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 models-at-risk.

Backtesting, Model Risk, Revue AERES, Value-at-risk

Intrinsic Liquidity in Conditional Volatility Models.

C01, C22, C58, G11, Garch, Liquidity, Quasi-Maximum Likelihood, Risk measures, Value-at-Risk

Impact of multimodality of distributions on VaR and ES calculations.

Adapted rejection sampling, Expected Shortfall, Moments method, Multimodal distributions, Regulation, Risks, Value-at-Risk

Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure.

Historical method, Prudential financial regulation, Stress risk measure, Stress testing, Tail risk measure, Uncertainty, Value-at-Risk

Impact of multimodality of distributions on VaR and ES calculation.

Expected Shortfall, Financial market, Multimodality, Risk, Value-at-Risk

More accurate measurement for enhanced controls: VaR vs ES?

Expected shortfall, Level of confidence, Marginal distributions, Risk measures, Value-at-Risk

Chaos-stochastic approaches to market risk.

Chaos stochastique, Correlations breakdowns, Mackey-Glass, Markov-Switching, Non linearity, Non linéarité, Stochastic chaos, Value-At-Risk

Extreme risk in finance: analysis and modeling.

Conditional Value-At-Risk, Fast Fourier transforms, Hidden Markov models, Lemme de Neyman-Pearson, Lois puissances, Lévy processes, Modèles de Markov cachés, Neyman-Pearson Lemma, Power laws, Processus de Lévy, Transformée de Fourier rapide, Value-At-Risk, Value-At-Risk Conditionnelle

Pareto Models for Risk Management.

EPD, Expected shortfall, Financial risks, GPD, Hill, Pareto, Quantile, Rare events, Regular variation, Reinsurance, Second order, Value-at-risk

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

Contribution to the modeling and dynamic risk management of energy markets.

Approximation stochastique, Conditional Value-at-Risk, Couverture du risque, Echantillonnage préférentiel, Energy markets, Importance Sampling, Marchés de l'énergie, Modèle multi-facteur, Multi-factor model, Processus stationnaire, Risk hedging, Stationnary process, Stochastic approximation, Value-at-Risk