Stéphane Thomas-Simonpoli

Labex ReFi

Associate Researcher

79 avenue de la République

Paris, 75011

France

Université Paris I Panthéon - Sorbonne, Centre d'Economie

Université Paris I Panthéon-Sorbonne

116, Bvd de l'Hôpital

Paris, 75013

France

Chappuis Halder & Cie. - Global Research & Analytics Department

Director Research & Analytics

1501 McGill College

Montreal, QC H3A3M8

Canada

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 37,533

SSRN RANKINGS

Top 37,533

in Total Papers Downloads

1,609

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Ideas:
“  Working on RL applied to hedging strategy, ML applied to Factor diffusion and Causality Analysis in Crisis contagion  ”

Scholarly Papers (7)

1.

Trading Book and Credit Risk: How Fundamental is the Basel Review?

Journal of Banking and Finance, Vol. 73, No. 1, 2016
Number of pages: 35 Posted: 23 Oct 2015 Last Revised: 21 Jun 2017
Jean-Paul Laurent, Michael Sestier and Stéphane Thomas-Simonpoli
University Paris 1 Panthéon - Sorbonne, PRISM Sorbonne & Labex ReFi, Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and Labex ReFi
Downloads 789 (39,582)
Citation 3

Abstract:

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Fundamental Review of the Trading Book, Portfolio Credit Risk Modeling, Factor Models, Risk Contribution

2.

An Introduction Lecture to Credit Derivatives

Number of pages: 126 Posted: 25 Apr 2011 Last Revised: 10 Feb 2013
Stéphane Thomas-Simonpoli
Labex ReFi
Downloads 394 (94,726)

Abstract:

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Credit Derivatives, Intensity models, structural models, poisson process, copula

3.

An Introduction Lecture to Non-Gaussian Market Risk

Number of pages: 109 Posted: 25 Apr 2011
Stéphane Thomas-Simonpoli
Labex ReFi
Downloads 161 (230,614)

Abstract:

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4.

Risk Measures: Theoretical Foundations and New Perspectives

Number of pages: 309 Posted: 11 Oct 2013 Last Revised: 11 Jan 2020
Stéphane Thomas-Simonpoli
Labex ReFi
Downloads 126 (280,187)

Abstract:

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risk management, spectral risk measures, distortion risk measures, minimum relative entropy, economic capital, backtesting, decision theory, unquoted claims, probabilities of default, credit default swap, risk premium, disappointment theory

5.

Calibration and Comparison of Spectral Risk Measures for a Practical Implementation

Number of pages: 37 Posted: 07 Aug 2011 Last Revised: 09 Jan 2020
Stéphane Thomas-Simonpoli
Labex ReFi
Downloads 95 (340,294)

Abstract:

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risk management, spectral risk measures, distortion risk measures, minimum relative entropy, economic capital, backtesting, decision theory

6.

Liquidity Measures of Bond Market

Number of pages: 10 Posted: 11 May 2020
Stéphane Thomas-Simonpoli and Iryna Veryzhenko
Labex ReFi and University of Lille I
Downloads 44 (505,107)

Abstract:

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Liquidity, Risk Measures, Price Impact, Transaction Costs, Market Maker

7.

Trading Book and Credit Risk: Bending the Binds

Posted: 09 Sep 2017
Stéphane Thomas-Simonpoli
Labex ReFi

Abstract:

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FRTB, Default Risk Charge, Trading Book, Credit Risk, Correlation, ACP

Other Papers (2)

Total Downloads: 244
1.

Theoretical Foundations of Risk Measures

Number of pages: 143 Posted: 25 Apr 2011 Last Revised: 09 Jan 2020
Stéphane Thomas-Simonpoli
Labex ReFi
Downloads 150 (116,759)

Abstract:

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Coherent risk measures, spectral risk measures, distortion, choquet, decision theory, minimum relative entropy, economic capital

2.

Entropy-Based Analysis of Spectral Risk Measures for Practical Implementation

Number of pages: 55 Posted: 25 Apr 2011 Last Revised: 09 Jan 2020
Stéphane Thomas-Simonpoli
Labex ReFi
Downloads 94 (141,297)

Abstract:

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risk management, spectral risk measures, distortion risk measures, minimum relative entropy, economic capital, backtesting, decision theory