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A mathematical resurgence of risk management: an extreme modeling of expert opinions

Guegan, Dominique; Hassani, Bertrand - HAL - 2011

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...

Persistent link: https://www.econbiz.de/10011025772

The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio

Busse, Marc; Dacorogna, Michel; Kratz, Marie - HAL - 2013

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a probabilistic approach to examine the consequences of its...

Persistent link: https://www.econbiz.de/10010899196

What Is the Best Risk Measure in Practice? A Comparison of Standard Measures

Emmer, Suzanne; Kratz, Marie; Tasche, Dirk - HAL - 2013

Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticized for issues relating to backtesting. In particular, ES has been found not to be elicitable which means that backtesting for ES...

Persistent link: https://www.econbiz.de/10010821003

Die ökonometrische Bestimmung von Liquiditätsrisiken und deren Einfluss auf Finanzrisikoprognosen

Uffmann, Christina - 2020

Persistent link: https://www.econbiz.de/10012115141

Risikoforschung und Versicherungsmanagement : Festschrift für Prof. Dr. Ute Werner anlässlich ihrer Emeritierung

Jeske, Klaus-Jürgen (ed.); Ludwig, Felix (ed.); … - 2018

Persistent link: https://www.econbiz.de/10011818256

Climate policies as a hedge against the uncertainty on future oil supply

Rozenberg, Julie; Hallegatte, Stéphane; Vogt-Schilb, Adrien - HAL - 2010

Despite the inextricable link between oil scarcity and climate change, the interplay between these two issues is paradoxically an underworked area. This article uses a global energy-economy model to address the link between future oil supply and climate change and assesses in a common framework...

Persistent link: https://www.econbiz.de/10010738735

Climate policies as a hedge against the uncertainty on future oil supply

Rozenberg, Julie; Hallegatte, Stéphane; Vogt-Schilb, Adrien - HAL - 2010

Persistent link: https://www.econbiz.de/10009647577

Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market

Guegan, Dominique; Zhang, Jing - HAL - 2009

is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model …

Persistent link: https://www.econbiz.de/10010738494

Pricing bivariate option under GARCH processes with time-varying copula

Zhang, Jing; Guegan, Dominique - HAL - 2008

Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time …-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen Stock Composite Indexes. Results show that the option prices obtained by the time-varying copula model …

Persistent link: https://www.econbiz.de/10010738655

Non-stationarity and meta-distribution

Guegan, Dominique - HAL - 2008

In this paper we deal with the problem of non-stationarity encountered in a lot of data sets, mainly in financial and economics domains, coming from the presence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. Existence of non-stationarity involves spurious behaviors...

Persistent link: https://www.econbiz.de/10010750362