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The limits of granularity adjustments

Fermanian, Jean-David - In: Journal of banking & finance 45 (2014), pp. 9-25

Persistent link: https://www.econbiz.de/10010466685

The limits of granularity adjustments

Fermanian, Jean-David - 2013

Persistent link: https://www.econbiz.de/10010342709

Dynamic Asset Correlations Based on Vines

Poignard, Benjamin - 2016

We develop a new method for generating dynamics of conditional correlation matrices between asset returns. These correlation matrices will be parameterized by a subset of their partial correlations,whose structure will be described by an undirected graph called 'vine.' Since such partial...

Persistent link: https://www.econbiz.de/10013005312

Multi-factor granularity adjustments for market and counterparty risks

Fermanian, Jean-David; Florentin, Clément - 2016

Persistent link: https://www.econbiz.de/10012196291

Dynamic asset correlations based on vines

Poignard, Benjamin; Fermanian, Jean-David - In: Econometric theory 35 (2019) 1, pp. 167-197

Persistent link: https://www.econbiz.de/10012146127

Multifactor granularity adjustments for market and counterparty risks

Fermanian, Jean-David; Florentin, Clément - In: Journal of risk 20 (2017/2018) 6, pp. 1-27

Persistent link: https://www.econbiz.de/10011962402

Risk Budgeting portfolios : existence and computation

Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924

Persistent link: https://www.econbiz.de/10014565279