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).


Reset

Computation of the corrected Cornish–Fisher expansion using the response surface methodology: application to VaR and CVaR.

Cornish–Fisher expansion, Expected shortfall, Quantiles, Response surface methodology, 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

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

Pareto Models for Risk Management.

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

The extractData() dataset analyzed with K2, K3, K4 distributions.

Distribution, Distribution leptokurtique, Expected shortfall, Fat tails, Kurtosis, Leptokurtic distribution, Lois de probabilité, Queues de distribution asymétriques, Queues de distribution épaisses, Skewed tails, Skewness

A dynamic autoregressive expectile for time-invariant portfolio protection strategies.

CPPI, Dynamic quantile model, Expected shortfall, Expectile, Quantile regression

A dynamic autoregressive expectile for time-invariant portfolio protection strategies.

CPPI, Dynamic quantile model, Expected shortfall, Expectile, Quantile regression