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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Kriging of financial term-structures.

Implied default distribution, Interest-rate curve, Kriging, Model risk, No-arbitrage constraints, OIS discount curve, Yield curve

Quantification and statistical methods for model risk.

Affine model, Analyse de sensibilité, Contrast index, Courbe de crédit, Courbe de taux, Credit curve, Indice de Sobol, Indice de contraste, Model risk, Modèle affine, Ordre stochastique, Risque de modèle, Sensitivity analysis, Sobol index, Stochastic order, Yield curve

On the Range of Admissible Term-Structures.

Affine term-structure models, Arbitrage-free bounds, Credit curves, Model risk, OIS discounting curves, Term-structure construction methods

The Sustainable Black-Scholes Equations.

Cost of capital KVA, Cost of funding FVA, Market incompleteness, Model risk, Optimal martingale transport, Volatility uncertainty

The Sustainable Black-Scholes Equations.

Cost of capital KVA, Cost of funding FVA, Market incompleteness, Model risk, Optimal martingale transport, Volatility uncertainty

Risk models-at-risk.

Backtesting, Model risk, Value at risk

Risk models-at-risk.

Backtesting, Model Risk, Revue AERES, Value-at-risk

Quantification of the model risk in finance and related problems.

Backward stochastic differential equations, Couverture quadratique, Equations différentielles stochastiques rétrogrades, Gas storage unit, Martingale problem, Model risk, Optimal transport, Problème martingale, Quadratic hedging, Risque de modèle, Transport optimal, Unité de stockage de gaz

Quantifying Biometric Life Insurance Risks With Non-Parametric Smoothing Methods.

Adaptive parameters choice, Assurance dépendance, Assurance vie, Boundary effect, Choix adaptatif des paramètres, Effets de bordure, Extrapolation, Generalized linear models, Graduation, Heterogeneity, Hétérogénéité, Life insurance, Local likelihood, Local polynomials, Long-term care insurance, Model risk, Modèles linéaires généralisés, Modèles relationels, P-splines, Prospective mortality table, Pôlynomes locaux, Relational models, Risque de modèle, Table de mortalité propective, Vraisemblance locale, Whittaker-Henderson

Mortality: a statistical approach to detect model misspecification.

Actuarial report, Detection, Model risk, Monitoring, Mortality, Solvency 2

Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach.

Global minimum variance portfolio, Model Risk, Parameter uncertainty, Revue AERES, Robust least squares, Robust portfolio

An Economic Evaluation of Model Risk in Long-term Asset Allocations.

Allocation d'actifs de long-terme, Critère de prudence, Long-term Asset Allocation, Model Risk, Risque de modèle, Safety First Criterion, VaR