Since the end of the nineties, Basle Committee has required that banks compute periodically their VaR and maintain sufficient capital to pay the eventual losses projected by VaR. Unfortunately, there is not only one measure of VaR because volatility, which is a fundamental component of VaR, is...

Markets makers quote many option categories in terms of implicit volatility. In doing so, they can reactivate the Black and Scholes model which assumes that the volatility of an option underlying is constant while it is highly variable. First of all, this article, whose purpose is very...

In this paper, we show how to calibrate the most usual stochastic processes: arithmetic and geometric Brownian motions,, mean-reverting processes and jump processes. This paper contains also many applications to Canadian financial data. We observe, among other phenomena, that a mean-reverting...

This paper proposes to revisit both the CAPM and the three-factor model of Fama and French (1993) in presence of errors in the variables. To reduce the bias induced by measurement and specification errors, we transpose to the cost of equity an estimator based on cumulants of order three and four...

This paper proposes new Hausman-based estimators lying on cumulants optimal instruments. Using these new generated strong instruments in a GMM setting, we obtain new GMM estimators which we call GMM-C and its homologue, the GMM-hm. This procedure improves the method of moments for identifying...

Dans cet essai, nous présentons deux nouveaux estimateurs qui ont la propriété d’être convergents en présence d’erreurs de mesure sur les variables. Ces estimateurs sont basés sur les cumulants d’ordre deux et trois de la matrice des variables explicatives. Nous présentons...

En recourant de plus en plus aux modèles à forme réduite, la théorie de l'évaluation du risque de crédit se distance de plus en plus de l'ingénierie financière traditionnelle qui donne la part belle aux modèles structurels. Bien qu'ils postulent l'absence d'arbitrage, les modèles à...

In this paper we present two new estimators which are robust in the presence of errors in variables. These estimators are much less erratic than their classic counterparts: The Durbin and Pal estimators. These new estimators are based upon sample moments of order greater than two. They may be...

Plusieurs gestionnaires de portefeuille pensent encore à tort qu’une couverture delta suffit pour protéger leur portefeuille contre les fluctuations des marchés financiers. Mais une augmentation marquée de la volatilité des cours boursiers les décevra dans leurs attentes. Après avoir...

A very promising literature has been recently devoted to the modeling of ultra-high-frequency (UHF) data. Our first aim is to develop an empirical application of Autoregressive Conditional Duration GARCH models and the realized volatility to forecast future volatilities on irregularly spaced...