Narrow search
Showing 1 - 10 of 19
Cover Image
Generating Yield Curve Stress-Scenarios
Charpentier, Arthur; Villa, Christophe - HAL - 2010
Several authors have proposed to combine movements in princi- pal components to generate scenarios of "large" historical changes in term structures, i.e. stress-scenarios. This approach, however, has at least two shortcommings. This paper answers at these two problems and proposes a general...
Persistent link: https://www.econbiz.de/10008793692
Cover Image
Assessing the Potential Strength of a Bank Capital Channel in Europe: A Principal Component Analysis
Badarau, Florina-Cristina; Levieuge, Grégory - HAL - 2010
The asymmetric impact of the recent financial crisis on the European countries' real activity raised the question of the heterogeneity of the transmission channels of shocks in the euro area. In this article, we suggest an assessment of this heterogeneity based on the banks' capital channel...
Persistent link: https://www.econbiz.de/10010618154
Cover Image
Construcción De Un Índice De Regionalización Para El Sistema Nacional De Propiedad Industrial (Spi): Una Aproximación Desde La Metodología De Componentes Principales [Constructing a Regionalization Index for the National Industrial Property (Spi): An Approach from the Principal Component Analysis (Pca)]
Robledo, Jacobo Campo; Cantor, Natalia Vargas; … - HAL - 2012
Through the principal component methodology, this paper proposes an index of regionalization (IROPI) that allows an objective criterion for the location across the national territory of the industrial property offices in Colombia. Results from the index were complemented with a comparative...
Persistent link: https://www.econbiz.de/10010899648
Cover Image
Which dimensions of social responsibility concern financial investors?
Girerd-Potin, I.; Jimenez-Garcès, Sonia; Louvet, P. - HAL - 2012
Social and environmental ratings provided by social rating agencies are multidimensional. Using the six sub-ratings provided by the Vigeo rating agency, we perform a principal component analysis and we highlight three main socially responsible (SR) dimensions related to (1) the direct...
Persistent link: https://www.econbiz.de/10011025576
Cover Image
Risk Assessment for a Structured Product Specific to the CO2 Emission Permits Market
Frunza, Marius-Cristian; Guegan, Dominique - HAL - 2010
several modelling methods for CO2 emission prices. We use these results for risk modeling of the swap between two CO2 related …
Persistent link: https://www.econbiz.de/10010603688
Cover Image
Influence d'internet sur l'offre de cadeaux :
Papetti, Catherine - HAL - 2011
'orientation communautaire de l'échange de cadeaux mériterait d'être enrichie. Ainsi, en prenant l'exemple du swap de cadeaux sur Internet, nous …
Persistent link: https://www.econbiz.de/10009151147
Cover Image
Derivative Pricing and Hedging on Carbon Market
Frunza, Marius-Cristian; Guegan, Dominique - HAL - 2010
The aim of this work is to bring an econometric approach upon the CO2 market. We identify the specificities of this market, and analyze the carbon as a commodity. We investigate the econometric particularities of CO2 prices behavior and their result of the calibration. We apprehend and explain...
Persistent link: https://www.econbiz.de/10010549078
Cover Image
An economic view of carbon allowances market
Frunza, Marius-Cristian; Guegan, Dominique - HAL - 2009
structured product specific to the carbon market, the swap between two carbon instruments : The European Union Allowances and the …
Persistent link: https://www.econbiz.de/10010738507
Cover Image
Category-based Tail Comovement
Charpentier, Arthur; Galariotis, Emilios; Villa, Christophe - HAL - 2009
Traditional …financial theory predicts that comovement in asset returns is due to fundamentals. An alternative view is … that of Barberis and Shleifer (2003) and Bar- beris, Shleifer and Wurgler (2005) who propose a sentiment based theory of … independent. In this paper we extend the sentiment based theory of comovement so as to cover the whole spectrum of dependence …
Persistent link: https://www.econbiz.de/10008793727
Cover Image
Financial Markets Equilibrium with Heterogeneous Agents
Cvitanic, Jaksa; Jouini, Elyès; Malamud, Semyon; Napp, … - HAL - 2012
This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may dier in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the...
Persistent link: https://www.econbiz.de/10009360288