Patrimony

The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).


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Risk assessment and monitoring of financial conglomerates.

Conglomérat financier, Diversification, Exposition au risque, Financial conglomerate, Financial supervision, Risk exposure, Risque systémique, Surveillance financière, Systemic risk

Socially responsible investment and portfolio selection.

Aversion au risque, Diversification, Investissement socialement responsable, Mean-variance Efficiency Test, Obligations d'Etat, Portfolio Selection, Risk aversion, Socially Responsible Investment, Sovereign Bonds, Sélection de portefeuille, Test d'efficience moyenne-variance

Essays on corporate social responsibility and socially responsible investment.

Alternative allocation strategies ("smart beta"), Base des investisseurs, Corporate social responsibility, Cost of equity capital, Coût du capital, Diversification, Investissement socialement responsable, Investor base performance, Liquidity, Liquidité, Matrice de covariance robuste, Performance, Responsabilité sociétale de l’entreprise, Robust covariances matrix, Socially responsible investment, Stratégies d’allocation alternatives ("smart beta")

Is Bank Income Diversification Beneficial? Evidence from an Emerging Economy.

Diversification

Tools and models for studying some spatial and networked risks: application to climate extremes and contagion in finance.

Common factor, Contagion, Diversification, Extrêmes spatiaux, Facteur commun, Générateur de précipitations, Maximum de vraisemblance simulée non paramétrique, Mesures de risque, Modèle spatio-temporel, Non parametric maximum simulated likelihood inference, Precipitation generator, Risk measures, Spatial extremes, Spatial-temporal model

Essays on Diversification of Financial Portfolios and Structured Credit Funds: A Copula Approach.

Copulas, Copules, Credit risk, Diversification, Optimisation, Optimization, Portefeuilles, Portfolio, Risque de crédit, Value-At-Risk

Corporate focus, residential assets, and the performance of French REITs.

Diversification, REITS, Residential real estate market

Risk Factors, Copula Dependence and Risk Sensitivity of a Large Portfolio.

Diversification, Extreme risks, Factorial model, Portfolio management, Regular vine copula, Risk management