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Optimal portfolio allocation under asset and surplus VaR constraints
Monfort, Alain - 2009
Persistent link: https://www.econbiz.de/10003882289
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Affine modeling of credit risk, pricing of credit events and contagion
Monfort, Alain; Pegoraro, Fulvio; Renne, Jean-Paul; … - 2019 - This version: December 2019
Persistent link: https://www.econbiz.de/10012237594
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Staying at zero with affine processes : an application to term structure modelling
Monfort, Alain; Pegoraro, Fulvio; Renne, Jean-Paul; … - 2015
Persistent link: https://www.econbiz.de/10011305204
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Switching VARMA term structure models : extended version
Monfort, Alain (contributor); Pegoraro, Fulvio (contributor) - 2007
Persistent link: https://www.econbiz.de/10003796537
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No-arbitrage near-cointegrated VAR(p) term structure models, term premia and GDP growth
Jardet, Caroline; Monfort, Alain; Pegoraro, Fulvio - 2009
Persistent link: https://www.econbiz.de/10003882004
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Credit and liquidity risks in euro-area sovereign yield curves
Monfort, Alain; Renne, Jean-Paul - 2011
Persistent link: https://www.econbiz.de/10009381803
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Default, liquidity and crises : an econometric framework
Monfort, Alain; Renne, Jean-Paul - 2011
Persistent link: https://www.econbiz.de/10009381919
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Credit and liquidity in interbank rates : a quadratic approach
Dubecq, Simon; Monfort, Alain; Renne, Jean-Paul; … - 2013
Persistent link: https://www.econbiz.de/10009790707
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Regime switching and bond pricing
Gouriéroux, Christian; Monfort, Alain; Pegoraro, Fulvio; … - 2013
Persistent link: https://www.econbiz.de/10010200003
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Ultra Long Run Term Structure Models
Gourieroux, Christian; Lu, Yang; Monfort, Alain - 2022
The ultra long run (ULR) discount rates are key inputs for valuing pension funds, life annuities, or firms with long run investments due to low carbon transition. However the corresponding zero-coupon bonds are only actively traded up to a last liquid point (LLP) such as 20 years, say. This...
Persistent link: https://www.econbiz.de/10013404371