Narrow search
Showing 91 - 100 of 126
Cover Image
Commonality in Liquidity: A Global Perspective
Brockman, Paul; Chung, Dennis Y.; Pérignon, Christophe - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 4, pp. 851-882
Persistent link: https://www.econbiz.de/10008333860
Cover Image
Why common factors in international bond returns are not so common
Pérignon, Christophe; Smith, Daniel R.; Villa, Christophe - In: Journal of international money and finance 26 (2007) 2, pp. 284-304
Persistent link: https://www.econbiz.de/10007604796
Cover Image
Derivatives Clearing, Default Risk, and Insurance
Jones, Robert A.; Pérignon, Christophe - In: The journal of risk and insurance : the journal of the … 80 (2013) 2, pp. 373-400
Persistent link: https://www.econbiz.de/10010120172
Cover Image
Data analysis: Component proponents - Principal component analysis can be problematic when different data sets are grouped together. The authors show how to resolve this problem us...
Pérignon, Christophe; Villa, Christophe - In: Risk : managing risk in the world's financial markets 15 (2002) 9, pp. 154-156
Persistent link: https://www.econbiz.de/10007035413
Cover Image
Sources of Time Variation in the Covariance Matrix of Interest Rates
Pérignon, Christophe; Villa, Christophe - In: The journal of business : B 79 (2006) 3, pp. 1535-1550
Persistent link: https://www.econbiz.de/10007261372
Cover Image
Interest rates: Component proponents II - The authors propose a novel method of extracting the risk factors driving interest rates that allows both the covariance matrix of interes...
Pérignon, Christophe; Villa, Christophe - In: Risk : managing risk in the world's financial markets 17 (2004) 7, pp. 77-80
Persistent link: https://www.econbiz.de/10007026812
Cover Image
Do banks overstate their Value-at-Risk?
Pérignon, Christophe; Deng, Zi Yin; Wang, Zhi Jun - In: Journal of banking & finance 32 (2008) 5, pp. 783-794
Persistent link: https://www.econbiz.de/10007995462
Cover Image
Yield-factor volatility models
Pérignon, Christophe; Smith, Daniel R. - In: Journal of banking & finance 31 (2007) 10, pp. 3125-3144
Persistent link: https://www.econbiz.de/10007795191
Cover Image
The pernicious effects of contaminated data in risk management
Frésard, Laurent; Pérignon, Christophe; Wilhelmsson, … - In: Journal of banking & finance 35 (2011) 10, pp. 2569-2584
Persistent link: https://www.econbiz.de/10009290693
Cover Image
Do banks overstate their Value-at-Risk?
Pérignon, Christophe; Deng, Zi Yin; Wang, Zhi Jun - In: Journal of banking & finance 32 (2008) 5, pp. 783-795
Persistent link: https://www.econbiz.de/10008883949