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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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Climate policies as a hedge against the uncertainty on future oil supply
Rozenberg, Julie; Hallegatte, Stéphane; Vogt-Schilb, Adrien - HAL - 2010
Despite the inextricable link between oil scarcity and climate change, the interplay between these two issues is paradoxically an underworked area. This article uses a global energy-economy model to address the link between future oil supply and climate change and assesses in a common framework...
Persistent link: https://www.econbiz.de/10009647577
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Climate policies as a hedge against the uncertainty on future oil supply
Rozenberg, Julie; Hallegatte, Stéphane; Vogt-Schilb, Adrien - HAL - 2010
Despite the inextricable link between oil scarcity and climate change, the interplay between these two issues is paradoxically an underworked area. This article uses a global energy-economy model to address the link between future oil supply and climate change and assesses in a common framework...
Persistent link: https://www.econbiz.de/10010738735
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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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Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market
Guegan, Dominique; Zhang, Jing - HAL - 2007
is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model …
Persistent link: https://www.econbiz.de/10010750828
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Operational risk: A Basel II++ step before Basel III
Guegan, Dominique; Hassani, Bertrand - HAL - 2011
Following Banking Committee on Banking Supervision, operational risk quantification is based on the Basel matrix which enables sorting incidents. In this paper, we deeply analyze these incidents and propose strategies for carrying out the supervisory guidelines proposed by the regulators. The...
Persistent link: https://www.econbiz.de/10010635043
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Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market
Guegan, Dominique; Zhang, Jing - HAL - 2009
is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model …
Persistent link: https://www.econbiz.de/10010738494
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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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Les Dérivés de Crédit: Étude Des Répercussions de la Prime de Risque de la Variance (PRV) Sur Les (Credit Default Swap)
Zgolli, Ghada - HAL - 2012
Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using cross sectional regressions. These theoretical determinants are variance risk premia, implied volatility and the...
Persistent link: https://www.econbiz.de/10010821297
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Credit derivatives: instruments of hedging and factors of instability. The example of “Credit Default Swaps” on French reference entities.
Rey, Nathalie - HAL - 2009
Through a long-period analysis of the inter-temporal relations between the French markets for credit default swaps (CDS), shares and bonds between 2001 and 2008, this article shows how a financial innovation like CDS could heighten financial instability. After describing the operating principles...
Persistent link: https://www.econbiz.de/10008793681