.
Deguest, Romain's
Scholarly Papers
Click on the title of any column to sort the table by that
column.
Aggregate Statistics
Total 2,389
Total Citations 7
1.
Cont, Rama Imperial College London
Deguest, Romain EDHEC Business School
Scandolo, Giacomo University of Florence - Dipartimento di Matematica
Posted:
24 Jan 08
Last Revised:
19 Apr 10
749(14,488)
4
risk measure, Value at Risk, statistical estimation, robustness
2.
Cont, Rama Imperial College London
Deguest, Romain EDHEC Business School
Kan, Yu Hang (Gabriel) Barclays Capital
Posted:
13 Aug 09
Last Revised:
14 Nov 12
673(16,957)
1
Portfolio credit derivatives, collateralized debt obligation, inverse problem, local intensity, default intensity, expected tranche notionals, calibration, CDO tranche
3.
Cont, Rama Imperial College London
Deguest, Romain EDHEC Business School
580(20,955)
1
Correlation matrix, basket options, model calibration, inverse problems, Monte Carlo simulations, model uncertainty, Bayesian model averaging, convex duality
4.
Cont, Rama Imperial College London
Deguest, Romain EDHEC Business School
He, Xue Dong Columbia University - Department of Industrial Engineering and Operations Research
387(35,504)
1
risk measures, robustness, loss-based risk measures, quantile estimation
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
0.484 seconds
