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Modelisation des Marches avec Defauts de Paiements et Evaluation des Credits Defaults Swaps (Credit Default Swap Pricing in Default-prone Markets)
Seror, Jonathan - 2020
French Abstract: Les Credit Default Swaps (CDS) sont de plus en plus populaires pour la protection contre les défauts et la spéculation. Cette étude se concentre sur la modélisation précise du défaut en temps continu, puis sur l'evaluation des CDS. De nombreux cas entraînent l'annulation...
Persistent link: https://www.econbiz.de/10012831561
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Through the looking glass : indirect inference via simple equilibria
Calvet, Laurent E.; Czellar, Veronika - 2013
This paper proposes an indirect inference (Gourieroux, Monfort and Renault, 1993; Smith, 1993) estimation method for a large class of dynamic equilibrium models. Our approach is based on the observation that the econometric structure of these systems naturally generates auxiliary equilibria that can...
Persistent link: https://www.econbiz.de/10010499879
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Short Run and Long Run Causality in Time Series: Inference
Dufour, Jean-Marie; Pelletier, Denis; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2003
, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at … applied to a VAR model of the U.S. economy. Nous proposons des méthodes pour tester des hypothèses de non-causalité à … différents horizons, tel que défini dans Dufour et Renault (1998, Econometrica). Nous étudions le cas des modèles VAR en détail …
Persistent link: https://www.econbiz.de/10005100843
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A theoretical and empirical comparison of systemic risk measures
Benoit, Sylvain; Colletaz, Gilbert; Hurlin, Christophe; … - 2013
We derive several popular systemic risk measures in a common framework and show that they can be expressed as transformations of market risk measures (e.g., beta). We also derive conditions under which the different measures lead to similar rankings of systemically important financial...
Persistent link: https://www.econbiz.de/10010497204
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Where the risks lie : a survey on systemic risk
Benoit, Sylvain; Colliard, Jean-Edouard; Hurlin, Christophe - 2015
We review the extensive literature on systemic risk and connect it to the current regulatory debate. While we take stock of the achievements of this rapidly growing field, we identify a gap between two main approaches. The first one studies different sources of systemic risk in isolation, uses...
Persistent link: https://www.econbiz.de/10010505159
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The Wishart Autoregressive Process of Multivariate Stochastic Volatility
Jasiak, Joan; Sufana, R.; Gourieroux, C. - Department of Economics, York University - 2005
The Wishart Autoregressive (WAR) process is a multivariate process of stochastic positive definite matrices. The WAR is proposed in this paper as a dynamic model for stochastic volatility matrices. It yields simple nonlinear forecasts at any horizon and has factor representation, which separates...
Persistent link: https://www.econbiz.de/10005357414
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A Theoretical Comparison Between Integrated andRealized Volatilities / A Theoretical Comparison Between Integrated and Realized Volatilities
Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2001
In this paper, we provide both qualitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed. We start by characterizing for a general diffusion the difference between the realized and the integrated...
Persistent link: https://www.econbiz.de/10005100997
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Les apports de la théorie des options réelles à l'évaluation prospective de projets innovants : le cas d'un projet à investissements séquentiels et option d'abandon
Schier, Guillaume - In: Faculté individuelle d'anticipation et constructivisme, (pp. 1337-1360). 2008
Persistent link: https://www.econbiz.de/10003776794
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Les marchés dérivés sont-ils dangereux?
Capelle-Blancard, Gunther - In: Revue économique : revue bimestrielle 60 (2009) 1, pp. 157-171
Persistent link: https://www.econbiz.de/10003885079
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Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi - 2022
Persistent link: https://www.econbiz.de/10012939393