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The market measure of carbon risk and its impact on the minimum variance portfolio

Roncalli, Théo; Le Guenedal, Théo; Lepetit, Frédéric; … - In: The journal of portfolio management : JPM 47 (2021) 9, pp. 54-68

Persistent link: https://www.econbiz.de/10012613458

The benefit of narratives for prediction of the S&P 500 index

Blanqué, Pascal; Ben Slimane, Mohamed; Cherief, Amina; … - In: The journal of financial data science 4 (2022) 4, pp. 72-94

Persistent link: https://www.econbiz.de/10014232776

Keep up the momentum

Roncalli, Thierry - In: The journal of asset management 19 (2018) 5, pp. 351-361

Persistent link: https://www.econbiz.de/10011942571

Handbook of financial risk management

Roncalli, Thierry - 2020

1. Introduction. Part I Risk Management in the Financial Sector. 2. Market Risk. 3. Credit Risk. 4. Counterparty Credit Risk and Collateral Risk. 5. Operational Risk. 6. Liquidity Risk. 7. Asset Liability Management Risk. 8. Systemic Risk and Shadow Banking System. Part II Mathematical and...

Persistent link: https://www.econbiz.de/10013182189

Retour à la moyenne dans les cours du change du mécanisme de change européen : 1987-1995

Roncalli, Thierry; Pentecôte, Jean-Sébastien - In: Économie et Prévision 123 (1996) 2, pp. 189-205

[eng] A Return to Average Rates in the European Exchange Rate Mechanism: 1987-1995 by Jean Sébastien Pentecôte and Thierry Roncalli . This paper studies the effect of the return to average daily rates for the European Exchange Rate Mechanism currencies and the dollar against the deutschemark...

Persistent link: https://www.econbiz.de/10010977879