Stéphane Daul

Pictet Asset Management

Geneva

Switzerland

RiskMetrics Group

1 Chase Manhattan Plaza

New York, NY

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 18,174

SSRN RANKINGS

Top 18,174

in Total Papers Downloads

3,558

SSRN CITATIONS
Rank 38,442

SSRN RANKINGS

Top 38,442

in Total Papers Citations

1

CROSSREF CITATIONS

19

Scholarly Papers (6)

1.

Fixed Income Performance Attribution

Number of pages: 64 Posted: 03 Jun 2010 Last Revised: 09 Jun 2010
Stéphane Daul, Stéphane Daul, Nicholas Sharp and Lars Qvigstad Sørensen
RiskMetrics GroupPictet Asset Management, RiskMetrics Group and Norwegian School of Economics (NHH) - Department of Finance
Downloads 1,305 (19,546)
Citation 1

Abstract:

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Fixed income factor model, performance attribution

2.

Merger Arbitrage Risk Model

Number of pages: 13 Posted: 06 Feb 2010
Stéphane Daul and Stéphane Daul
RiskMetrics GroupPictet Asset Management
Downloads 745 (43,492)
Citation 1

Abstract:

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Merger arbitrage, risk measurement

3.

Extensions of the Merger Arbitrage Risk Model

Number of pages: 13 Posted: 06 Feb 2010
Stéphane Daul and Stéphane Daul
RiskMetrics GroupPictet Asset Management
Downloads 619 (55,573)
Citation 1

Abstract:

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Merger arbitrage, risk measurement

4.

The Grouped t-Copula with an Application to Credit Risk

Number of pages: 7 Posted: 13 Mar 2009
Stéphane Daul, Stéphane Daul, Enrico G. De Giorgi, Filip Lindskog and Alexander McNeil
RiskMetrics GroupPictet Asset Management, University of St. Gallen - SEPS: Economics and Political Sciences, affiliation not provided to SSRN and ETH Zürich - Department of Mathematics
Downloads 555 (63,714)
Citation 18

Abstract:

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risk management, credit risk, copula, estimation

5.

Replication of Insurance Liabilities

RiskMetrics Journal Vol. 9, No. 1, Winter 2009
Number of pages: 19 Posted: 04 Oct 2009 Last Revised: 05 Feb 2010
Elena Gutiérrez Vidal, Stéphane Daul and Stéphane Daul
RiskMetrics Group and RiskMetrics GroupPictet Asset Management
Downloads 227 (171,990)

Abstract:

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6.

Capturing Risks of Non-Transparent Hedge Funds

Number of pages: 13 Posted: 06 Feb 2010
Stéphane Daul and Stéphane Daul
RiskMetrics GroupPictet Asset Management
Downloads 107 (318,894)

Abstract:

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Hedge fund, AGARCH, copula, risk