n this paper, we bring a new econometric perspective for CO2 emission prices modelling and we provide with an innovative methodological approach to compute option prices in incomplete markets. We apply our methodology to carbon derivative. We calibrate several Generalized Hyperbolic and GARCH...

This article questions the empirical usefulness of leverage effects to describe the dynamics of equity returns. Relying on both in and out of sample tests we consistently find a weak contribution of leverage effects over the past 25 years of S&P 500 returns. The skewness in the conditional...

The Operational Risk Advanced Measurement Approach requires financial institutions to use scenarios to model these risks and to evaluate the pertaining capital charges. Considering that a banking group is composed of numerous entities (branches and subsidiaries), and that each one of them is...

The aim of this paper is to study the cross-sectional effects present in the market using a new framework based on graph theory. Within this framework, we represent the evolution of a dynamic portfolio, i.e. a portfolio whose weights vary over time, as a rank-based multivariate model where the...

Sharpe-like ratios have been traditionally used to measure the performances of portfolio managers. However, they are known to suffer major drawbacks. Among them, two are intricate: (1) they are relative to a peer's performance and (2) the best score is generally assumed to correspond to a "good"...

The aim of this work is to use a new modelling technique for CO2 emission prices, in order to estimate the risk associated with a related, structured product. After a short discussion of the speci ficities of this market, we investigate several modelling methods for CO2 emission prices. We use...

This paper analyzes the dynamics of the US inflation time series using two classes of models: structural change models and long memory processes. For the first class, the Markov Switching Autoregressive (MS-AR) model of Hamilton (1989) and the Structural Change-Autoregressive (SCH-AR) model...

We present a new recursive algorithm to construct vine copulas based on an underlying tree structure. This new structure is interesting to compute multivariate distributions for dependent random variables. We proove the asymptotic normality of the vine copula parameter estimator and show that...