Eric Bouyé

World Bank

1818 H Street, NW

Washington, DC 20433

United States

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 4,561

SSRN RANKINGS

Top 4,561

in Total Papers Downloads

9,351

SSRN CITATIONS
Rank 14,413

SSRN RANKINGS

Top 14,413

in Total Papers Citations

7

CROSSREF CITATIONS

58

Scholarly Papers (8)

1.

Copulas for Finance - A Reading Guide and Some Applications

Number of pages: 69 Posted: 26 Nov 2007 Last Revised: 03 Apr 2009
World Bank, Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN, Natixis and Amundi Asset Management
Downloads 4,912 (1,659)
Citation 122

Abstract:

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Multivariate distribution, dependence structure, concordance measures, scoring, Markov processes, risk management, extreme value theory, stress testing, operational risk, market risk, credit risk

2.

Portfolio Insurance: A Short Introduction

Number of pages: 22 Posted: 11 Jun 2009 Last Revised: 11 Aug 2009
Eric Bouyé
World Bank
Downloads 2,018 (7,612)
Citation 3

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Portfolio Insurance, CPPI, OBPI, constant-mix, buy-and-hold, options, path-dependent strategy, history of finance, Brady Report, 1987 crisis

3.

Copulas: An Open Field for Risk Management

Number of pages: 8 Posted: 26 Nov 2007
World Bank, Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN, Natixis and Amundi Asset Management
Downloads 914 (26,120)
Citation 9

Abstract:

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Copulas, market risk, credit risk, operational risk

4.

Dynamic Copula Quantile Regressions and Tail Area Dynamic Dependence in Forex Markets

Number of pages: 43 Posted: 21 May 2008
Mark Salmon and Eric Bouyé
University of Cambridge - Faculty of Economics and Politics and World Bank
Downloads 508 (57,415)
Citation 3

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FX market, Efficiency, Copula, Quantile Regression

5.

Measuring the Dependence between Non-Gaussian Financial Assets Using Copulae: Risk Management, Option Pricing and Default Risk

Number of pages: 38 Posted: 23 Sep 2008
Eric Bouyé and Mark Salmon
World Bank and University of Cambridge - Faculty of Economics and Politics
Downloads 293 (108,984)
Citation 1

Abstract:

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Finance

6.

Multivariate Extremes at Work for Portfolio Risk Measurement

Finance, Vol. 23, No. 2, pp. 125-144, 2002
Number of pages: 25 Posted: 23 Sep 2008
Eric Bouyé
World Bank
Downloads 287 (111,420)

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Finance

7.

Investing Dynamic Dependence Using Copulae

Number of pages: 31 Posted: 23 Sep 2008
Eric Bouyé, Mark Salmon and Nicolas Gaussel
World Bank, University of Cambridge - Faculty of Economics and Politics and Lyxor Asset Management
Downloads 237 (135,762)
Citation 6

Abstract:

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Finance, Financial Econumetrics, Copula, Time Series, Non Linear

8.

Why Should We Buy Options? A Graphical Presentation

Number of pages: 16 Posted: 23 May 2009 Last Revised: 23 Jan 2011
Eric Bouyé and Jérôme Ternat
World Bank and affiliation not provided to SSRN
Downloads 182 (173,958)

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options, call, put, call spread, put spread, asian call, path-dependent, anticipations