This paper derives a general framework for collateral risk control determination in repurchase transactions or repos. The objective is to treat consistently heterogeneous collateral so that the collateral taker has a similar risk exposure whatever the collateral pledged. The framework measures...

We study a test statistic on the integrated squared difference between a kernel estimator of the copula density and a kernel smoothed estimator of the parametric copula density. We show for fixed smoothing parameters that the test is consistent and that the asymptotic properties are driven by a...

We consider distributional free inference to test for positive quadrant dependence, i.e.for the probability that two variables are simultaneously small (or large) being at least as great as it would be were they dependent. Tests for its generalisation in higher dimensions, namely positive...

We suggest an empirical model to analyze the investment style of individual hedge funds and funds of funds. Our approach is based on a mixture of the style analysis approach suggested by Sharpe (1988), the factor push approach used in stress testing, and historical simulation. An interesting and...

In this paper, we characterize explicitly the first derivative of the Value at Risk and the Expected Shortfall with respect to portfolio allocation when netting between positions exists. As a particular case, we examine a simple Gaussian example in order to illustrate the impact of netting...

This paper analyses the consequences of the process of financial and economic integration on European equity markets. It documents significant changes in fundamentals, notably an increased synchronisation of macroeconomic activities, and a non-negligible evolution in pricing, with a decrease in...

This paper examines the intra-day behavior of asset prices shortly before and after large price changes. Whereas similar studies so far have been based on daily closing prices, I use three years of high frequency data of 120 stocks listed on the French stock exchange. Various systematic...

We propose inference tools to analyse the ordering of concordance of random vectors. The analysis in the bivariate case relies on tests for upper and lower quadrant dominance of the true distribution by a parametric or semiparametric model, i.e. for a parametric or semiparametric model to give a...

In this paper we develop a structural equation model with latent variables in an ordinal setting which allows us to test broker-dealer predictive ability of financial market movements. We use a multivariate logit model in a latent factor framework, develop a tractable estimator based on a...

We consider a nonparametric method to estimate copulas, i.e. functions linking joint distributions to their univariate margins. We derive the asymptotic properties of kernel estimators of copulas and their derivatives in the context of a multivariate stationary process satisfactory strong mixing...