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Roncalli, Thierry


 SSRN Author Rank: 280 by Downloads
 

Lyxor Asset Management


 Paris
 France
 email address

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. Roncalli, Thierry's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
34,353
Total
Citations
251
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Maillard, Sébastien
Lyxor Asset Management
Roncalli, Thierry
Lyxor Asset Management
Teiletche, Jerome
Unigestion
Posted:
23 Sep 08
Last Revised:
05 Jun 09
4,746
(793)
37

2.  
Bouyé, Eric
World Bank
Durrleman, Valdo
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS
Nikeghbali, Ashkan
affiliation not provided to SSRN
Riboulet, Gaël
Crédit Lyonnais - Groupe de Recherche Opérationnelle
Roncalli, Thierry
Lyxor Asset Management
Posted:
26 Nov 07
Last Revised:
03 Apr 09
3,691
(1,215)
43

3.  
Frachot, Antoine
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Georges, Pierre
Credit Lyonnais Asset Management
Roncalli, Thierry
Lyxor Asset Management
Posted:
26 Nov 07
2,403
(2,645)
16

4.  
Clauss, Pierre
Ecole Nationale de la Statistique et de l'Analyse de l'Information (ENSAI)
Roncalli, Thierry
Lyxor Asset Management
Weisang, Guillaume
Clark University - Graduate School of Management
Posted:
18 Mar 09
Last Revised:
08 Apr 09
1,892
(3,945)
9

5.  
Roncalli, Thierry
Lyxor Asset Management
Weisang, Guillaume
Clark University - Graduate School of Management
Posted:
03 Oct 12
Last Revised:
06 Oct 12
1,545
(5,677)
5

6.  
Roncalli, Thierry
Lyxor Asset Management
Weisang, Guillaume
Clark University - Graduate School of Management
Posted:
12 Jan 09
Last Revised:
20 Apr 09
1,496
(5,992)
4

7.  
Bruder, Benjamin
Lyxor Asset Management
Roncalli, Thierry
Lyxor Asset Management
Posted:
23 Feb 12
Last Revised:
10 Apr 12
1,456
(6,259)
9

8.  
Roncalli, Thierry
Lyxor Asset Management
Teiletche, Jerome
Unigestion
Posted:
30 Nov 07
1,202
(8,604)
9

9.  
Introduction to Risk Parity and Budgeting | Show Abstract | Download |
Roncalli T. (2013), Introduction to Risk Parity and Budgeting, Chapman & Hall/CRC Financial Mathematics Series
Accepted Paper Series
Roncalli, Thierry
Lyxor Asset Management
Posted:
02 Jun 13
Last Revised:
30 Nov 13
956
(12,423)
4

10.  
Financial Applications of Copula Functions | Show Abstract | Download |
RISK MEASURES FOR THE 21ST CENTURY, Par Giorgio Szego, ed., John Wiley & Sons, 2004
Accepted Paper Series
Jouanin, Jean-Frédéric
affiliation not provided to SSRN
Riboulet, Gaël
Crédit Lyonnais - Groupe de Recherche Opérationnelle
Roncalli, Thierry
Lyxor Asset Management
Posted:
26 Nov 07
873
(14,257)
 

11.  
Hassine, Marlène
Lyxor Asset Management, ETF Strategy
Roncalli, Thierry
Lyxor Asset Management
Posted:
07 Feb 13
Last Revised:
18 Feb 13
829
(15,416)
 

12.  
Bruder, Benjamin
Lyxor Asset Management
Dao, Tung-Lam
Capital Fund Management
Richard, Jean-Charles
Lyxor Asset Management
Roncalli, Thierry
Lyxor Asset Management
Posted:
07 Jul 13
824
(15,558)
 

13.  
Bouyé, Eric
World Bank
Durrleman, Valdo
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS
Nikeghbali, Ashkan
affiliation not provided to SSRN
Riboulet, Gaël
Crédit Lyonnais - Groupe de Recherche Opérationnelle
Roncalli, Thierry
Lyxor Asset Management
Posted:
26 Nov 07
760
(17,533)
5

14.  
Roncalli, Thierry
Lyxor Asset Management
Posted:
06 Sep 13
Last Revised:
14 Jun 14
751
(17,844)
 

15.  
Cazalet, Zélia
Lyxor Asset Management
Grison, Pierre
Lyxor Asset Management
Roncalli, Thierry
Lyxor Asset Management
Posted:
17 Jul 13
Last Revised:
30 Nov 13
672
(20,933)
 

16.  
Loss Distribution Approach in Practice | Show Abstract | Download |
The Basel Handbook: A Guide for Financial Practitioners, edited by Micheal Ong, Risk Books, 2004.
Accepted Paper Series
Frachot, Antoine
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Moudoulaud, Olivier
affiliation not provided to SSRN
Roncalli, Thierry
Lyxor Asset Management
Posted:
26 Nov 07
667
(21,184)
13

17.  
The Correlation Problem in Operational Risk | Show Abstract | Download |
OperationalRisk — Risk's Newsletter, 2004
Accepted Paper Series
Frachot, Antoine
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Roncalli, Thierry
Lyxor Asset Management
Salomon, Eric
affiliation not provided to SSRN
Posted:
26 Nov 07
576
(25,969)
9

18.  
Bruder, Benjamin
Lyxor Asset Management
Hereil, Pierre
affiliation not provided to SSRN
Roncalli, Thierry
Lyxor Asset Management
Posted:
09 Nov 11
Last Revised:
23 Feb 12
569
(26,392)
 

19.  
Roncalli, Thierry
Lyxor Asset Management
Baud, Nicolas
affiliation not provided to SSRN
Frachot, Antoine
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Igigabel, Philippe
affiliation not provided to SSRN
Martineau, Pierre
affiliation not provided to SSRN
Posted:
21 Apr 08
Last Revised:
01 Apr 09
514
(30,271)
 

20.  
Frachot, Antoine
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Roncalli, Thierry
Lyxor Asset Management
Posted:
26 Nov 07
506
(30,931)
12

21.  
Baud, Nicolas
affiliation not provided to SSRN
Frachot, Antoine
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Roncalli, Thierry
Lyxor Asset Management
Posted:
26 Nov 07
461
(34,905)
 

22.  
Cazalet, Zélia
Lyxor Asset Management
Roncalli, Thierry
Lyxor Asset Management
Posted:
16 Nov 14
Last Revised:
21 Nov 14
449
(36,053)
 

23.  
Griveau-Billion, Théophile
Lyxor Asset Management
Richard, Jean-Charles
Lyxor Asset Management
Roncalli, Thierry
Lyxor Asset Management
Posted:
15 Sep 13
Last Revised:
01 Oct 13
417
(39,578)
1

24.  
Kurpiel, Adam
LARE-efi
Roncalli, Thierry
Lyxor Asset Management
Posted:
23 Nov 07
Last Revised:
03 Apr 09
414
(39,923)
 

25.  
Georges, Pierre
Credit Lyonnais Asset Management
Lamy, Arnaud-Guilhem
affiliation not provided to SSRN
Nicolas, Emeric
affiliation not provided to SSRN
Quibel, Guillaume
affiliation not provided to SSRN
Roncalli, Thierry
Lyxor Asset Management
Posted:
26 Nov 07
409
(40,518)
3

26.  
Bruder, Benjamin
Lyxor Asset Management
Darolles, Serge
Université Paris-Dauphine - DRM-CEREG
Koudiraty, Abdul K.
affiliation not provided to SSRN
Roncalli, Thierry
Lyxor Asset Management
Posted:
10 Apr 11
375
(45,089)
1

27.  
Costinot, Arnaud
University of California, San Diego (UCSD) - Department of Economics
Roncalli, Thierry
Lyxor Asset Management
Teiletche, Jerome
Unigestion
Posted:
26 Nov 07
Last Revised:
03 Apr 09
370
(45,837)
8

28.  
Durrleman, Valdo
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS
Nikeghbali, Ashkan
affiliation not provided to SSRN
Roncalli, Thierry
Lyxor Asset Management
Posted:
26 Nov 07
Last Revised:
06 Apr 09
347
(49,497)
20

29.  
Demey, Paul
Lyxor Asset Management
Maillard, Sébastien
Lyxor Asset Management
Roncalli, Thierry
Lyxor Asset Management
Posted:
01 Apr 10
Last Revised:
29 Jan 11
324
(53,773)
6

30.  
Eychenne, Karl
Lyxor Asset Management
Martinetti, Stéphane
Lyxor Asset Management
Roncalli, Thierry
Lyxor Asset Management
Posted:
29 Jun 13
313
(56,058)
4

31.  
Roncalli, Thierry
Lyxor Asset Management
Posted:
20 Feb 11
313
(56,058)
2

32.  
Duret, Anne-Sophie
affiliation not provided to SSRN
Hereil, Pierre
affiliation not provided to SSRN
Mitaine, Philippe
affiliation not provided to SSRN
Moussavi, Nicolas
affiliation not provided to SSRN
Roncalli, Thierry
Lyxor Asset Management
Posted:
18 Apr 08
307
(57,302)
2

33.  
Maximum Likelihood Estimate of Default Correlations | Show Abstract | Download |
Risk Magazine, November 2004.
Accepted Paper Series
Demey, Paul
Lyxor Asset Management
Jouanin, Jean-Frédéric
affiliation not provided to SSRN
Roget, Céline
Credit Lyonnais Asset Management
Roncalli, Thierry
Lyxor Asset Management
Posted:
27 Nov 07
304
(57,960)
5

34.  
Louis, Rodolphe
ENSAE
Roncalli, Thierry
Lyxor Asset Management
Posted:
23 May 12
300
(58,825)
 

35.  
How to Avoid Over-Estimating Capital Charge for Operational Risk? | Show Abstract | Download |
OperationalRisk - Risk's Newsletter, February 2003
Accepted Paper Series
Baud, Nicolas
affiliation not provided to SSRN
Frachot, Antoine
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Roncalli, Thierry
Lyxor Asset Management
Posted:
27 Nov 07
268
(66,818)
6

36.  
Jouanin, Jean-Frédéric
affiliation not provided to SSRN
Rapuch, Grégory
affiliation not provided to SSRN
Riboulet, Gaël
Crédit Lyonnais - Groupe de Recherche Opérationnelle
Roncalli, Thierry
Lyxor Asset Management
Posted:
26 Nov 07
245
(73,489)
3

37.  
Coutant, Sophie
Banque de France
Durrleman, Valdo
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS
Rapuch, Grégory
affiliation not provided to SSRN
Roncalli, Thierry
Lyxor Asset Management
Posted:
26 Nov 07
222
(81,471)
 

38.  
Durrleman, Valdo
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS
Nikeghbali, Ashkan
affiliation not provided to SSRN
Roncalli, Thierry
Lyxor Asset Management
Posted:
26 Nov 07
Last Revised:
06 Apr 09
218
(83,024)
3

39.  
Bruder, Benjamin
Lyxor Asset Management
Culerier, Leo
Lyxor Asset Management
Roncalli, Thierry
Lyxor Asset Management
Posted:
07 Jul 13
199
(90,983)
 

40.  
Hereil, Pierre
affiliation not provided to SSRN
Mitaine, Philippe
affiliation not provided to SSRN
Moussavi, Nicolas
Lyxor Asset Management
Roncalli, Thierry
Lyxor Asset Management
Posted:
28 Jan 11
194
(93,272)
3

41.  
Bodeau, Jérôme
affiliation not provided to SSRN
Riboulet, Gaël
Crédit Lyonnais - Groupe de Recherche Opérationnelle
Roncalli, Thierry
Lyxor Asset Management
Posted:
23 Nov 07
Last Revised:
28 Oct 09
183
(98,485)
 

42.  
Durrleman, Valdo
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS
Nikeghbali, Ashkan
affiliation not provided to SSRN
Roncalli, Thierry
Lyxor Asset Management
Posted:
26 Nov 07
Last Revised:
03 Apr 09
176
(102,161)
4

43.  
Durrleman, Valdo
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS
Nikeghbali, Ashkan
affiliation not provided to SSRN
Roncalli, Thierry
Lyxor Asset Management
Posted:
26 Nov 07
Last Revised:
03 Apr 09
154
(115,345)
1

44.  
Durrleman, Valdo
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS
Kurpiel, Adam
LARE-efi
Riboulet, Gaël
Crédit Lyonnais - Groupe de Recherche Opérationnelle
Roncalli, Thierry
Lyxor Asset Management
Posted:
22 Nov 07
Last Revised:
01 Apr 09
142
(123,625)
 

45.  
Durrleman, Valdo
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS
Nikeghbali, Ashkan
affiliation not provided to SSRN
Roncalli, Thierry
Lyxor Asset Management
Posted:
26 Nov 07
Last Revised:
03 Apr 09
111
(150,105)
4

46.  
Roncalli, Thierry
Lyxor Asset Management
Zheng, Ban
Lyxor Asset Management
Posted:
05 Mar 14
Last Revised:
06 Mar 14
84
(181,187)
 

47.  
Jouanin, Jean-Frédéric
affiliation not provided to SSRN
Riboulet, Gaël
Crédit Lyonnais - Groupe de Recherche Opérationnelle
Roncalli, Thierry
Lyxor Asset Management
Posted:
26 Nov 07
78
(189,708)
 

48.  
Roncalli, Thierry
Lyxor Asset Management
Posted:
22 Nov 07
48
(243,318)
 

49.  
Some Remarks on Two - Asset Options Pricing and Stochastic Dependence of Asset Prices | Show Abstract |
Journal of Computational Finance, Vol. 7, No. 4, 2004
Accepted Paper Series
Rapuch, Grégory
affiliation not provided to SSRN
Roncalli, Thierry
Lyxor Asset Management
Posted:
26 Nov 07
 

50.  
Hopscotch Methods for Two State Financial Models | Show Abstract |
Journal of Computational Finance, Vol. 2/3, 2000
Accepted Paper Series
Kurpiel, Adam
LARE-efi
Roncalli, Thierry
Lyxor Asset Management
Posted:
21 Nov 07
 


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