The recent observed decline of business cycle variability suggests that broad macroeconomic risk may have fallen as well. This may in turn have some impact on equity risk premia. We investigate the latent structures in the volatilities of the business cycle and stock market valuations by...

With hedgefunds, managers develop risk management models that mainly aim to play on the effect of de correlation.In order to achieve this goal,companies use the correlation coefficient as an indicator for measuring dependencies existing between(i)the various hedge funds strategies and share...

L’objet de cette étude est d’évaluer l’impact des décisions des agences de notation (modifications de notation de crédit et les mises sous surveillance de ces notations) sur le prix des actions. Nous concentrons notre étude sur le marché français et comparons nos résultats aux...

This thesis is concerned with Monte Carlo methods for sampling high-dimensional binary vectors from complex distributions of interest. If the state space is too large for exhaustive enumeration, these methods provide a mean of estimating the expected value with respect to some function of...

Funded private pillars are well developed in many countries such as the United States, the United Kingdom, Canada, Switzerland and the Netherlands. In France, the development of occupational pension plans has been limited. However, in this country, households tend to increase their personal...

Given a multi-dimensional Markov diffusion X, the Malliavin integration by parts formula provides a family of representations of the conditional expectation E[g(X 2)|X1]. The different representations are determined by some localizing functions. We discuss the problem of variance reduction...

Quelles sont les méthodes de prévision des ventes ? Comment concevoir des systèmes intégrés de prévision ? Comment les évaluer ? A ces questions Régis Bourbonnais et Jean-Claude Usunier apportent des réponses opérationnelles. Après avoir présenté les notions statistiques et...

We consider H expected utility maximizers that have to share a risky aggregate multivariate endowment X∈RN and address the following two questions: does efficient risk-sharing imply restrictions on the form of individual consumptions as a function of X ? Can one identify the individual utility...