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Fire Sales Forensics: Measuring Endogenous Risk
Cont, Rama; Wagalath, Lakshithe - HAL - 2012
We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset returns in a multi-asset setting. Our results enable to quantify the impact of fire sales on the covariance structure of asset returns and provide a quantitative explanation for...
Persistent link: https://www.econbiz.de/10010548433
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High Frequency Lead/lag Relationships - Empirical facts
Huth, Nicolas; Abergel, Frédéric - HAL - 2011
small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric cross-correlation …
Persistent link: https://www.econbiz.de/10010618170
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Wishart Stochastic Volatility: Asymptotic Smile and Numerical Framework
Benabid, Anas; Bensusan, Harry; Karoui, Nicole El - HAL - 2008
the stochastic correlation. Thanks to its flexibility, this model enables a better fit of market data than the Heston … tractability. Firstly, we recall the Wishart volatility model and we present a Monte Carlo simulation method in sight of the …
Persistent link: https://www.econbiz.de/10008793719
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One-Year Volatility of Reserve Risk in a Multivariate Framework
Appert-Raullin, Yannick; Devineau, Laurent; Pichevin, … - HAL - 2013
The one-year prediction error (one-year MSEP) proposed by Merz and Wüthrich has become a market-standard approach for the assessment of reserve volatilities for Solvency II purposes. However, this approach is declined in a univariate framework. Moreover, Braun proposed a closed-formed...
Persistent link: https://www.econbiz.de/10010899719
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LIMITS TO GROWTH AND STOCHASTICS
Bouleau, Nicolas - HAL - 2012
The aim of this article is to use probabilistic ideas to study predictive reasoning based on hypotheses and models, but without using Ito calculus, without writing any stochastic differential equations, in fact without writing any formulas at all. The aim is to extract from the study of...
Persistent link: https://www.econbiz.de/10010899270
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How the location of urban consolidation and logistics facility has an impact on the delivery costs? An accessibility analysis
Gonzalez-Feliu, Jesus; Grau, Josep-Maria Salanova - HAL - 2014
and commercial trips. This paper proposes a simulation method to carry out a land-use and transport interaction analysis … accessibility and simulation of goods flows is made. Second, the proposed method is presented on the form of a sequential procedure …
Persistent link: https://www.econbiz.de/10010886180
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The Impact of Lease Structures on the Optimal Holding Period for a Commercial Real Estate Portfolio
Amédée-Manesme, Charles-Olivier; Baroni, Michel; … - HAL - 2014
holding period for a real estate asset or portfolio Methodology / approach We use a Monte Carlo simulation framework to …
Persistent link: https://www.econbiz.de/10010933143
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La simulation : une double-utilité en sciences de gestion.
Arena, Lise; Bérard, Céline - HAL - 2011
Si la simulation est une méthode de recherche de moins en moins obscure en sciences de gestion, son utilisation n … perpétuelle interaction avec leur environnement. À travers deux modèles de simulation illustratifs fondés sur la tradition de la … dynamique des systèmes, il propose de faire apparaitre l'intérêt de la simulation, à la fois pour le chercheur en sciences de …
Persistent link: https://www.econbiz.de/10009651545
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Design and scenario assessment for collaborative logistics and freight transport systems
Gonzalez-Feliu, Jesus; Morana, Joelle; Grau, … - HAL - 2013
Collaboration between partners is a very popular subject in both logistics and decision support research. However, transport management is often taken into account only as an external cost, without integration in collaborative reasoning. This paper proposes a framework to assess collaborative...
Persistent link: https://www.econbiz.de/10010679659
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The Influence of Time Windows on the Costs of Urban Freight Distribution Services in City Logistics Applications
Deflorio, Francesco P.; Gonzalez-Feliu, Jesus; Perboli, … - HAL - 2012
urban area and a peri-urban rural zone. A simulation method is proposed to obtain real-life scenarios in order to test the …
Persistent link: https://www.econbiz.de/10010575556