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A mathematical resurgence of risk management: an extreme modeling of expert opinions
Guegan, Dominique; Hassani, Bertrand - HAL - 2011
The Operational Risk Advanced Measurement Approach requires financial institutions to use scenarios to model these risks and to evaluate the pertaining capital charges. Considering that a banking group is composed of numerous entities (branches and subsidiaries), and that each one of them is...
Persistent link: https://www.econbiz.de/10011025772
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Pricing bivariate option under GARCH processes with time-varying copula
Zhang, Jing; Guegan, Dominique - HAL - 2008
Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time …-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen Stock Composite Indexes. Results show that the option prices obtained by the time-varying copula model …
Persistent link: https://www.econbiz.de/10010738655
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Pricing bivariate option under GARCH processes with time-varying copula
Zhang, Jing; Guegan, Dominique - HAL - 2008
Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time …-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen stock composite indexes. Results show that the option prices obtained by the time-varying copula model …
Persistent link: https://www.econbiz.de/10010750766
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Value at Risk Computation in a Non-Stationary Setting
Guegan, Dominique - HAL - 2010
This chapter recalls the main tools useful to compute Value at Risk associated with a m-dimensional portfolio. Then, the limitations of the use of these tools is explained, as soon as non-stationarities are observed in time series. Indeed, specific behaviours observed by financial assets, like...
Persistent link: https://www.econbiz.de/10010603681