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Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests
In this paper we propose a new tool for backtesting that examines the quality of Value-at- Risk (VaR) forecasts. To date, the most distinguished regression-based... -
Efficient Estimation of Learning Models
Mimeo, 2010 -
Structural Laplace Transform and Compound Autoregressive Models
International audience -
Asset Pricing under uncertainty
We study the effect of parameter uncertainty on a stochastic diffusion model, in particular the impact on the pricing of contingent claims, using methods from the... -
Backtesting VaR Accuracy: A New Simple Test
This paper proposes a new test of Value at Risk (VaR) validation. Our test exploits the idea that the sequence of VaR violations (Hit function) - taking value 1-α, if... -
The DC programming and the cross- entropy method for some classes of problems...
In this thesis we focus on developing deterministic and heuristic approaches for solving some classes of optimization problems in Finance, Assignment and Search... -
Alternative Modeling for Long Term Risk
URL des Documents de travail : http://ces.univ-paris1.fr/cesdp/cesdp2012.html -
Aggregation of exponential smoothing processes with an application to portfol...
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... -
Economie des risques : les limites de la mathématisation
La crise financière 2007-2008 a suscité une profusion de réactions et d'explications : on a évoqué le mimétisme des organismes, la cupidité de leurs dirigeants, la... -
Portfolio Risk Evaluation: An Approach Based on Dynamic Conditional Correlati...
We analyzed the volatility dynamics of three developed markets (U.K., U.S. and Japan), during the period 2003-2011, by comparing the performance of several... -
A new multi-factor risk model to evaluate funding liquidity risk of financial...
This dataset has no description
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Value at Risk for confidence level quantifications in robust engineering opti...
International audience -
An effective equity model allowing long term investments within the framework...
We propose an effective equity model adapted for medium term and long term risk assessment. One of its specific aspects is to allow an asymetrical dampening of the... -
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 -
Measure of capital requirement by market risk models
During the financial and economic crisis of 2008, it was noticed that the amount of capital required for banks' trading portfolio was significantly less than the real... -
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... -
The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio
Publié in Risks 2, 260-276 (2014). DOI : https://doi.org/10.3390/risks2030260 -
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
