirements. In practice, to calibrate the VaR, a normal... -
Comparing Fréchet and positive stable laws
To appear in Electronic Journal of Probability
