Mathieu Cambou

Ecole Polytechnique Fédérale de Lausanne

Station 5

Odyssea 1.04

1015 Lausanne, CH-1015

Switzerland

SCHOLARLY PAPERS

2

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CITATIONS
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10

Scholarly Papers (2)

1.

Model Uncertainty and Scenario Aggregation

Mathematical Finance, Forthcoming, Swiss Finance Institute Research Paper No. 14-38
Number of pages: 34 Posted: 25 May 2014 Last Revised: 28 Nov 2015
Mathieu Cambou and Damir Filipović
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 645 (39,228)
Citation 11

Abstract:

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model uncertainty, scenario aggregation, expected shortfall, value-at-risk, statistical divergence, Swiss Solvency Test

2.

Replicating Portfolio Approach to Capital Calculation

Finance Stochastics, Forthcoming, Swiss Finance Institute Research Paper No. 16-25
Number of pages: 32 Posted: 13 Apr 2016 Last Revised: 21 Oct 2017
Mathieu Cambou and Damir Filipović
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 473 (58,603)
Citation 1

Abstract:

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Asset-Liability Portfolio, Chaos Expansion, Replicating Portfolio, Solvency Capital