Yves Crama

University of Liege - HEC Management School

Boulevard du Rectorat 7 (B31)

LIEGE, Liege 4000

Belgium

SCHOLARLY PAPERS

6

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CITATIONS
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8

Scholarly Papers (6)

1.

Measuring and Managing Operational Risk in the Financial Sector: An Integrated Framework

Number of pages: 33 Posted: 07 May 2005
University College London - Department of Computer Science, University of Liege - HEC Management School, HEC Management School - University of Liège and Deloitte Luxembourg
Downloads 3,030 (2,449)
Citation 3

Abstract:

Basel 2, operational risk, extreme value theory, external data, RAROC

2.

Basel II and Operational Risk: Implications for Risk Measurement and Management in the Financial Sector

National Bank of Belgium Working Paper No. 51
Number of pages: 58 Posted: 14 Oct 2010
University College London - Department of Computer Science, University of Liege - HEC Management School, HEC Management School - University of Liège and Deloitte Luxembourg
Downloads 589 (25,371)
Citation 5

Abstract:

operational risk management, basel II, advanced measurement approach, copulae, external data, EVT, RAROC, cost-benefit analysis

3.

Grafting Information in Scenario Trees - Application to Option Prices

University of Namur, Center for Research in Finance and Management, and University of Liege, Management Working Paper
Number of pages: 29 Posted: 16 Aug 2003 Last Revised: 21 Dec 2010
M. Schyns, Yves Crama and Georges Hubner
University of Liege - HEC Management School, University of Liege - HEC Management School and HEC Management School - University of Liège
Downloads 111 (207,232)

Abstract:

option pricing, arbitrage-free valuation, scenario trees, numerical analysis, out-of-sample testing

4.

The Ttool Switching Problem Revisited

Number of pages: 8 Posted: 10 Oct 2005
University of Liege - HEC Management School, KU Leuven - Faculty of Business and Economics (FEB), Catholic University of Leuven (KUL) and PricewaterhouseCoopers LLP
Downloads 30 (371,690)

Abstract:

5.

Revealed Preference Tests of Collectively Rational Consumption Behavior: Formulations and Algorithms

Number of pages: 38 Posted: 22 Jan 2014
FedEx Express Europe, KU Leuven, University of Liege - HEC Management School, Catholic University of Leuven (KUL) - Campus Kortrijk (KULAK) - Subfaculty of Economics and Applied Economics, Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) and Catholic University of Leuven (KUL)
Downloads 8 (407,059)

Abstract:

revealed preference axioms, rationality, mixed-integer programming, global optimization, simulated annealing

6.

Approximation Algorithms for Multi-Dimensional Vector Assignment Problems

Number of pages: 24 Posted: 22 Jan 2014
Katholieke Universiteit Leuven - Faculty of Business and Economics (FBE), University of Liege - HEC Management School and Catholic University of Leuven (KUL)
Downloads 7 (456,874)

Abstract:

Multi-dimensional assignment; approximability, worst-case analysis, submodularity, wafer-to-wafer integration