Eric Bouyé

World Bank

1818 H Street, NW

Washington, DC 20433

United States

SCHOLARLY PAPERS

9

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Top 6,238

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10,895

SSRN CITATIONS
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SSRN RANKINGS

Top 16,662

in Total Papers Citations

10

CROSSREF CITATIONS

57

Scholarly Papers (9)

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1.

Copulas for Finance - A Reading Guide and Some Applications

Number of pages: 69 Posted: 26 Nov 2007 Last Revised: 03 Apr 2009
Eric Bouyé, Valdo Durrleman, Ashkan Nikeghbali, Gaël Riboulet and Thierry Roncalli
World Bank, Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN, Natixis and Amundi Asset Management
Downloads 5,564 (2,254)
Citation 166

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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 2,195 (10,850)
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
Eric Bouyé, Valdo Durrleman, Ashkan Nikeghbali, Gaël Riboulet and Thierry Roncalli
World Bank, Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN, Natixis and Amundi Asset Management
Downloads 985 (36,366)
Citation 13

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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 546 (79,419)
Citation 4

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FX market, Efficiency, Copula, Quantile Regression

5.

The Convergence of Sovereign Environmental, Social and Governance Ratings

Number of pages: 40 Posted: 28 Apr 2020 Last Revised: 19 Mar 2021
Eric Bouyé and Diane Menville
World Bank and World Bank
Downloads 516 (85,191)

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ESG, sovereign bonds, ratings

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 318 (148,201)

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Finance

7.

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 311 (151,708)
Citation 1

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Finance

8.

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 Metori Capital Management
Downloads 263 (180,306)
Citation 7

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

9.

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 197 (237,330)

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