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Bilateral exposures and systemic solvency risk
Gouriéroux, Christian; Heam, Jean-Cyprien; Monfort, Alain - 2012
Persistent link: https://www.econbiz.de/10009714009
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Regime switching and bond pricing
Gouriéroux, Christian; Monfort, Alain; Pegoraro, Fulvio; … - 2013
Persistent link: https://www.econbiz.de/10010200003
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Pricing default events : surprise, exogeneity and contagion
Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - 2013
Persistent link: https://www.econbiz.de/10010200005
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Shock on variable or shock on distribution with application to stress-tests
Dubecq, Simon; Gouriéroux, Christian - 2012
Persistent link: https://www.econbiz.de/10009574513
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A term structure model with level factor cannot be realistic and arbitrage free
Dubecq, Simon; Gouriéroux, Christian - 2012
Persistent link: https://www.econbiz.de/10009574575
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Une modélisation séquentielle de la VaR
Monfort, Alain - 2009
Persistent link: https://www.econbiz.de/10003882287
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Optimal portfolio allocation under asset and surplus VaR constraints
Monfort, Alain - 2009
Persistent link: https://www.econbiz.de/10003882289
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No-arbitrage near-cointegrated VAR(p) term structure models, term premia and GDP growth
Jardet, Caroline; Monfort, Alain; Pegoraro, Fulvio - 2009
Persistent link: https://www.econbiz.de/10003882004
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New information response functions
Jardet, Caroline; Monfort, Alain; Pegoraro, Fulvio - 2009
Persistent link: https://www.econbiz.de/10003882012
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Credit and liquidity risks in euro-area sovereign yield curves
Monfort, Alain; Renne, Jean-Paul - 2011
Persistent link: https://www.econbiz.de/10009381803