Patrimony

The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).


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Central Clearing Valuation Adjustment.

Central counterparty CCP, Cost of capital, Cost of funding, Counterparty risk, Default fund, Margins, Netting

BSDEs of Counterparty Risk.

BSDE, Counterparty risk, Progressive enlargement of filtration

Counterparty risk and funding: immersion and beyond.

BSDE, Collateral, Counterparty risk, Credit derivatives, Funding, Gap risk, Immersion, Reduced-form credit modelling, Wrong-way risk

Capital Valuation Adjustment and Funding Valuation Adjustment.

Cost of capital, Cost of funding, Counterparty risk, FVA, Initial margin, KVA, MVA, Market incompleteness, Variation margin

Counterparty risk and funding: Immersion and beyond.

BSDE, Collateral, Counterparty risk, Credit derivatives, Dynamic copulas, Funding, Gap risk, Immersion, Invariant times, Reduced-form credit modeling, Wrong-way risk

Counterparty risk and funding: immersion and beyond.

BSDE, Collateral, Counterparty risk, Credit derivatives, Dynamic copulas, Funding, Gap risk, Immersion, Invariant times, Reduced-form credit modeling, Reduced-form credit modelling, Wrong-way risk

Credit risk and credit derivatives: mathematical and numerical modeling.

Counterparty risk, Risque de contrepartie

An assessment of CCP resilience under the new regulatory framework using public data.

Actions, Bonds, Counterparty risk, Derivatives products, Liquidity risk, Loss allocation, Obligations, Pensions livrées, Produits dérivées, Repurchase agreement, Risque de contrepartie, Risque de liquidité, Risque systémique, Répartition des pertes, Shares, Systemic risk