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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Do corporate bond and credit default swap markets value environmental, social or corporate governance events?

Bond market, Corporate Social Responsibility, Credit Default Swaps, Event study

Do Corporate Bond and Credit Default Swap Markets Value Environmental, Social or Corporate Governance Events?

Bond market, Corporate Social Responsibility, Credit Default Swaps, Event study

Contagion Analysis in the Banking Sector.

Canonical Correlation, Contagion, Credit Default Swaps, Default Dependence, Systemic Risk

Contagion Analysis In The Banking Sector.

Canonical Correlation, Contagion, Credit Default Swaps, Default Dependence, Systemic Risk

Rare event simulation related to financial risks: efficient estimation and sensitivity analysis.

Credit default swaps, Deep out-of-the-money options, Ergodic properties, Fractional Brownian motion, Interacting particle systems, Malliavin calculus, Markov chains, Model misspecification, Monte Carlo simulation, Rare event, Sensitivity analysis

Model selection problems in conditional volatility.

Changement de régime Markovien, Commodity prices, Credit default swaps, Exchange rates, Garch, Lagrange mutiplier, Markov Switching models, Multiplicateur de Lagrange, Oil prices, Prix des commodités, Pétrole, Smooth transition, Test statistics, Test statistiques, Transition lissée, Énergie

Stochastic Evolution of Distributions - Applications to CDS indices.

Credit Default Swaps, Dynamic Distributions, Mathematical Methods, Model Construction and Validation, Stochastic Analysis