61 avenue du President Wilson
Cachan
France
Ecole Normale Superieure de Cachan
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CDO, Hedging, Index tranches, Delta, Hedge ratio, Model dependency, Correlation, Correlation smile, Factor models, NIG
CDO pricing, implied correlation, implied distribution, loss distribution, factor models, Normal Inverse Gaussian distribution, default probability, conditional default probability
Value at Risk, Expected Shortfall, Copula, RiskMetrics, Risk management
Taylor rule, duration models, probit models, Central Bank expectations, Factor based methods
Macroeconomic Announcements, Interest Rates Dynamic, Outliers, Reaction Function, Principal Component
Graph Theory, Momentum, Dynamic Portfolio, Quantum Probability, Spectral Analysis
Markov switching models, Structural breaks, Long memory behavior, ARFIMA models, Forecasting.
Switching Models, SETAR processes, Test, Empirical power
non-stationarity, copula, long-memory, switching, cumulants, estimation theory
