This paper demonstrates that aggregate losses are necessarily low as long as we remain under the standard assumptions of LDA models. Moreover empirical findings show that the correlation between two aggregate losses is typically below 5%, which opens a wide scope for large diversification...

This paper follows the different steps necessary for implementing a LDA in practice: - Step 1: Severity Estimation - Step 2: Frequency Estimation - Step 3: Capital Charge Computations - Step 4: Confidence Interval - Step 5: Self Assessment and Scenario Analysis For each of these steps, we try to...

The liquidity of exchange traded funds is of utmost importance for regulators, investors and providers. However, the study of liquidity is still in its infancy. In this work, we show some stylised facts of liquidity statistics (daily/intraday spread, trading volume, etc.). We also propose a new...

In this article, we consider smart beta indexing, which is an alternative to capitalization-weighted (CW) indexing. In particular, we focus on risk-based (RB) indexing, the aim of which is to capture the equity risk premium more effectively. To achieve this, portfolios are built which are more...

Fund selection is an important issue for investors. This topic has spawned abundant academic literature. Nonetheless, most of the time, these works concern only active management, whereas many investors, such as institutional investors, prefer to invest in index funds. The tools developed in the...

This article develops the theory of risk budgeting portfolios, when we would like to impose weight constraints. It appears that the mathematical problem is more complex than the traditional risk budgeting problem. The formulation of the optimization program is particularly critical in order to...

ESG investing has gained considerable traction over the past few years and, alongside smart beta, factor investing and alternative risk premia, is one of the current hot topics for the asset management industry. Nevertheless, even though large institutions such as insurance companies, pension...

The concept of alternative risk premia can be viewed as an extension of the factor investing approach. Factor investing is a term that is generally dedicated to long-only equity risk factors. A typical example is the value equity strategy. Alternative risk premia designate non-traditional risk...

This research is the companion study of three previous research projects conducted at Amundi that address the issue of socially responsible investing (SRI) in the stock market (Berg et al., 2014; Bennani et al., 2018a; Drei et al., 2019). The underlying idea of this new study is to explore the impact of...