Jerome Gava

BNP Paribas

Senior Quantitative Analyst

20 Boulevard des Italiens

Paris, 75009

France

Ecole Polytechnique

Route de Saclay

Palaiseau, 91128

France

http://https://portail.polytechnique.edu/economie/en

SCHOLARLY PAPERS

2

DOWNLOADS

0

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Turning Tail Risks into Tailwinds

The Journal of Portfolio Management, 2021 ‘Multi-asset’ Special Edition
Posted: 26 Feb 2021
Jerome Gava, Francisco Guevara and Julien Turc
BNP Paribas, École polytechnique and BNP Paribas

Abstract:

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Risk parity, tail risk, systematic investing, trend following, put underwriting, spectral risk measures, decision theory, cumulative prospect theory, Cornish-Fisher expansion, power-law distributions, copula, vine copula

2.

Beyond Carry and Momentum in Government Bonds

The Journal of Fixed Income, Spring 2020
Posted: 07 Sep 2019 Last Revised: 27 Dec 2020
Jerome Gava, William Lefebvre and Julien Turc
BNP Paribas, Laboratoire de Probabilités, Statistique et Modélisation (LPSM) and BNP Paribas

Abstract:

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Factor and style investing, xed income, macroeconomy, macro- nance, seasonality, mean-reversion, machine learning, variables selection, panel regression, clustering, covariance selection, selection bias under multiple testing

Other Papers (1)

Total Downloads: 44
1.

The early bird catches the intraday trend

Number of pages: 38
Julien Turc, Jerome Gava and Roxton McNeal
BNP Paribas, BNP Paribas and affiliation not provided to SSRN
Downloads 44

Abstract:

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Intraday; trend following; knowledge graphs; equity futures; developed markets; machine learning; systematic investing; portfolio construction; tail risks