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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Measuring risks in the extreme tail: The extreme VaR and its confidence interval.

Asymptotic theory, Confidence interval, Extreme Value-at-Risk, Extreme risk, Regulation, Stress testing

Measuring risks in the tail: The extreme VaR and its confidence interval.

Asymptotic theory, Confidence interval, Extreme Value-at-Risk, Extreme risk, Regulation, Stress testing

Stress-Test Exercises and the Pricing of Very Long-Term Bonds.

Absence d'arbitrage, Affine Model, Choc, Copula, Copule, Distribution Stable, Extreme Risk, Facteur Niveau, Facteur Pente, Factor Model, Gestion de Portefeuille, Interest Rate, Level Factor, Modèle Affine, Modèle à Facteur, No Arbitrage, Obligations Souveraines, Portfolio Management, Risque Extrême, Risque Systémique, Shock, Slope Factor, Sovereign Bonds, Stable Distribution, Stochastic Long-Term Rate, Stress-Tests, Structure par Terme, Systemic Risk, Taux de Long-Terme Stochastique, Taux d’intérêt, Term Structure, Tests de Résistance

Stress-Test Exercises and the Pricing of Very Long-Term Bonds.

Absence d'arbitrage, Affine Model, Choc, Copula, Copule, Distribution Stable, Extreme Risk, Facteur Niveau, Facteur Pente, Factor Model, Gestion de Portefeuille, Interest Rate, Level Factor, Modèle Affine, Modèle à Facteur, No Arbitrage, Obligations Souveraines, Portfolio Management, Risque Extrême, Risque Systémique, Shock, Slope Factor, Sovereign Bonds, Stable Distribution, Stochastic Long-Term Rate, Stress-Tests, Structure par Terme, Systemic Risk, Taux de Long-Terme Stochastique, Taux d’intérêt, Term Structure, Tests de Résistance