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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Intrinsic Liquidity in Conditional Volatility Models.

C01, C22, C58, G11, Garch, Liquidity, Quasi-Maximum Likelihood, Risk measures, Value-at-Risk

Study of numerical methods for partial hedging and switching problems with costs uncertainty.

Contrôle optimal stochastique, Enlargement of filtration, Grilles Sparses, Grossissement de filtration, Mesures de risque (finances), Monotone finite difference schemes, Non-Linear partial differential equations (PDEs), Obliquely reflected backward stochastic differential equations (BSDEs), Optimal Switching, Quantile hedging, Risk measures, Schémas de différences finies monotones, Sparse grids, Stochastic optimal control, Switching optimal, Viscosity solutions, Équations différentielles stochastiques rétrogrades obliquement réfléchies

More Accurate Measurement for Enhanced Controls: VaR vs ES?

Capital requirement, Level of confidence, Marginal distributions, Risk measures

Risk or Regulatory Capital? Bringing distributions back in the foreground.

Extreme value distributions, Financial regulation, Level of confidence, Risk measures, Sub-additivity

Using a time series approach to correct serial correlation in operational risk capital calculation.

Gegenbauer processes, Gegenbauer processus, Mesure du risque, Monte Carlo, Operational risk, Risk measures, Risque opérationnel, Séries chronologiques, Time series

More accurate measurement for enhanced controls: VaR vs ES?

Expected shortfall, Level of confidence, Marginal distributions, Risk measures, Value-at-Risk

Combining risk measures to overcome their limitations - spectrum representation of the sub-additivity issue, distortion requirement and added-value of the Spatial VaR solution: An application to Regulatory Requirement for Financial Institutions.

Distortion, Distributions, Financial regulation, Level of confidence, Risk measures, Spectral measure, Spectrum, Sub-additivity

Risk Measures At Risk- Are we missing the point? Discussions around sub-additivity and distortion.

Distortion, Distributions, Financial regulation, Level of confidence, Risk measures, Spectral measure, Sub-additivity

Financial Regulation: More Accurate Measurements for Control Enhancements and the Capture of the Intrinsic Uncertainty of the VaR.

Distribution, Financial markets, Regulation, Risk measures

Risk Measures at Risk- Are we missing the point? Discussions around sub-additivity and distortion.

Distortion, Distributions, Financial regulation, Level of confidence, Risk and Financial Management, Risk measures, Spatial measure, Spectral measure, Spectrum, Sub-additivity

Risk Measure Inference.

Bootstrap, Grouped Ranking, Risk Measures, Uncertainty

BSDEs with jumps, optimization and applications to dynamic risk measures.

Backward stochastic differential equations with jumps, Comparison theorems, Risk measures