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Change analysis of a dynamic copula for measuring dependence in multivariate financial data

Guegan, Dominique; Zhang, Jing - HAL - 2010

This paper proposes a new approach to measure the dependence in multivariate financial data. Data in finance and insurance often cover a long time period. Therefore, the economic factors may induce some changes inside the dependence structure. Recently, two methods using copulas have been...

Persistent link: https://www.econbiz.de/10010738562

A Risk Management Approach for Portfolio Insurance Strategies

Hamidi, Benjamin; Maillet, Bertrand; Prigent, Jean-Luc - HAL - 2009

Dynamic AutoRegressive Quantile model of the Value-at-Risk (DARQ-VaR). Using a French daily stock database (CAC 40) and …

Persistent link: https://www.econbiz.de/10010738637

Econometric and Neural Network Analysis of the Labor Productivity and Average Gross Earnings Indices in the Romanian Industry

Andreica, Madalina Ecaterina; Cataniciu, Nicolae; … - HAL - 2009

This paper focuses on the identification and short term forecast of the correlation between the Labor Productivity Index (LPI) and the Average Gross Earnings Index (AGEI) in the Romanian Industry. The tools and models that were used consist of several lag econometric models, ARIMA processes, as...

Persistent link: https://www.econbiz.de/10010601713

New Prospects on Vines

Guegan, Dominique; Maugis, Pierre-André - HAL - 2010

great flexibility to practitioners to compute VaR associated to a portfolio in high dimension. …

Persistent link: https://www.econbiz.de/10010603639

Alternative methods for forecasting GDP

Guegan, Dominique; Rakotomarolahy, Patrick - HAL - 2010

, with parametric VAR modelling is conducted on the euro area GDP. Using both methods for nowcasting and forecasting the GDP …

Persistent link: https://www.econbiz.de/10010603668

L'approche DARE pour une mesure de risque diversifiée

Hamidi, Benjamin; Kouontchou, Patrick; Maillet, Bertrand - HAL - 2010

Nous proposons dans cet article, à partir des approches de Taylor (2008) et de Gouriéroux et Jasiak (2008), d'agréger différents modèles de quantiles et d'expectiles afin d'obtenir une méthode plus robuste de calcul de la valeur-en-risque et de la perte conditionnelle maximale en...

Persistent link: https://www.econbiz.de/10010603670

Alternative methods for forecasting GDP

Guegan, Dominique; Rakotomarolahy, Patrick - HAL - 2010

, with parametric VAR modelling is conducted on the euro area GDP. Using both methods for nowcasting and forecasting the GDP …

Persistent link: https://www.econbiz.de/10010603674

The Riskiness of Risk Models

Boucher, Christophe; Maillet, Bertrand - HAL - 2011

(specification and estimation risks) on VaR estimates. We find that integrating the model risk into the VaR computations implies a … substantial minimum correction of the order of 10-40% of VaR levels. We also present results of a practical method - based on a … backtesting framework - for incorporating the model risk into the VaR estimates. …

Persistent link: https://www.econbiz.de/10010605338

L'Union diaconale du Var (UDV)

Walter, Vincent - HAL - 2012

Rapport d'un stage de six mois à l'UDV portant sur trois missions principales : - diagnostic d'une association dans le cadre du Dispositif Régional d'Accompagnement 83 - missions autour du Pôle d'Initiatives Locales d'Économie Solidaire (PILES) dracénois - mise en place d'un système de...

Persistent link: https://www.econbiz.de/10010898877

A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies

Hamidi, Benjamin; Maillet, Bertrand; Prigent, Jean-Luc - HAL - 2014

"Constant proportion portfolio insurance" (CPPI) is nowadays one of the most popular techniques for portfolio insurance strategies. It simply consists of reallocating the risky part of a portfolio with respect to market conditions, via a leverage parameter - called the multiple - guaranteeing a...

Persistent link: https://www.econbiz.de/10010899414