| 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 |
0 |
11 |
0 |
0 |
2 |
34 |
| A Measure of the Trading Model Performance with a Risk Component |
0 |
0 |
1 |
174 |
0 |
1 |
2 |
380 |
| Approaches and Techniques to Validate Internal Model Results |
0 |
0 |
0 |
37 |
0 |
0 |
1 |
51 |
| Bootstrapping the economy -- a non-parametric method of generating consistent future scenarios |
1 |
6 |
14 |
170 |
3 |
11 |
33 |
408 |
| Consistent high-precision volatility from high-frequency data |
1 |
1 |
1 |
490 |
2 |
2 |
7 |
1,079 |
| Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment |
0 |
0 |
0 |
1,329 |
0 |
0 |
6 |
2,716 |
| Dynamic Financial Analysis - Understanding Risk and Value Creation in Insurance |
0 |
0 |
2 |
1,776 |
0 |
4 |
11 |
4,009 |
| Estimating the risk-adjusted capital is an affair in the tails |
0 |
0 |
1 |
89 |
1 |
1 |
12 |
173 |
| Explicit diversification benefit for dependent risks |
0 |
0 |
0 |
21 |
0 |
0 |
3 |
33 |
| Explicit diversifiction benefit for dependent risks |
0 |
0 |
0 |
8 |
0 |
0 |
0 |
38 |
| Extreme Moves in Foreign Exchange Rates and Risk Limit Setting |
0 |
0 |
1 |
488 |
0 |
1 |
5 |
1,392 |
| Fractals and Intrinsic Time - a Challenge to Econometricians |
1 |
3 |
8 |
526 |
4 |
10 |
35 |
1,503 |
| From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices |
0 |
0 |
0 |
846 |
0 |
0 |
4 |
1,934 |
| Genetic Algorithms with collective sharing for Robust Optimization in Financial Applications |
0 |
0 |
0 |
318 |
0 |
0 |
0 |
881 |
| Going Back to the Basics - Rethinking Market Efficiency |
0 |
0 |
0 |
278 |
0 |
0 |
1 |
576 |
| Heavy tails in high-frequency financial data |
0 |
0 |
0 |
682 |
0 |
1 |
6 |
1,185 |
| Hill, Bootstrap and Jackknife Estimators for Heavy Tails |
0 |
0 |
1 |
639 |
0 |
0 |
1 |
1,177 |
| How Much Reinsurance Do You Really Need? A Case Study |
1 |
7 |
7 |
755 |
1 |
10 |
16 |
1,647 |
| How heavy are the the tails of a stationary HARCH(k) process? - A study of the moments |
0 |
0 |
0 |
170 |
1 |
1 |
2 |
430 |
| Introducing a scale of market shocks |
0 |
0 |
0 |
308 |
0 |
0 |
2 |
784 |
| Is the gamma risk of options insurable? |
0 |
0 |
0 |
85 |
0 |
0 |
0 |
353 |
| Living in a Stochastic World and Managing Complex Risks |
0 |
0 |
0 |
32 |
1 |
4 |
4 |
59 |
| Living in a Stochastic World and Managing Complex Risks |
0 |
1 |
1 |
23 |
0 |
1 |
2 |
41 |
| Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development |
0 |
0 |
0 |
29 |
0 |
0 |
1 |
110 |
| Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development |
0 |
1 |
1 |
312 |
0 |
1 |
4 |
698 |
| Multivariate extremes, aggregation and risk estimation |
0 |
0 |
0 |
0 |
2 |
4 |
4 |
982 |
| On the diversification benefit of reinsurance portfolios |
0 |
0 |
0 |
11 |
0 |
1 |
3 |
46 |
| On the intra-daily performance of GARCH processes |
0 |
0 |
1 |
277 |
0 |
0 |
1 |
622 |
| Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations |
0 |
0 |
1 |
1,021 |
0 |
0 |
2 |
1,841 |
| Predicting risk with risk measures: an empirical study |
0 |
0 |
0 |
26 |
1 |
1 |
1 |
53 |
| Predicting risk with risk measures: an empirical study |
0 |
0 |
1 |
2 |
0 |
0 |
1 |
7 |
| Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source |
0 |
0 |
0 |
26 |
1 |
1 |
2 |
47 |
| Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study |
0 |
0 |
0 |
30 |
0 |
0 |
0 |
42 |
| Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study |
0 |
0 |
0 |
13 |
0 |
0 |
0 |
26 |
| Risk aggregation, dependence structure and diversification benefit |
0 |
0 |
0 |
57 |
3 |
3 |
3 |
148 |
| Risk neutral versus real-world distribution on puclicly listed bank corporations |
0 |
0 |
1 |
28 |
0 |
1 |
4 |
69 |
| The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets |
0 |
0 |
0 |
272 |
0 |
0 |
3 |
671 |
| The Error of Statistical Volatility of Intra-daily Quoted Price Changes Observed over a Time Interval |
0 |
0 |
0 |
173 |
0 |
0 |
0 |
605 |
| The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio |
0 |
0 |
0 |
11 |
0 |
1 |
1 |
45 |
| The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio |
0 |
1 |
1 |
24 |
0 |
1 |
1 |
96 |
| The Main Ingredients of Simple Trading Models for Use in Genetic Algorithm Optimization |
0 |
0 |
0 |
479 |
0 |
1 |
1 |
1,150 |
| The Price of Being a Systemically Important Financial Institution (SIFI) |
0 |
0 |
0 |
85 |
0 |
1 |
1 |
53 |
| The impact of systemic risk on the diversification benefits of a risk portfolio |
0 |
0 |
0 |
34 |
0 |
0 |
1 |
80 |
| Unveiling Non Linearities Through Time Scale Transformations |
0 |
0 |
0 |
115 |
0 |
0 |
0 |
336 |
| Using the Scaling Analysis to Characterize Financial Markets |
0 |
0 |
1 |
392 |
1 |
1 |
4 |
766 |
| Using the Scaling Analysis to Characterize Financial Markets |
0 |
1 |
1 |
26 |
0 |
1 |
1 |
80 |
| Total Working Papers |
4 |
21 |
45 |
12,698 |
21 |
65 |
194 |
29,456 |
| 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 |
0 |
0 |
1 |
21 |
| A geographical model for the daily and weekly seasonal volatility in the foreign exchange market |
0 |
0 |
12 |
1,009 |
1 |
2 |
18 |
2,223 |
| 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 |
1 |
10 |
1,216 |
0 |
2 |
25 |
2,665 |
| Building up cyber resilience by better grasping cyber risk via a new algorithm for modelling heavy-tailed data |
1 |
1 |
3 |
3 |
1 |
1 |
6 |
9 |
| Consistent High-precision Volatility from High-frequency Data |
0 |
0 |
0 |
6 |
0 |
0 |
1 |
59 |
| Defining efficiency in heterogeneous markets |
1 |
1 |
3 |
19 |
1 |
1 |
3 |
68 |
| Effective return, risk aversion and drawdowns |
0 |
1 |
1 |
7 |
0 |
1 |
2 |
56 |
| Foreign exchange trading models and market behavior |
0 |
0 |
1 |
264 |
0 |
0 |
3 |
537 |
| From default probabilities to credit spreads: Credit risk models do explain market prices |
1 |
3 |
3 |
117 |
1 |
3 |
9 |
329 |
| From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*) |
0 |
0 |
5 |
624 |
1 |
1 |
15 |
1,932 |
| Heterogeneous real-time trading strategies in the foreign exchange market |
0 |
0 |
2 |
38 |
1 |
1 |
4 |
131 |
| High Frequency Trading, a Boon or a Threat? |
0 |
2 |
4 |
19 |
0 |
2 |
4 |
43 |
| How Much Capital Does a Reinsurance Need&quest |
1 |
1 |
2 |
80 |
1 |
2 |
6 |
236 |
| How to Gain Confidence in the Results of Internal Risk Models? Approaches and Techniques for Validation |
0 |
0 |
1 |
1 |
0 |
1 |
2 |
3 |
| Improving the Forecast of Longevity by Combining Models |
0 |
0 |
2 |
9 |
0 |
0 |
3 |
21 |
| Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development |
0 |
0 |
2 |
95 |
0 |
0 |
6 |
264 |
| MEASURING SHOCK IN FINANCIAL MARKETS |
0 |
1 |
2 |
22 |
0 |
2 |
5 |
48 |
| Managing cyber risk, a science in the making |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
| Multivariate extremes, aggregation and risk estimation |
0 |
0 |
1 |
22 |
0 |
1 |
2 |
73 |
| One-Year Change Methodologies for Fixed-Sum Insurance Contracts |
0 |
0 |
0 |
1 |
0 |
1 |
1 |
28 |
| Pro‐cyclicality beyond business cycle |
0 |
0 |
2 |
4 |
1 |
1 |
5 |
8 |
| Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates |
0 |
1 |
2 |
359 |
0 |
2 |
4 |
868 |
| Reflections on risk |
0 |
0 |
0 |
12 |
0 |
0 |
0 |
29 |
| Robust Estimation of Reserve Risk |
0 |
0 |
1 |
9 |
0 |
0 |
1 |
33 |
| Scaling behaviors in differently developed markets |
0 |
0 |
0 |
7 |
1 |
2 |
2 |
50 |
| Special Issue “Cyber Risk and Security” |
1 |
1 |
1 |
1 |
2 |
2 |
2 |
10 |
| Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis |
0 |
4 |
19 |
1,344 |
3 |
13 |
48 |
3,428 |
| The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio |
0 |
0 |
0 |
12 |
1 |
1 |
1 |
84 |
| The Price of Being a Systemically Important Financial Institution (SIFI) |
0 |
0 |
0 |
5 |
0 |
0 |
0 |
27 |
| The intraday multivariate structure of the Eurofutures markets |
0 |
0 |
0 |
71 |
0 |
1 |
1 |
185 |
| Time-to-Expiry Seasonalities in Eurofutures |
0 |
0 |
0 |
81 |
1 |
1 |
1 |
296 |
| Un changement de paradigme pour l’assurance |
0 |
0 |
0 |
6 |
0 |
0 |
0 |
26 |
| Validation of aggregated risks models |
0 |
0 |
0 |
14 |
0 |
0 |
0 |
19 |
| Volatilities of different time resolutions -- Analyzing the dynamics of market components |
1 |
7 |
20 |
576 |
5 |
15 |
52 |
1,291 |
| Total Journal Articles |
6 |
24 |
99 |
6,061 |
21 |
59 |
234 |
15,102 |
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