Carole Bernard

Grenoble Ecole de Management

Professor

12, rue Pierre Sémard

Grenoble Cedex, 38003

France

Vrije Universiteit Brussel (VUB)

Pleinlaan 2

http://www.vub.ac.be/

Brussels, 1050

Belgium

  • Grenoble Ecole de Management

  • Vrije Universiteit Brussel (VUB)

SCHOLARLY PAPERS

76

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19,906

TOTAL CITATIONS
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Top 3,519

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251

Scholarly Papers (76)

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1.

Pricing Timer Options

Journal of Computational Finance, Vol. 15, No. 1, 2011
Number of pages: 37 Posted: 19 May 2010 Last Revised: 24 Jan 2012
Carole Bernard and Zhenyu Cui
Grenoble Ecole de Management and Stevens Institute of Technology - School of Business
Downloads 1,828 (19,763)
Citation 1

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Stochastic volatility, Volatility derivative, timer option, quadratic variation, correlation, Heston model, Hull and White model.

2.

Locally-Capped Investment Products and the Retail Investor

Journal of Derivatives, Vol. 18, No. 4, pp. 72-88, 2011
Number of pages: 34 Posted: 21 May 2019 Last Revised: 12 Aug 2019
Carole Bernard, Phelim P. Boyle and Will Gornall
Grenoble Ecole de Management, Wilfrid Laurier University - School of Business & Economics and University of British Columbia (UBC) - Division of Finance
Downloads 1,206 (36,698)
Citation 1

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Household finance, structured products, retail investor, locally-capped contracts

3.

Explicit Representation of Cost-Efficient Strategies

Downloads 823 (62,860)
Citation 20

Explicit Representation of Cost-Efficient Strategies

Number of pages: 39 Posted: 30 Jul 2010 Last Revised: 18 Apr 2013
Carole Bernard, Phelim P. Boyle and Steven Vanduffel
Grenoble Ecole de Management, Wilfrid Laurier University - School of Business & Economics and Vrije Universiteit Brussel (VUB)
Downloads 626 (88,463)
Citation 14

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Law-invariant increasing preferences, Stochastic Dominance, Expected Utility, State-dependent preferences, Copulas

Explicit Representation of Cost-Efficient Strategies

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 32 Posted: 22 Oct 2010
Carole Bernard and Phelim P. Boyle
Grenoble Ecole de Management and Wilfrid Laurier University - School of Business & Economics
Downloads 197 (318,901)
Citation 6

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Stochastic Dominance, Efficiency Cost, Expected Utility Optimization, Portfolio Choice

4.

Monte Carlo Methods for Pricing Discrete Parisian Options

European Journal of Finance, Vol. 17, Issue 3, 2011
Number of pages: 40 Posted: 11 Jul 2009 Last Revised: 24 Jan 2012
Carole Bernard and Phelim P. Boyle
Grenoble Ecole de Management and Wilfrid Laurier University - School of Business & Economics
Downloads 751 (71,059)
Citation 32

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Parisian Options, Monte Carlo, Discrete Monitoring, Control Variate, Early Exercise, Executive Stock Options, Mr. Thain.

5.

Statistical Assessments of Systemic Risk Measures

Number of pages: 19 Posted: 12 May 2012
Carole Bernard, Eike Brechmann and Claudia Czado
Grenoble Ecole de Management, Technische Universität München (TUM) and Technische Universität München (TUM) - Department of Mathematics
Downloads 674 (81,554)
Citation 1

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6.

Static Portfolio Choice Under Cumulative Prospect Theory

Mathematics and Financial Economics, Vol. 2, No. 4, March, 2010
Number of pages: 40 Posted: 30 Apr 2009 Last Revised: 19 Jul 2010
Carole Bernard and Mario Ghossoub
Grenoble Ecole de Management and University of Waterloo
Downloads 632 (88,586)
Citation 5

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Cumulative Prospect Theory, Portfolio Choice, Behavioral Finance, Omega Measure

7.

A New Approach to Assessing Model Risk in High Dimensions

Journal of Banking and Finance, Forthcoming
Number of pages: 28 Posted: 10 Feb 2014 Last Revised: 03 Apr 2015
Carole Bernard and Steven Vanduffel
Grenoble Ecole de Management and Vrije Universiteit Brussel (VUB)
Downloads 603 (94,081)
Citation 14

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Model Risk, VaR, TVaR, variance, tail dependence, tail correlation

8.

Value-at-Risk Bounds with Variance Constraints

Number of pages: 38 Posted: 18 Oct 2013 Last Revised: 10 Jul 2015
Carole Bernard, Ludger Rüschendorf and Steven Vanduffel
Grenoble Ecole de Management, University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 572 (100,606)
Citation 15

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Value-at-Risk, Convex order, Comonotonicity, Model risk, Rearrangement algorithm

9.

Option-Implied Dependence and Correlation Risk Premium

Number of pages: 78 Posted: 19 Jun 2020 Last Revised: 16 Aug 2023
Oleg Bondarenko and Carole Bernard
University of Illinois at Chicago - Department of Finance and Grenoble Ecole de Management
Downloads 547 (106,310)

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Model-Free Dependence, Implied Correlations, Forward-Looking Dependence, Down and up Correlation, Correlation Risk Premium

10.

Pricing Derivatives With Barriers in a Stochastic Interest Rate Environment

Journal of Economic Dynamics and Control, Vol. 32, No. 9, pp. 2903-2938, September 2008
Number of pages: 32 Posted: 26 Mar 2005 Last Revised: 14 Apr 2010
Carole Bernard, Olivier Le Courtois and Francois Quittard-Pinon
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 508 (116,488)
Citation 2

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Change of Numéraire, HJM model, Barrier Option, Markovian Approximation

11.

Optimal Insurance Design Under Rank-Dependent Expected Utility

Number of pages: 42 Posted: 11 Jul 2011 Last Revised: 11 Dec 2012
Carole Bernard, Xue Dong He, Jia‐An Yan and Xun Yu Zhou
Grenoble Ecole de Management, The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 476 (125,960)
Citation 15

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optimal insurance design, rank-dependent expected utility, inverse-S shaped probability distortion, indemnity, quantile formulation, deductible

12.

Measuring Portfolio Risk Under Partial Dependence Information

Number of pages: 39 Posted: 09 Mar 2014 Last Revised: 02 Nov 2017
Carole Bernard, Michel Denuit and Steven Vanduffel
Grenoble Ecole de Management, Catholic University of Louvain and Vrije Universiteit Brussel (VUB)
Downloads 390 (158,944)
Citation 14

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Stochastic dominance, Moment space, s-convex order, Value-at-Risk

13.

Impact of Counterparty Risk on the Reinsurance Market

North American Actuarial Journal, Forthcoming
Number of pages: 34 Posted: 07 Jan 2011 Last Revised: 24 Jan 2012
Carole Bernard and Michael Ludkovski
Grenoble Ecole de Management and University of California, Santa Barbara
Downloads 381 (163,219)
Citation 9

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Optimal Insurance Design, Multiplicative background risk, Counterparty risk, Reinsurance market, Stop-loss Insurance

14.

Improving the Design of Financial Products in a Multidimensional Black-Scholes Market

North American Actuarial Journal, Vol. 15, No.1, pp. 77-96
Number of pages: 26 Posted: 14 Apr 2010 Last Revised: 07 Dec 2011
Carole Bernard, Mateusz Maj and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) - Faculty of Economic, Social and Political Sciences and Vrije Universiteit Brussel (VUB)
Downloads 379 (164,157)

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cost-efficiency, optimal design, Black-Scholes

15.

Robust Distortion Risk Measures

Number of pages: 54 Posted: 23 Oct 2020 Last Revised: 13 Mar 2023
Carole Bernard, Silvana M. Pesenti and Steven Vanduffel
Grenoble Ecole de Management, University of Toronto and Vrije Universiteit Brussel (VUB)
Downloads 373 (167,027)
Citation 13

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Risk Bounds, Distortion Risk Measures, Wasserstein Distance, Distributional Robustness, Tail Value-at-Risk

16.

A Practical Approach to Quantitative Model Risk Assessment

Number of pages: 49 Posted: 27 Apr 2020 Last Revised: 01 Mar 2023
Carole Bernard, Rodrigue Kazzi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 367 (170,162)

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Value-at-Risk, Risk bounds, Model risk contribution, Model risk capital requirements, Parameter risk, Credibility factors, Generalized Pareto distribution

17.

Fixed-Strike European Arithmetic Asian Options: A Comment

Number of pages: 11 Posted: 29 Sep 2009
Carole Bernard, Phelim P. Boyle and Will Gornall
Grenoble Ecole de Management, Wilfrid Laurier University - School of Business & Economics and University of British Columbia (UBC) - Division of Finance
Downloads 358 (174,771)

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Asian options, Tse and Mok formula, pricing

18.

A New Procedure for Pricing Parisian Options

Journal of Derivatives, Vol. 12, No. 4, 2005
Number of pages: 32 Posted: 13 Feb 2012 Last Revised: 12 Jan 2014
Carole Bernard, Olivier Le Courtois and Francois Quittard-Pinon
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 349 (179,722)
Citation 2

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19.

Risk Management of Policyholder Behavior in Equity Linked Life Insurance

Number of pages: 34 Posted: 08 Feb 2015
Anne MacKay, Maciej Augustyniak, Carole Bernard and Mary R. Hardy
University of Waterloo, University of Montreal - Department of Mathematics and Statistics, Grenoble Ecole de Management and University of Waterloo
Downloads 343 (183,184)
Citation 6

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Variable annuities, pricing, GMMB, dynamic hedging, surrender behavior

20.

Risk Bounds for Factor Models

Finance and Stochastics, Forthcoming
Number of pages: 31 Posted: 03 Mar 2015 Last Revised: 09 Feb 2017
Carole Bernard, Ludger Rüschendorf, Steven Vanduffel and Ruodu Wang
Grenoble Ecole de Management, University of Freiburg, Vrije Universiteit Brussel (VUB) and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 339 (185,522)
Citation 9

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factor models, risk aggregation, dependence uncertainty, Value-at-Risk

21.

Optimal Strategies Under Omega Ratio

Economics Letters, Forthcoming
Number of pages: 30 Posted: 05 Apr 2017 Last Revised: 28 Oct 2019
Carole Bernard, Steven Vanduffel and Jiang Ye
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 320 (197,317)
Citation 2

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Portfolio choice, Omega ratio, Ill-posedness

22.

Optimal Portfolios Under Worst-Case Scenarios

Forthcoming in Quantitative Finance
Number of pages: 32 Posted: 04 Nov 2013
Carole Bernard, Jit Seng Chen and Steven Vanduffel
Grenoble Ecole de Management, Independent and Vrije Universiteit Brussel (VUB)
Downloads 312 (202,688)
Citation 2

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Behavioral Portfolio Selection, State-dependent preferences, Risk Diversification, Cost-efficiency, Path-dependent Strategies, Growth Optimal Portfolio

23.

Prices and Asymptotics for Discrete Variance Swaps

Applied Mathematical Finance, Forthcoming
Number of pages: 44 Posted: 23 Jul 2012 Last Revised: 19 Jun 2013
Carole Bernard and Zhenyu Cui
Grenoble Ecole de Management and Stevens Institute of Technology - School of Business
Downloads 311 (204,142)
Citation 12

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Discrete variance swaps, Heston model, Hull-White model, Schoebel-Zhu model

24.

Note on 'Improved Frechet Bounds and Model-Free Pricing of Multi-Asset Options' by Tankov (2011)

Journal of Applied Probability, Forthcoming
Number of pages: 12 Posted: 13 Feb 2012 Last Revised: 11 May 2012
Carole Bernard, Xiao Jiang and Steven Vanduffel
Grenoble Ecole de Management, University of Waterloo and Vrije Universiteit Brussel (VUB)
Downloads 310 (204,142)
Citation 1

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bounds, copulas, Frechet Hoeffding bounds, quasi-copula, optimal investment, state dependent constraints

25.

Nearly Exact Option Price Simulation Using Characteristic Functions

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 37 Posted: 23 Jul 2012
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo
Downloads 304 (208,585)

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Characteristic function, Monte Carlo, Option pricing, Parisian option, Heston model

26.

A Note on Exchange Options Under Stochastic Interest Rates

Number of pages: 7 Posted: 17 Jun 2010
Carole Bernard and Zhenyu Cui
Grenoble Ecole de Management and Stevens Institute of Technology - School of Business
Downloads 295 (215,221)
Citation 1

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Exchange options, Stochastic interest rates

27.

Rearrangement Algorithm and Maximum Entropy

Number of pages: 39 Posted: 23 Dec 2015 Last Revised: 17 Aug 2017
Carole Bernard, Oleg Bondarenko and Steven Vanduffel
Grenoble Ecole de Management, University of Illinois at Chicago - Department of Finance and Vrije Universiteit Brussel (VUB)
Downloads 284 (223,934)
Citation 1

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Entropy, Block Rearrangement Algorithm, Inferring dependence, Maximum determinant

28.

Mean-Variance Optimal Portfolios in the Presence of a Benchmark with Applications to Fraud Detection

Forthcoming in European Journal of Operational Research
Number of pages: 27 Posted: 30 Sep 2012 Last Revised: 23 Jun 2013
Carole Bernard and Steven Vanduffel
Grenoble Ecole de Management and Vrije Universiteit Brussel (VUB)
Downloads 276 (230,575)
Citation 6

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Mean-variance, Fraud detection, Optimal portfolio, Correlation constraints

29.

Risk Sharing & Pricing in the Reinsurance Market

Number of pages: 42 Posted: 24 Dec 2012
Carole Bernard
Grenoble Ecole de Management
Downloads 273 (233,105)
Citation 2

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reinsurance market, optimal design, insurance policies, intermediation, risk management, risk sharing, basis risk, moral hazard, securitization, reinsurance premium

30.

Financial Bounds for Insurance Claims

Downloads 248 (256,943)
Citation 2

Financial Bounds for Insurance Claims

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 32 Posted: 13 Oct 2011 Last Revised: 11 Feb 2012
Carole Bernard and Steven Vanduffel
Grenoble Ecole de Management and Vrije Universiteit Brussel (VUB)
Downloads 248 (255,352)
Citation 2

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Cost-efficiency, Jensen’s inequality, Fréchet bounds, Indifference pricing

Financial Bounds for Insurance Claims

Journal of Risk and Insurance, Forthcoming.
Posted: 23 Aug 2011 Last Revised: 22 Nov 2014
Carole Bernard and Steven Vanduffel
Grenoble Ecole de Management and Vrije Universiteit Brussel (VUB)

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31.

Smart Contract Tontines

Number of pages: 23 Posted: 21 Mar 2023 Last Revised: 13 Jul 2024
Mohamad Hassan Abou Daya and Carole Bernard
Grenoble Ecole de Management and Grenoble Ecole de Management
Downloads 247 (257,941)

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Tontines, Smart contract, Contract opacity, Blockchain. JEL classification: G11, G22

32.

Optimal Portfolios Under a Correlation Constraint

Forthcoming, Quantitative Finance
Number of pages: 27 Posted: 25 May 2016 Last Revised: 08 Sep 2020
Carole Bernard, Dries Cornilly and Steven Vanduffel
Grenoble Ecole de Management, Asteria Investment Managers and Vrije Universiteit Brussel (VUB)
Downloads 246 (258,985)
Citation 3

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Optimal portfolio selection, correlation constraint, Sharpe ratio, Mean-variance, Capital at Risk

33.

When Do Two- or Three-Fund Separation Theorems Hold?

Number of pages: 30 Posted: 20 Nov 2020
Carole Bernard, Corrado De Vecchi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 229 (277,621)
Citation 2

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Two-Fund Theorem, Three-Fund Theorem, Law-Invariant Preferences, Stochastic Dominance, Investment Analysis, Decision Analysis

34.

How Robust Is the Value-at-Risk of Credit Risk Portfolios?

Forthcoming, European Journal of Finance
Number of pages: 30 Posted: 27 Feb 2015 Last Revised: 02 Nov 2017
Carole Bernard, Ludger Rüschendorf, Steven Vanduffel and Jing Yao
Grenoble Ecole de Management, University of Freiburg, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 218 (291,017)
Citation 6

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Rearrangement algorithm, Moment bounds, Value-at-Risk, Credit risk portfolio. Minimum variance

35.

Protection of a Company Issuing a Certain Class of Participating Policies in a Complete Market Framework

North American Actuarial Journal, Vol. 14, No. 1, pp. 131-149, 2010
Number of pages: 31 Posted: 17 Jan 2006 Last Revised: 15 Aug 2015
Carole Bernard, Olivier Le Courtois and Francois Quittard-Pinon
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 213 (297,462)

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Participating Contracts, Safety Loading, Default Risk, Interest Rate Risk, Market Value, Fair Value Principle, Premium Principle, Equity Default Swap

36.

Development and Pricing of a New Participating Contract

North American Actuarial Journal, Vol. 10, No. 4, pp. 179-195, 2006
Number of pages: 22 Posted: 30 Jan 2006 Last Revised: 01 Mar 2010
Carole Bernard, Olivier Le Courtois and Francois Quittard-Pinon
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 203 (311,265)

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Participating Life Insurance Policies, Contingent Claims Valuation, Default Risk, Stochastic Interest Rates, Dubins-Schwarz theorem

37.

The Impact of Correlation on (Range) Value-at-Risk

Number of pages: 42 Posted: 14 Dec 2021
Carole Bernard, Corrado De Vecchi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 190 (330,778)
Citation 2

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Risk bounds, Value-at-Risk, Pearson correlation, Spearman's rho, Kendall's tau

38.

A Model-Free Approach to Multivariate Option Pricing

Number of pages: 28 Posted: 13 Nov 2019
Carole Bernard, Oleg Bondarenko and Steven Vanduffel
Grenoble Ecole de Management, University of Illinois at Chicago - Department of Finance and Vrije Universiteit Brussel (VUB)
Downloads 189 (332,429)
Citation 2

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Multivariate Option Pricing, Rearrangement Algorithm, Risk-Neutral Joint Distribution, Option-Implied Dependence, Entropy, Model Uncertainty

39.

State-Dependent Fees for Variable Annuity Guarantees

Number of pages: 29 Posted: 30 Apr 2013 Last Revised: 27 Jul 2013
Carole Bernard, Mary R. Hardy and Anne MacKay
Grenoble Ecole de Management, University of Waterloo and University of Waterloo
Downloads 181 (345,875)
Citation 10

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Variable annuities, pricing, GMMB, GMDB, surrender option

40.

Implied Value-at-Risk and Model-Free Simulation

Number of pages: 22 Posted: 08 Nov 2021
Carole Bernard, Andrea Perchiazzo and Steven Vanduffel
Grenoble Ecole de Management, University of Milan and Vrije Universiteit Brussel (VUB)
Downloads 177 (352,789)

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implied Value-at-Risk, model-free simulation under risk-neutral probability, exact simulation, stochastic volatility models, SABR model, Heston model.

41.

Comment on 'The Large-Maturity Smile for the Heston Model'

Number of pages: 9 Posted: 21 Mar 2012
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo
Downloads 177 (352,789)

Abstract:

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Moment explosion, Heston model, Asymptotics for large maturity, Essential smoothness, Large deviations principle

42.

Impact of Preferences on Optimal Insurance in the Presence of Multiple Policyholders

Journal of Economic Behavior and Organization, Forthcoming
Number of pages: 30 Posted: 12 Nov 2018 Last Revised: 15 Feb 2020
Carole Bernard, Fangda Liu and Steven Vanduffel
Grenoble Ecole de Management, Central University of Finance and Economics (CUFE) - China Institute for Actuarial Science and Vrije Universiteit Brussel (VUB)
Downloads 142 (424,731)
Citation 1

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Multiple policyholders, systematic risk, coinsurance, indifference price, insurance supply, public policy

43.

Optimal Surrender Policy for Variable Annuity Guarantees

Number of pages: 32 Posted: 11 Nov 2013 Last Revised: 31 Jan 2014
Carole Bernard, Anne MacKay and Max Muehlbeyer
Grenoble Ecole de Management, University of Waterloo and Ulm University
Downloads 139 (431,978)
Citation 4

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Variable annuities, Optimal surrender, GMMB, GMSB

44.

Can an Actuarially Unfair Tontine Be Optimal?

Number of pages: 36 Posted: 10 Jan 2024
Carole Bernard, Marco Feliciangeli and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 138 (434,409)
Citation 2

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Tontine, Actuarial fairness, Sabin rule

45.

Optimal Portfolio Under State-Dependent Expected Utility

Number of pages: 19 Posted: 14 Mar 2018
Carole Bernard, Steven Vanduffel and Jiang Ye
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 135 (442,052)
Citation 2

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Optimal Portfolio Choice, State-Dependent Utility, Cost-Efficiency, Portfolio Theory, Expected Utility Theory, Loss Aversion, Prospect Theory

46.

Optimal Portfolio Choice with Benchmarks

Number of pages: 35 Posted: 21 Jun 2017 Last Revised: 02 Nov 2017
Carole Bernard, Rob De Staelen and Steven Vanduffel
Grenoble Ecole de Management, Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 130 (455,650)
Citation 2

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optimal portfolio, algorithm, law-invariant, distortion, utility, GOP, cost-efficiency, state-dependent preferences, discrete optimization

47.

Impact of Flexible Periodic Premiums on Variable Annuity Guarantees

Number of pages: 35 Posted: 29 Feb 2016
Carole Bernard, Zhenyu Cui and Steven Vanduffel
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and Vrije Universiteit Brussel (VUB)
Downloads 130 (455,650)
Citation 1

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variable annuity, flexible premium, GMAB, GMDB, Asian options, conditioning

48.

What Matters in the Annuitization Decision?

Number of pages: 28 Posted: 04 Nov 2020 Last Revised: 21 Jun 2021
Mohamad Hassan Abou Daya and Carole Bernard
Grenoble Ecole de Management and Grenoble Ecole de Management
Downloads 126 (466,950)

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Annuities Demand, Trust in Financial Analysts, Multiple Factors Test

49.

Performance Regularity: A New Class of Executive Compensation Packages

Asia-Pacific Financial Markets, Vol. 19, No. 4, pp. 353-370, 2012
Number of pages: 24 Posted: 23 Jan 2012 Last Revised: 11 Jan 2014
Carole Bernard and Olivier Le Courtois
Grenoble Ecole de Management and EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 126 (466,950)

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Executive stock options, Parisian options, Optimal compensation

50.

Optimal Multivariate Financial Decision Making

Number of pages: 30 Posted: 19 Nov 2021 Last Revised: 21 Sep 2022
Carole Bernard, Luca De Gennaro Aquino and Steven Vanduffel
Grenoble Ecole de Management, University of Copenhagen and Vrije Universiteit Brussel (VUB)
Downloads 124 (472,702)
Citation 1

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Cost-efficiency, multivariate utility, multivariate preferences, diversification, systemic risk

51.

Rationalizing Investors Choice

Journal of Mathematical Economics, Forthcoming
Number of pages: 30 Posted: 02 Feb 2014 Last Revised: 01 May 2015
Carole Bernard, Jit Seng Chen and Steven Vanduffel
Grenoble Ecole de Management, Independent and Vrije Universiteit Brussel (VUB)
Downloads 112 (510,596)
Citation 17

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First-order stochastic dominance, Expected Utility, Utility Estimation, Risk Aversion, Law-invariant Preferences, Decreasing Absolute Risk Aversion, Arrow-Pratt risk aversion measure

52.

An updated version of 'Range Value-at-Risk Bounds for Unimodal Distributions Under Partial Information'

Number of pages: 45 Posted: 05 Mar 2022 Last Revised: 13 Mar 2023
Carole Bernard, Rodrigue Kazzi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 107 (527,979)

Abstract:

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Model risk, Range Value-at-Risk, Convex ordering, Unimodal distributions, Risk bounds

53.

On the Martingale Property in Stochastic Volatility Models Based on Time-Homogeneous Diffusions

Mathematical Finance, Forthcoming
Number of pages: 30 Posted: 02 Oct 2013 Last Revised: 12 Jul 2014
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo
Downloads 107 (527,979)

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Martingale property, Local martingale, Stochastic volatility, Engelbert-Schmidt zero-one law

54.

Bounds on Range Value-at-Risk for Unimodal Symmetric Distributions

Please refer to https://ssrn.com/abstract=4468467 or http://dx.doi.org/10.2139/ssrn.4468467
Number of pages: 14 Posted: 03 Jun 2022 Last Revised: 17 Jul 2024
Carole Bernard, Rodrigue Kazzi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 104 (539,034)
Citation 1

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Range Value-at-Risk, Value-at-Risk, unimodality, symmetry, risk bounds, Gauss inequality

55.

Improved block rearrangement algorithm

Number of pages: 30 Posted: 06 Sep 2023 Last Revised: 13 Jan 2025
Carole Bernard, Jinghui Chen, Ludger Rüschendorf and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB), University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 99 (558,076)

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Rearrangement algorithm, Block size, Risk bounds, Aggregation risk, Copula, Variance of the sum

56.

Optimal Annuity Demand for General Expected Utility Agents

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 28 Posted: 12 May 2020 Last Revised: 07 Nov 2020
Carole Bernard, Luca De Gennaro Aquino and Lucia Levante
Grenoble Ecole de Management, University of Copenhagen and Sapienza University of Rome
Downloads 98 (561,790)
Citation 1

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Expected utility theory, annuity equivalent wealth, longevity risk pooling, life-cycle model, annuity puzzle

57.

Impact of Systemic Risk Regulation on Optimal Policies and Asset Prices

Journal of Banking and Finance, Forthcoming
Number of pages: 65 Posted: 10 May 2022 Last Revised: 01 Aug 2022
Carole Bernard and Xuecan (Emma) Cui
Grenoble Ecole de Management and Institute of Financial Studies (IFS), Southwestern University of Finance and Economics (SWUFE)
Downloads 92 (584,756)
Citation 1

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Systemic risk management, conditional VaR (CoVaR) constraint, systemic expected shortfall (SES), state-dependent capital requirement, stress scenarios, equilibrium analysis.

58.

Market Value of Life Insurance Contracts Under Stochastic Interest Rates and Default Risk

Insurance: Mathematics and Economics, Vol. 36, No. 3, 2005
Number of pages: 23 Posted: 08 Feb 2017
Carole Bernard, Olivier Le Courtois and Francois Quittard-Pinon
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 91 (588,773)
Citation 3

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Participating Life Insurance Policies, Contingent Claims Valuation, Default Risk, Stochastic Interest Rates, Fortet’s Equation

59.

Model uncertainty assessment for symmetric and right-skewed distributions

Number of pages: 32 Posted: 04 Jun 2023 Last Revised: 17 Jul 2024
Carole Bernard, Rodrigue Kazzi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 90 (592,738)

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Value-at-Risk, Range Value-at-Risk, unimodality, symmetry, right-skewness, T-symmetry, risk bounds, Gauss inequality

60.

Asset Risk Management of Participating Contracts

Asia-Pacific Journal of Risk and Insurance, Vol. 6, N°2, 2012
Number of pages: 27 Posted: 08 Feb 2017
Carole Bernard and Olivier Le Courtois
Grenoble Ecole de Management and EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 87 (605,057)

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Participating Contracts, CPPI, Equity Default Swap, Market Valuation

61.

Multivariate Portfolio Choice Via Quantiles

Number of pages: 40 Posted: 21 Nov 2024
Carole Bernard, Andrea Perchiazzo and Steven Vanduffel
Grenoble Ecole de Management, University of Milan and Vrije Universiteit Brussel (VUB)
Downloads 83 (622,349)

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decision analysis, multivariate optimal portfolio choice, quantile approach, multivariate utility, cost-efficiency.

62.

Bounds on Capital Requirements for Bivariate Risk with Given Marginals and Partial Information on the Dependence

Number of pages: 23 Posted: 04 Oct 2013
Carole Bernard, Yuntao Liu, Niall MacGillivray and Jinyuan Zhang
Grenoble Ecole de Management, University of Waterloo, University of Waterloo and UCLA Anderson School of Management
Downloads 78 (644,670)
Citation 2

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Copulas, Fréchet-Hoeffding bounds, Capital requirements

63.

The Impact of Blockchain on Firms' Environmental and Social Performance

Number of pages: 54 Posted: 24 Jul 2024
Carole Bernard, Rebecca Cardot and Jamil Jaballah
Grenoble Ecole de Management, Grenoble Ecole de Management and Grenoble Ecole de Management
Downloads 60 (738,690)

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blockchain, patents, environmental and social performance

64.

Cost-efficiency in Incomplete Markets

Number of pages: 31 Posted: 30 Jun 2022
Carole Bernard and Stephan Sturm
Grenoble Ecole de Management and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 60 (738,690)

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Cost-efficiency, portfolio choice, law-invariant objective, utility maximization. Mathematics Subject Classification (2010): 91G10

65.

Coskewness Under Dependence Uncertainty

Number of pages: 15 Posted: 13 Apr 2023
Carole Bernard, Jinghui Chen, Ludger Rüschendorf and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB), University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 52 (790,202)

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Expected product, Higher-order moments, Copula, Coskewness, Risk bounds.

66.

A Study of Mutual Insurance for Bank Deposits

Geneva Risk and Insurance Review, Vol. 30, No. 2, 2005
Number of pages: 20 Posted: 08 Feb 2017
Carole Bernard, Olivier Le Courtois and Francois Quittard-Pinon
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 49 (811,388)

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67.

Omega Compatibility: A Meta-Analysis

Number of pages: 37 Posted: 08 Feb 2023
Carole Bernard, Massimiliano Caporin, Bertrand B. Maillet and Xiang Zhang
Grenoble Ecole de Management, University of Padua - Department of Statistical Sciences, EMLyon Business School (Paris Campus) and School of Finance/Institute of Big Data, Southwestern University of Finance and Economics
Downloads 47 (826,340)

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Second-order Stochastic Dominance, Omega Ratio, Performance Measurement

68.

Robust assessment of life insurance products

Number of pages: 31 Posted: 29 Apr 2022
Carole Bernard, Corrado De Vecchi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 45 (841,853)

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Model Risk, Longevity Risk, Insurance pricing, L^p distance, Actuarial value

69.

Le Point Sur... Les Options Parisiennes et leurs Applications (An Update On... Parisian Options and Their Applications)

Banque et Marchés, N° 82, p. 81-90, 2006
Number of pages: 20 Posted: 13 Feb 2017
Carole Bernard and Olivier Le Courtois
Grenoble Ecole de Management and EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 44 (849,803)

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70.

Green Spread of US Municipal Bonds

Number of pages: 31 Posted: 23 Jan 2025
Mahdi Sojoudi, Carole Bernard, Philippe Dupuy and Gareth Peters
Grenoble Ecole de Management, Grenoble Ecole de Management, Grenoble Ecole de Management and University of California Santa Barbara
Downloads 36 (919,184)

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JEL classification: G11, G12, G23 Green Bonds, Greenium, Nelson-Siegel Model, Taxation

71.

Impact of Model Misspecification on the Value-at-Risk of Unimodal T-Symmetric Distributions

Number of pages: 27 Posted: 20 Dec 2023
Carole Bernard, Rodrigue Kazzi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 36 (919,184)

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Value-at-Risk, risk bounds, unimodality, log-symmetry, model uncertainty

72.

Green Bonds & Certification: is getting certified always optimal?

Number of pages: 30 Posted: 19 Jul 2024
Rebecca Cardot, Carole Bernard and jamil jaballah
Grenoble Ecole de Management, Grenoble Ecole de Management and Grenoble Ecole de Management - ESC Grenoble
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Green bonds, Certification decisions, Perfect Bayesian Equilibrium, Signalling

73.

Examples and Counterexamples of Cost-efficiency in Incomplete Markets

Number of pages: 21 Posted: 11 Jul 2024
Stephan Sturm and Carole Bernard
Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences and Grenoble Ecole de Management
Downloads 11 (1,209,015)

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Cost-efficiency, portfolio choice, law-invariant objective, utility maximization. Mathematics Subject Classification (2010): 91G10

74.

Range Value-at-Risk Bounds for Unimodal Distributions under Partial Information

Insurance: Mathematics and Economics, Vol. 94, p. 9-24, September 2020
Posted: 30 Jun 2019 Last Revised: 23 May 2022
Carole Bernard, Rodrigue Kazzi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)

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Model risk, Value-at-Risk, Tail Value-at-Risk, Range Value-at-Risk, Convex ordering, Unimodal distributions, Risk bounds

75.

Convergence of the Discrete Variance Swap in Time-Homogeneous Diffusion Models

Quantitative Finance Letters, Forthcoming
Posted: 01 Oct 2013 Last Revised: 09 May 2014
Carole Bernard, Zhenyu Cui and Don McLeish
Grenoble Ecole de Management, Stevens Institute of Technology - School of Business and University of Waterloo

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Discrete variance swap, realized variance, quadratic variation, time-homogeneous diffusions

76.

Mr. Madoff's Amazing Returns: An Analysis of the Split-Strike Conversion Strategy

Journal of Derivatives, Vol. 17, No. 1, 2009, https://doi.org/10.3905/JOD.2009.17.1.062
Posted: 01 Apr 2009 Last Revised: 21 May 2019
Carole Bernard and Phelim P. Boyle
Grenoble Ecole de Management and Wilfrid Laurier University - School of Business & Economics

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Madoff, split-strike conversion strategy, performance measurement