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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Monetary policy and structural change in the United States.

Svar, Tests de racine unitaire, Var

Three Essays on Systemic Risk.

Banking Regulation, Capital Réglementaire, CoVaR, Divulgation des risqueDisclosures, Institutions financières d’importance systémique, MES, Regulatory Capital, Risk Disclosure, Risque systémique, Régulation bancaire, SRISK, Systemic Risk, Systemically Important Financial Institutions,, VaR

Performance evaluation of portfolio insurance strategies.

Assurance de portefeuille, CVaR, Cppi, Cumulative prospect theory., Dominance stochastique, Lower partial moments, Moments partiels inférieurs, Obpi, Portfolio insurance, Stochastic dominance, VaR, CVaR, Théorie cumulative des perspectives., VaR

Stress Testing Engineering: the real risk measurement?

Risk, Risques, Stress test, VaR

Multivariate VaRs for operational risk capital computation: a vine structure approach.

Loss distribution function, Nested structure, Operational risks, VaR, Vine copula

Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions.

Distorsion measures, Mesure de distorsion, Risk, Risques, VaR

CVa R HEDGING USING QUANTIZATION-BASED STOCHASTIC APPROXIMATION ALGORITHM.

CVaR, Quantification, Robbins-Monro algorithm, Stochastic Approximation, VaR

Hedging of volatility and correlation risk in a portfolio.

Allocation d'actifs, Asset allocation, Conditions de stationnarité, Dcc, Garch, Hedging strategies, Risque de volatilité et de corrélation, Régimes de volatilité, Stationarity conditions, Stratégies de couverture, VaR, Volatility and correlation risk, Volatility regimes

Three essays on bank excess liquidity in the Central African Economic and Monetary Community (CEMAC).

BEAC, BVAR, CEMAC, Canaux de transmission, Excess liquidity, Forecasting, GMM, Inflation, Monetary policy, Politique monétaire, Prévision, Surliquidité, Transmission channels, VAR

A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies.

Assurance de prtefeuille, CPPI, Dynamic Quantile Model, Expected Shorfall, Expectile, Extreme Value, Quantile Regression, VaR, VaR conditionnelle, Valeur Extrême

An Economic Evaluation of Model Risk in Long-term Asset Allocations.

Allocation d'actifs de long-terme, Critère de prudence, Long-term Asset Allocation, Model Risk, Risque de modèle, Safety First Criterion, VaR

Routine-Biased Technological Change and Hours Worked over the Business Cycle.

Business cycle, Hours worked, Job polarization, Long- run restrictions, Routine-biased technological change, VAR