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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Credit risk and interdependence.

Champ de Markov, Credit Risk, Interdependence adn contagion, Interdépendance et contagion, Ising model, Markov Fields, Modèle d’Ising, Monotonie des matrices de transition, Risque de crédit, Stress-tests, Transition matrix monotony

An extension of Davis and Lo's contagion model.

CDO tranches, Contagion model, Credit risk, Default distribution, Dependent defaults, Exchangeability

Contributions to credit risk and interest rate modeling.

Credit risk, Interest rate models, Mathematical finance, Maximisation d'utilité

Sovereign Risk Assessment: Theoretical Analysis and Empirical Evidence.

Credit risk, Risque de crédit

Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institutions Investment Decisions.

Credibility theory, Credit risk, Modèle Panel, Multi-facteur de régression, Multi-factor regression, Notes, Panel model, Rating, Risque de crédit, Théorie de la crédibilité

Credit Risk Analysis Using Machine and Deep Learning Models.

Big data, Credit risk, Data science, Deep learning, Financial regulation

Credit Risk Analysis using Machine and Deep Learning models.

Bigdata, Credit risk, Data Science, Deep learning, Financial regulation

Regulatory Learning: Credit Scoring Application of Machine Learning.

Big Data, Credit Risk, Machine Learning, Regulation

Essays in financial economics.

Accession à la propriété, Bank Credit, Bank Supervision, Capital Requirements, Credit Rationing, Credit Risk, Crédit bancaire, Crédit immobilier, Discipline de marché, Exigences de capital, Fragmentation, Homeownership, Housing Credit, Interbank Market, Interest-Free Loan, Marché interbancaire, Market Discipline, Prix immobilier, Prêt à Taux Zéro, Rationnement du crédit, Real estate prices, Risque de crédit, Risque souverain, Sovereign Risk, Supervision bancaire

Analysis of the dynamics of the contagion phenomenon between European sovereign bonds during recent episodes of financial crises.

Aversion au risque / app?tit pour le risque, CDS spreads. sovereign bonds, CDS. obligations souveraines, Contagion, Credit risk, Crise souveraine, Default probability, Financial contagion, Probabilit? de d?faut, Risk aversion / risk appetite, Risque souverain, Sovereign crisis

Scoring for credit risk: polytomous response variable, variable selection, dimension reduction, applications.

Credit risk, Lasso, Polytomous regression, Risque de crédit, Régression polytomique, Scoring, Sélection de variables, Variable selection

Risk in Islamic Banking.

Bank risk, Credit risk, Insolvency, Islamic banking, Islamic finance, Stability, Zscore