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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Credit risk and interdependence.

Champ de Markov, Credit Risk, Interdependence adn contagion, Interdépendance et contagion, Ising model, Markov Fields, Modèle d’Ising, Monotonie des matrices de transition, Risque de crédit, Stress-tests, Transition matrix monotony

Survival of Hedge Funds: Frailty vs Contagion.

Autoregressive Gamma Process, Contagion, Dynamic Count Model, Fonds spéculatifs, Frailty, Funding Liquidity, Hedge Fund, Liquidation Correlation, Liquidation Swap, Liquidité économie politique, Market Liquidity, Risque, Stress-tests, Systemic Risk

On the use of multi-state models to measure and manage the risks of an insurance contract.

Assurance crédit, Assurance dépendance, Competing risks data, Credit insurance, Estimation non-paramétrique, Hypothèse de Markov, Long term care insurance, Markov assumption, Matrice de transition, Modèle multi-états, Modèle à risques concurrents, Multi-state model, Nonparametric estimation, Stress tests, Stress-tests, Transition matrix

Stress-Test Exercises and the Pricing of Very Long-Term Bonds.

Absence d'arbitrage, Affine Model, Choc, Copula, Copule, Distribution Stable, Extreme Risk, Facteur Niveau, Facteur Pente, Factor Model, Gestion de Portefeuille, Interest Rate, Level Factor, Modèle Affine, Modèle à Facteur, No Arbitrage, Obligations Souveraines, Portfolio Management, Risque Extrême, Risque Systémique, Shock, Slope Factor, Sovereign Bonds, Stable Distribution, Stochastic Long-Term Rate, Stress-Tests, Structure par Terme, Systemic Risk, Taux de Long-Terme Stochastique, Taux d’intérêt, Term Structure, Tests de Résistance

Stress-Test Exercises and the Pricing of Very Long-Term Bonds.

Absence d'arbitrage, Affine Model, Choc, Copula, Copule, Distribution Stable, Extreme Risk, Facteur Niveau, Facteur Pente, Factor Model, Gestion de Portefeuille, Interest Rate, Level Factor, Modèle Affine, Modèle à Facteur, No Arbitrage, Obligations Souveraines, Portfolio Management, Risque Extrême, Risque Systémique, Shock, Slope Factor, Sovereign Bonds, Stable Distribution, Stochastic Long-Term Rate, Stress-Tests, Structure par Terme, Systemic Risk, Taux de Long-Terme Stochastique, Taux d’intérêt, Term Structure, Tests de Résistance

Liquidity and Equity Short term fragility: Stress-tests for the European banking system.

Bank Balance Sheet, Bilans bancaires, Copula, Copules, Extreme Risks, Facteurs de risque, Financial Stability, Risk factors, Risque systémique, Risques extrêmes, Stabilité financière, Stress-test, Stress-tests, Systemic Risk

On the use of multi-state models to measure and manage the risks of an insurance contract.

Assurance crédit, Assurance dépendance, Competing risks data, Credit insurance, Estimation non-paramétrique, Hypothèse de Markov, Long term care insurance, Markov assumption, Matrice de transition, Modèle multi-états, Modèle à risques concurrents, Multi-state model, Nonparametric estimation, Stress tests, Stress-tests, Transition matrix