Eric Bouyé

World Bank

1818 H Street, NW

Washington, DC 20433

United States

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 3,771

SSRN RANKINGS

Top 3,771

in Total Papers Downloads

8,454

CITATIONS
Rank 7,688

SSRN RANKINGS

Top 7,688

in Total Papers Citations

61

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, Crédit Lyonnais - Groupe de Recherche Opérationnelle and Amundi Asset Management
Downloads 3,920 (1,388)
Citation 44

Abstract:

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 1,657 (6,287)
Citation 1

Abstract:

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, Crédit Lyonnais - Groupe de Recherche Opérationnelle and Amundi Asset Management
Downloads 792 (21,625)
Citation 5

Abstract:

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 427 (48,564)
Citation 3

Abstract:

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 279 (87,102)

Abstract:

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 235 (94,735)
Citation 2

Abstract:

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 195 (118,018)
Citation 6

Abstract:

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 164 (141,913)

Abstract:

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