the stochastic correlation. Thanks to its flexibility, this model enables a better fit of market data than the Heston … are analyzed in practice but not in theory. The resulting approximations allow a study of the parameters influence and can …

small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric cross-correlation …

Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of the portfolio from … available observations and computing a ``risk measure" which summarizes the risk of the portfolio. We define the notion of … ``risk measurement procedure", which includes both of these steps and introduce a rigorous framework for studying the …

Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR … desirable properties of risk measures like coherence, comonotonic additivity, robustness and elicitability. We check VaR, ES and … their impact on capital allocation, an important issue in risk management. We find that, despite the caveats that apply to …

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …

La mondialisation et l'internationalisation peuvent inciter à retenir le consensus comme un mode de décision fédérateur …

between pessimism (resp. doubt) and risk-tolerance. The consensus belief is pessimistic and, as a consequence, the risk …. overconfidence) as well as pessimism (resp. doubt) both emerge as optimal beliefs. Furthermore, we obtain a positive correlation … may be applied to several other situations in which agents have to choose the optimal exposure to a risk (choice of an …

markets discrete time economy. The construction of a consensus belief, as well as a consensus consumer are shown to be valid … modulo a predictable aggregation bias, which takes the form of a discount factor. We use our construction of a consensus … consumer to investigate the impact of beliefs heterogeneity on the CCAPM and on the expression of the risk free rate. We focus …