Marius Frunza

Schwarzthal Kapital

Partner

34 quai de Dion Bouton

La Defense Puteaux, 92800

France

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 17,100

SSRN RANKINGS

Top 17,100

in Total Papers Downloads

2,610

CITATIONS

1

Scholarly Papers (17)

1.

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

Number of pages: 31 Posted: 28 Jan 2013
Marius Frunza
Schwarzthal Kapital
Downloads 517 (49,451)

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 391 (69,691)

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 273 (104,324)
Citation 1

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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 232 (123,353)

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 210 (135,793)

Abstract:

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6.

Cost of the MTIC VAT Fraud for European Union Members

Number of pages: 37 Posted: 05 Apr 2016
Marius Frunza
Schwarzthal Kapital
Downloads 193 (147,812)

Abstract:

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

7.
Downloads 183 (156,703)

Is the Bitcoin Rush Over?

Handbook: Cryptofinance and Mechanism of Exchange, Forthcoming
Number of pages: 22 Posted: 25 Apr 2018
Dominique Guegan and Marius Frunza
Universite Paris 1 Pantheon-Sorbonne and Schwarzthal Kapital
Downloads 145 (191,217)

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Bitcoin, crypto-currencies, bubbles, market efficiency, timeseries modeling

Is the Bitcoin Rush Over?

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 10/WP/2018
Number of pages: 24 Posted: 19 Apr 2018
Marius Frunza and Dominique Guegan
Schwarzthal Kapital and Universite Paris 1 Pantheon-Sorbonne
Downloads 38 (419,844)

Abstract:

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Bitcoin, crypto-currencies, bubbles, market efficiency, timeseries modeling

8.

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 131 (204,634)

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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

10.

Assessment of EU’s VAT Gap Due to Shadow Economy

Number of pages: 14 Posted: 04 Dec 2017
Marius Frunza
Schwarzthal Kapital
Downloads 90 (266,875)

Abstract:

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VAT fraud, VAT gap, tax evasion, shadow economy

11.

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 88 (270,608)

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

12.

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 75 (297,894)

Abstract:

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Tobin tax, Pigouvian tax, Level III, Fair Value

13.

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 46 (378,366)

Abstract:

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

14.

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 42 (392,187)

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

15.

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 I Panthéon-Sorbonne
Downloads 40 (399,333)

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

16.

Le Ratio Dette Publique/PIB a-t-il Un Sens Economique? (Does the Debt to GDP Ratio Make Sense?)

Number of pages: 18 Posted: 12 Jul 2018
Marius Frunza and Didier Marteau
Schwarzthal Kapital and Labex REFI
Downloads 5 (573,993)

Abstract:

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Debt To GDP Ratio, Inflation , Economic Crisis

17.

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