| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A General framework for modelling mortality to better estimate its relationship with interest rate risks |
0 |
0 |
1 |
10 |
3 |
3 |
8 |
19 |
| A Measure of the Trading Model Performance with a Risk Component |
0 |
0 |
0 |
173 |
0 |
0 |
1 |
376 |
| Approaches and Techniques to Validate Internal Model Results |
0 |
1 |
4 |
32 |
1 |
2 |
8 |
38 |
| Bootstrapping the economy -- a non-parametric method of generating consistent future scenarios |
0 |
1 |
5 |
127 |
2 |
4 |
13 |
294 |
| Consistent high-precision volatility from high-frequency data |
0 |
0 |
0 |
484 |
1 |
5 |
11 |
1,048 |
| Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment |
0 |
0 |
4 |
1,323 |
2 |
4 |
15 |
2,689 |
| Dynamic Financial Analysis - Understanding Risk and Value Creation in Insurance |
0 |
1 |
3 |
1,757 |
2 |
5 |
13 |
3,946 |
| Estimating the risk-adjusted capital is an affair in the tails |
0 |
0 |
0 |
82 |
0 |
1 |
5 |
146 |
| Explicit diversification benefit for dependent risks |
0 |
0 |
0 |
20 |
0 |
1 |
6 |
21 |
| Explicit diversifiction benefit for dependent risks |
0 |
0 |
1 |
7 |
0 |
1 |
17 |
33 |
| Extreme Moves in Foreign Exchange Rates and Risk Limit Setting |
0 |
0 |
3 |
485 |
0 |
1 |
8 |
1,372 |
| Fractals and Intrinsic Time - a Challenge to Econometricians |
1 |
7 |
16 |
472 |
5 |
19 |
71 |
1,305 |
| From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices |
0 |
0 |
0 |
844 |
0 |
0 |
9 |
1,925 |
| Genetic Algorithms with collective sharing for Robust Optimization in Financial Applications |
1 |
1 |
2 |
316 |
1 |
1 |
4 |
877 |
| Going Back to the Basics - Rethinking Market Efficiency |
0 |
0 |
0 |
274 |
1 |
1 |
3 |
567 |
| Heavy tails in high-frequency financial data |
0 |
0 |
5 |
679 |
2 |
3 |
12 |
1,167 |
| Hill, Bootstrap and Jackknife Estimators for Heavy Tails |
0 |
2 |
5 |
630 |
1 |
6 |
14 |
1,153 |
| How Much Reinsurance Do You Really Need? A Case Study |
0 |
0 |
2 |
744 |
0 |
0 |
4 |
1,617 |
| How heavy are the the tails of a stationary HARCH(k) process? - A study of the moments |
0 |
0 |
0 |
167 |
0 |
0 |
1 |
422 |
| Introducing a scale of market shocks |
0 |
1 |
1 |
304 |
1 |
4 |
8 |
764 |
| Is the gamma risk of options insurable? |
0 |
0 |
0 |
85 |
0 |
0 |
4 |
340 |
| Living in a Stochastic World and Managing Complex Risks |
0 |
0 |
0 |
22 |
1 |
1 |
3 |
36 |
| Living in a Stochastic World and Managing Complex Risks |
0 |
0 |
0 |
32 |
0 |
0 |
19 |
49 |
| Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development |
0 |
0 |
0 |
28 |
0 |
0 |
4 |
104 |
| Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development |
0 |
0 |
0 |
307 |
1 |
1 |
4 |
678 |
| Multivariate extremes, aggregation and risk estimation |
0 |
0 |
0 |
0 |
1 |
4 |
10 |
967 |
| On the diversification benefit of reinsurance portfolios |
0 |
0 |
0 |
6 |
2 |
3 |
7 |
21 |
| On the intra-daily performance of GARCH processes |
0 |
0 |
1 |
276 |
0 |
0 |
9 |
619 |
| Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations |
0 |
2 |
3 |
1,017 |
0 |
4 |
9 |
1,826 |
| Predicting risk with risk measures: an empirical study |
0 |
1 |
1 |
25 |
0 |
1 |
8 |
39 |
| Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source |
0 |
2 |
3 |
21 |
1 |
3 |
13 |
25 |
| Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study |
0 |
1 |
1 |
30 |
1 |
2 |
14 |
36 |
| Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study |
0 |
1 |
1 |
13 |
0 |
1 |
9 |
17 |
| Risk aggregation, dependence structure and diversification benefit |
0 |
0 |
1 |
55 |
2 |
2 |
4 |
126 |
| Risk neutral versus real-world distribution on puclicly listed bank corporations |
0 |
1 |
2 |
23 |
1 |
8 |
13 |
50 |
| The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets |
1 |
1 |
1 |
268 |
1 |
2 |
11 |
654 |
| The Error of Statistical Volatility of Intra-daily Quoted Price Changes Observed over a Time Interval |
0 |
0 |
0 |
170 |
0 |
0 |
3 |
600 |
| The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio |
0 |
0 |
0 |
22 |
0 |
3 |
25 |
90 |
| The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio |
0 |
0 |
0 |
10 |
0 |
3 |
15 |
35 |
| The Main Ingredients of Simple Trading Models for Use in Genetic Algorithm Optimization |
0 |
0 |
1 |
479 |
0 |
0 |
1 |
1,149 |
| The Price of Being a Systemically Important Financial Institution (SIFI) |
0 |
0 |
2 |
85 |
0 |
2 |
7 |
47 |
| The impact of systemic risk on the diversification benefits of a risk portfolio |
0 |
0 |
0 |
34 |
1 |
3 |
14 |
67 |
| Unveiling Non Linearities Through Time Scale Transformations |
0 |
0 |
0 |
114 |
0 |
0 |
1 |
329 |
| Using the Scaling Analysis to Characterize Financial Markets |
0 |
0 |
1 |
25 |
0 |
0 |
1 |
77 |
| Using the Scaling Analysis to Characterize Financial Markets |
0 |
0 |
0 |
391 |
0 |
0 |
3 |
755 |
| Total Working Papers |
3 |
23 |
70 |
12,468 |
34 |
104 |
442 |
28,515 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A change of paradigm for the insurance industry |
0 |
0 |
0 |
8 |
2 |
3 |
5 |
15 |
| A geographical model for the daily and weekly seasonal volatility in the foreign exchange market |
1 |
2 |
24 |
939 |
2 |
6 |
43 |
2,106 |
| An Introduction to High-Frequency Finance: Michael M. Dacorogna, Ramazan Gencay, Ulrich Muller, Richard B. Olsen, and Olivier V. Pictet. San Diego, CA: Academic Press, 2001. 383 pp., $79.95, ISBN: 0-12-279671-3 |
0 |
0 |
1 |
1,177 |
2 |
5 |
29 |
2,556 |
| Consistent High-precision Volatility from High-frequency Data |
0 |
0 |
0 |
5 |
0 |
3 |
13 |
48 |
| Defining efficiency in heterogeneous markets |
0 |
0 |
0 |
14 |
0 |
0 |
1 |
58 |
| Effective return, risk aversion and drawdowns |
1 |
1 |
1 |
5 |
3 |
6 |
13 |
45 |
| Foreign exchange trading models and market behavior |
0 |
0 |
0 |
259 |
1 |
1 |
4 |
516 |
| From default probabilities to credit spreads: Credit risk models do explain market prices |
0 |
0 |
0 |
112 |
0 |
0 |
7 |
313 |
| From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*) |
0 |
0 |
3 |
596 |
1 |
2 |
25 |
1,858 |
| Heterogeneous real-time trading strategies in the foreign exchange market |
0 |
1 |
1 |
30 |
0 |
3 |
7 |
110 |
| How Much Capital Does a Reinsurance Need&quest |
0 |
0 |
0 |
72 |
0 |
0 |
1 |
216 |
| Improving the Forecast of Longevity by Combining Models |
1 |
1 |
2 |
2 |
1 |
1 |
7 |
8 |
| Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development |
0 |
0 |
0 |
88 |
0 |
1 |
5 |
236 |
| MEASURING SHOCK IN FINANCIAL MARKETS |
0 |
1 |
3 |
9 |
0 |
2 |
11 |
20 |
| Multivariate extremes, aggregation and risk estimation |
0 |
0 |
1 |
18 |
0 |
2 |
5 |
63 |
| One-Year Change Methodologies for Fixed-Sum Insurance Contracts |
0 |
0 |
0 |
1 |
1 |
2 |
9 |
14 |
| Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates |
0 |
0 |
1 |
352 |
1 |
1 |
5 |
848 |
| Reflections on risk |
0 |
0 |
0 |
12 |
0 |
0 |
1 |
28 |
| Robust Estimation of Reserve Risk |
0 |
0 |
1 |
7 |
0 |
1 |
4 |
26 |
| Scaling behaviors in differently developed markets |
0 |
1 |
2 |
5 |
0 |
2 |
5 |
32 |
| Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis |
1 |
10 |
33 |
1,227 |
3 |
19 |
66 |
3,204 |
| The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio |
0 |
0 |
2 |
11 |
1 |
5 |
19 |
67 |
| The Price of Being a Systemically Important Financial Institution (SIFI) |
0 |
1 |
2 |
3 |
0 |
3 |
10 |
21 |
| The intraday multivariate structure of the Eurofutures markets |
0 |
1 |
3 |
68 |
0 |
1 |
5 |
177 |
| Time-to-Expiry Seasonalities in Eurofutures |
0 |
0 |
0 |
81 |
0 |
0 |
6 |
295 |
| Un changement de paradigme pour l’assurance |
0 |
0 |
0 |
5 |
0 |
0 |
1 |
23 |
| Validation of aggregated risks models |
0 |
0 |
1 |
5 |
0 |
1 |
3 |
7 |
| Volatilities of different time resolutions -- Analyzing the dynamics of market components |
4 |
10 |
25 |
461 |
11 |
39 |
93 |
981 |
| Total Journal Articles |
8 |
29 |
106 |
5,572 |
29 |
109 |
403 |
13,891 |
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