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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Ex-ante real estate Value at Risk calculation method.

Lease, Real estate finance, Risk management, Vacancy, Value at Risk

Cornish-Fisher Expansion for Commercial Real Estate Value at Risk.

Cornish-Fisher expansion, Real estate finance, Rearrangement procedures, Risk management, Risk measurement, Value at Risk

Towards a working crop insurance market : an integrated strategy of systemic risk management.

Agriculture insurance, Assurance agricole, Assurance indicielle, Catastrophe bonds, Crop yield, Gestion du risque, Index insurance, Obligation catastrophe, Rendement, Risk management, Risque systémique, Systemic risk

Essays in Empirical Corporate Finance.

Annonces de résultat, Attention limitée, Availability heuristic, Banques d'inverstissement, Earnings announcements, Fusions et acquisitions, Gestion des Risques, Investment banking, League tables, Leagues tables, Limited attention, Mergers and acquisitions, Risk management, Saillance, Salience

Stochastic approximations for financial risk computations.

American options, Approximation faibles, Credit risk measures, Décomposition en polynômes du chaos, Forward Variance, Initial Margin, Marge Initiale, Mesures de risque de crédit, Meta-modeling, Monte Carlo multi-Niveaux, Multilevel Monte Carlo, Métamodélisation, Options américaines, Orthogonal polynomials, Polynomial Chaos Expansion, Polynômes orthogonaux, Risk management, VIX, Variance Forward, Weak approximations

Hedging in alternative aarkets

Bitcoin mining, Couverture par procuration, Cryptocurrencies, Crypto­monnaies, Distribution forecast, Extraction de bitcoins, Gestion du risque, Jet fuel, Produits pétroliers, Proxy-hedging, Regime switching, Risk management, Timeseries modelling

Mandatory governance reform and corporate risk management.

Board monitoring, Corporate governance reform, Financial hedging, Foreign exchange risk, Operational hedging, Risk management, Risk-taking incentives, Sarbanes-Oxley Act

Dependence modeling between continuous time stochastic processes : an application to electricity markets modeling and risk management.

Bandwidth selection, Brownian motion, Copula, Copule, Dependence, Dépendance, Electricity markets, Estimateur à polynômes locaux, Estimation non paramétrique, Finance mathématique, Gestion des risques, High frequency statistics, Intensité stochastique, Inégalité oracle, Local polynomial estimation, Marchés de l'électricité, Mathematical finance, Mouvement Brownien, Non parametric estimation, Oracle inequality, Pics, Poisson process, Processus de Poisson, Production éolienne, Risk management, Semimartingale, Spikes, Statistique haute fréquence, Stochastic intensity, Sélection de fenêtre, Wind production

Machine Learning or Econometrics for Credit Scoring: Let's Get the Best of Both Worlds.

Credit scoring, Econo- metrics, Econometrics, Interpretability, Machine Learning, Machine learning, Risk management

Loss Functions for LGD Models Comparison.

Credit Risk Capital Requirement, Forecasts Comparison, Loss Function, Loss Given Default LGD, Risk management

Loss functions for LGD model comparison.

Credit Risk Capital Requirement, Forecasts Comparison, Loss Function, Loss Given Default LGD, Risk management

Machine Learning or Econometrics for Credit Scoring: Let's Get the Best of Both Worlds *.

Credit scoring, Econometrics, Interpretability, Machine Learning, Risk management