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).
Three essays on modeling dependence between financial assets.
Copules, Couplage de processus stochastiques, Dépendance extrème, Dépendances entre vecteurs aléatoires, Transport optimal
How to measure portfolio risk through the statistical study of non-linear processes.
Copules, Mélangeance, Portefeuille d'actifs financiers, Processus chaotiques, Processus longue mémoire, Processus non linéaires, Risque, Théorie des valeurs extrêmes
Lévy Processes in Finance: Inverse Problems and Dependence Modelling.
Calibration, Copulas, Copules, Dependence, Dépendance, Entropie relative, Ill-posed problems, Inverse problems, Lévy processes, Option pricing, Problèmes inverses, Problèmes mal posés, Processus de Lévy, Produits dérivés, Regularization, Relative entropy, Régularisation
Dependency structures and boundary results with applications to insurance finance.
Archimedean copulas, Assurance, Clayton copula, Copulas, Copule de Clayton, Copules, Copules d'Archimède, Credit risk, Dependence, Dépendance, Dépendance de queue, Extremes, Finance, Flood, Heat wave, Inondation, Insurance, Risk, Risque, Risque de crédit, Storms, Tail dependence, Tempêtes, Vague de chaleur
Dependency and boundary results, some applications in finance and insurance.
Archimedean copulas, Assurance, Canicule, Copulas, Copules, Copules archimédiennes, Credit risk, Estimation par noyaux, Extrêmes, Finance, Flood, Heat wave, Inondation, Insurance, Kernel estimates, Multivariate, Multivarié, Regular variation, Reinssurance, Risque de crédit, Réassurance, Storms, Tempête, Variation régulière
Modeling the dependency between pre-extremes.
Archimax copulas, Clustering, Copulas, Copules, Copules Archimax, Dependence modeling, Empirical processes, Extremes, Extrêmes, Inférence semiparametrique, Modélisation de la dépendence, Processus empiriques, Semi parametric inference
Dependency models in risk theory.
Allocation de capital, Capital allocation, Copulas, Copules, Dependence, Discounted aggregate claims, Dépendance, Environnement markovien, Markovian environment, Risk theory, Ruin theory, Somme de valeurs présentes, Théorie de la ruine, Théorie du risque
Multivariate risk measures and applications in actuarial science.
Allocation du capital, Approximation stochastique, Capital allocation, Copulas, Copules, Dependence modeling, Extreme values, Gestion des risques, La théorie du risque, Mesures de risque multivariées, Modélisation de la dépendance, Multivariate risk measures, , , , , ,, Risk management, Risk theory, Stochastic approximation, Valeurs extrêmes
Application of copulas to the estimation of Pareto fronts.
Archimedean copulas, Copulas, Copules, Copules archimédiennes, Front de Pareto, Multi-objective optimization, Optimisation multi-objectifs, Pareto front
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
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