Marius Frunza

Schwarzthal Kapital

Partner

34 quai de Dion Bouton

La Defense Puteaux, 92800

France

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 18,689

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Top 18,689

in Total Papers Downloads

2,193

CITATIONS

1

Scholarly Papers (15)

1.

Market Manipulation and Moral Hazard: Can the LIBOR be Fixed?

Number of pages: 31 Posted: 28 Jan 2013
Marius Frunza
Schwarzthal Kapital
Downloads 374 (47,867)

Abstract:

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moral hazard, market manipulation, pump and dump, LIBOR, forensics econometrics

2.

Are Default Probability Models Relevant for Low Default Portfolios?

Number of pages: 20 Posted: 21 Jun 2013
Marius Frunza
Schwarzthal Kapital
Downloads 267 (75,569)

Abstract:

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Credit risk, LDP adjustment, upper bound, low default portfolios, bootstrap, Gumbel copula

3.

Aftermath of the VAT Fraud on Carbon Emissions Markets

Number of pages: 15 Posted: 31 May 2012
Marius Frunza
Schwarzthal Kapital
Downloads 215 (102,321)
Citation 1

Abstract:

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EUA, VAT, carbon, money laundering

4.

Is the Gini Coefficient Appropriate for Low Default Portfolios?

Number of pages: 25 Posted: 19 Jan 2013
Marius Frunza
Schwarzthal Kapital
Downloads 153 (124,574)

Abstract:

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Gini coefficient, confidence interval, model validation

5.

Influence of Weather Variability on the Orange Juice Prices

Number of pages: 17 Posted: 10 Jun 2012 Last Revised: 25 Oct 2012
Marius Frunza, Frank Laudicina and Florent McIsaac
Schwarzthal Kapital, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 142 (135,880)

Abstract:

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6.

Statistical Evidence of Tax Fraud on the Carbon Allowances Market

Number of pages: 11 Posted: 13 Dec 2010
Schwarzthal Kapital, Universite Paris 1 Pantheon-Sorbonne and affiliation not provided to SSRN
Downloads 106 (199,945)

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Carbon, EUA, Energy, VAT, Fraud, Missing trader

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Solvency II, impact, Value at Risk, Life risk, Non life risk, market risk

8.

Taxe Sur les Transactions Financières: Une Taxe Pigou, Pas Une Taxe Tobin (Tax on Financial Transactions: Why a Pigouvian Tax is More Efficient than a Tobin Tax?)

Number of pages: 10 Posted: 30 Nov 2012 Last Revised: 05 Dec 2012
Marius Frunza and Didier Marteau
Schwarzthal Kapital and Labex REFI
Downloads 56 (284,012)

Abstract:

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Tobin tax, Pigouvian tax, Level III, Fair Value

9.

Assessment of the Link between the Betting Industry and Financial Crime: Application to Association Football

Number of pages: 54 Posted: 21 Nov 2014
Marius Frunza
Schwarzthal Kapital
Downloads 40 (259,641)

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Betting, derivatives, machine learning, money laundry, forensics econometrics

10.

Pricing Alternatives in Incomplete Markets: An Application for Carbon Allowances

Number of pages: 19 Posted: 04 Feb 2013
Marius Frunza and Dominique Guegan
Schwarzthal Kapital and Universite Paris 1 Pantheon-Sorbonne
Downloads 32 (369,133)

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Carbon, EUA, Generalized Hyperbolic distribution, GARCH modelling, pricing, Incomplete markets, Empirical Martingale Correction.

11.

The Cost of Non-Europe of an Incomplete Economic and Monetary Union to Prevent Future Crises

Number of pages: 24 Posted: 26 Dec 2014
Marius Frunza
Schwarzthal Kapital
Downloads 29 (362,452)

Abstract:

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EU, crisis, Banking Union, deposit insurance, Basel III

12.

Assessment of EU’s VAT Gap Due to Shadow Economy

Number of pages: 14 Posted: 04 Dec 2017
Marius Frunza
Schwarzthal Kapital
Downloads 0 (386,810)

Abstract:

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VAT fraud, VAT gap, tax evasion, shadow economy

13.

Assessment of Proxy-Hedging in Jet-Fuel Markets

Number of pages: 30 Posted: 09 Oct 2017
Schwarzthal Kapital, Universite Paris 1 Pantheon-Sorbonne and Université Paris 1 Pantheon-Sorbonne
Downloads 0 (433,443)

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Oil Distillates, Gasoil, Jet Fuel, Hedging Strategies, Market Liquidity, Market Efficiency, Time Series Modeling

14.

Cost of the MTIC VAT Fraud for European Union Members

Number of pages: 37 Posted: 05 Apr 2016
Marius Frunza
Schwarzthal Kapital
Downloads 0 (163,175)

Abstract:

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VAT, VAT fraud, MTIC, Carousel fraud, panel regression, VAT Gap, vanilla options

15.

Risk Assessment for a Structured Product Specific to the CO2 Emission Permits Market

Journal of Alternative Investments, Forthcoming
Posted: 23 Oct 2012 Last Revised: 21 Feb 2014
Marius Frunza and Dominique Guegan
Schwarzthal Kapital and Universite Paris 1 Pantheon-Sorbonne

Abstract:

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Carbon, Generalized Hyperbolic Distribution, Value-at-Risk, CER, EUA, Swap