This paper proposes a new approach to measure the dependence in multivariate financial data. Data in finance and insurance often cover a long time period. Therefore, the economic factors may induce some changes inside the dependence structure. Recently, two methods using copulas have been...

Rapport d'un stage de six mois à l'UDV portant sur trois missions principales : - diagnostic d'une association dans le cadre du Dispositif Régional d'Accompagnement 83 - missions autour du Pôle d'Initiatives Locales d'Économie Solidaire (PILES) dracénois - mise en place d'un système de...

"Constant proportion portfolio insurance" (CPPI) is nowadays one of the most popular techniques for portfolio insurance strategies. It simply consists of reallocating the risky part of a portfolio with respect to market conditions, via a leverage parameter - called the multiple - guaranteeing a...

We make use of a bootstrap panel analysis of causality between energy use and economic growth for a sample of sixteen African countries over the period 1988-2010. Our results show that growth and energy use are strongly linked in Africa. However, African countries are heterogeneous and there is...

The Basel Advanced Measurement Approach requires financial institutions to compute capital requirements on internal data sets. In this paper we introduce a new methodology permitting capital requirements to take into account the embedded dependence structures of operational risks. The loss...