The experience from the global financial crisis has raised serious concerns about the
accuracy of standard risk measures as tools for the quantification of extreme downward …

The credit value-at-risk model underpinning the internal ratings-based approach of Basel II
and III assumes that idiosyncratic risk has been fully diversified in the portfolio, so that …

This paper deals with asymptotically efficient estimation in exchangeable nonlinear dynamic
panel models with common unobservable factors. These models are relevant for …

This paper studies the problem of disentangling risk correlation and contagion in a set of
individual binary processes. The two admissible values correspond to bad and good risk …

This paper examines granularity adjustments to parameter estimators in a default risk model
with cohorts. The model is an extension of the Vasicek model (Vasicek, 1991) and includes …

We consider a homogeneous class of assets, whose returns are driven by an unobservable
factor representing systematic risk. We derive approximated pricing formulas for the future …

В статье выделены разделы современной экономической мысли, новаторами в
которых стали французские исследователи. Французскую науку отличают ее …

The increase of the expected lifetime, that is the longevity phenomenon, is accompanied by
an increase of the number of seniors with a severe loss of autonomy. Because of the …

We study in this article the problem of model risk in VaR computations and document a
procedure for correcting the bias due to specification and estimation errors. This practical …

Résumé Les récents épisodes de turbulence financière sont venus remettre en cause la
précision des mesures classiques de risque pour évaluer les risques extrêmes. Ces …