Jean-David Fermanian

Ensae-Crest

Professor of Finance and Statistics

92245 Malakoff Cedex

France

SCHOLARLY PAPERS

12

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Top 11,710

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3,977

CITATIONS
Rank 8,065

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Top 8,065

in Total Papers Citations

69

Scholarly Papers (12)

1.

Nonparametric Estimation of Copulas for Time Series

FAME Research Paper No. 57
Number of pages: 37 Posted: 12 Mar 2003
O. Scaillet and Jean-David Fermanian
University of Geneva GSEM and GFRI and Ensae-Crest
Downloads 1,235 (15,518)
Citation 25

Abstract:

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2.

Some Statistical Pitfalls in Copula Modeling for Financial Applications

FAME Working Paper No. 108
Number of pages: 24 Posted: 28 Jun 2004
Jean-David Fermanian and O. Scaillet
Ensae-Crest and University of Geneva GSEM and GFRI
Downloads 924 (23,913)
Citation 11

Abstract:

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Copulas, dependence measures, risk management

3.

A Top-Down Approach for MBS, ABS and CDO of ABS: A Consistent Way to Manage Prepayment, Default and Interest Rate Risks

Number of pages: 39 Posted: 18 Aug 2008 Last Revised: 27 Sep 2010
Jean-David Fermanian
Ensae-Crest
Downloads 690 (35,938)
Citation 2

Abstract:

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Asset-backed securities, top-down models, default

4.

Sensitivity Analysis of VAR Expected Shortfall for Portfolios Under Netting Agreements

FAME Research Working Paper No. 89
Number of pages: 40 Posted: 17 Sep 2003
Jean-David Fermanian and O. Scaillet
Ensae-Crest and University of Geneva GSEM and GFRI
Downloads 368 (79,150)
Citation 6

Abstract:

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Value at Risk, Expected Shortfall, Sensitivity, Risk Management, Credit Risk, Netting

5.

Volatility Strategies for Global and Country Specific European Investors

Number of pages: 25 Posted: 19 Oct 2011 Last Revised: 27 Oct 2011
Marie Briere, Jean-David Fermanian, Hassan Malongo and Ombretta Signori
Amundi Asset Management, Ensae-Crest, Amundi Asset Management and AXA Investment Managers
Downloads 292 (102,446)
Citation 1

Abstract:

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Investment strategy, Portfolio choice, Conditional Value-at-Risk, Implied volatility, Hedging

6.

On Break-Even Correlation: The Way to Price Structured Credit Derivatives by Replication

Number of pages: 71 Posted: 22 Jun 2009
Olivier Vigneron and Jean-David Fermanian
UBM and Ensae-Crest
Downloads 179 (165,873)

Abstract:

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CDO, replication, delta hedging, structural models.

An Overview of the Goodness-of-Fit Test Problem for Copulas

Number of pages: 29 Posted: 27 Sep 2013
Jean-David Fermanian
Ensae-Crest
Downloads 58 (363,226)
Citation 25

Abstract:

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Copulas, Goodness-of-fit

An Overview of the Goodness-of-Fit Test Problem for Copulas

Number of pages: 29 Posted: 19 Nov 2012
Jean-David Fermanian
Ensae-Crest
Downloads 40 (427,734)

Abstract:

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copulas, goodness-of-fit, bootstrap

8.

The Limits of Granularity Adjustments

Number of pages: 29 Posted: 21 Mar 2013
Jean-David Fermanian
Ensae-Crest
Downloads 85 (290,472)
Citation 4

Abstract:

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credit portfolio model, granularity adjustment, Value-at-Risk, Fourier Transform

9.

Dynamic Asset Correlations Based on Vines

Number of pages: 57 Posted: 07 Feb 2015 Last Revised: 10 Nov 2016
Benjamin Poignard and Jean-David Fermanian
ENSAE-CREST and Ensae-Crest
Downloads 82 (296,875)

Abstract:

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Dynamic Conditional Correlations, Multivariate GARCH, Partial Correlations, Quasi Maximum Likelihood Estimator, Regular vine

10.

On the Stationarity of Dynamic Conditional Correlation Models

Number of pages: 34 Posted: 28 May 2014
Jean-David Fermanian and Hassan Malongo
Ensae-Crest and Amundi Asset Management
Downloads 24 (492,325)
Citation 3

Abstract:

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Multivariate dynamic models, conditional correlations, stationarity, DCC

11.

Multifactor Granularity Adjustments for Market and Counterparty Risks

Journal of Risk, Forthcoming
Number of pages: 27 Posted: 26 Jul 2018
Jean-David Fermanian and Clement Florentin
Ensae-Crest and affiliation not provided to SSRN
Downloads 0 (661,445)
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Abstract:

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granularity adjustments (GA), value-at-risk (VaR), counterparty risk, market risk, elliptical distributions.

12.

A Top-Down Approach for Asset-Backed Securities: A Consistent Way of Managing Prepayment, Default and Interest Rate Risks

Journal of Real Estate Finance and Economics, Vol. 46, No. 3, 2013
Posted: 16 Feb 2013
Jean-David Fermanian
Ensae-Crest

Abstract:

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asset-backed securities, top-down models, default risk, prepayment