Pierre Hereil

affiliation not provided to SSRN

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 30,963

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Top 30,963

in Total Papers Downloads

1,599

SSRN CITATIONS

1

CROSSREF CITATIONS

7

Scholarly Papers (3)

1.

Managing Sovereign Credit Risk in Bond Portfolios

Number of pages: 27 Posted: 09 Nov 2011 Last Revised: 23 Feb 2012
Benjamin Bruder, Pierre Hereil and Thierry Roncalli
Lyxor Asset Management, affiliation not provided to SSRN and Amundi Asset Management
Downloads 825 (30,893)
Citation 3

Abstract:

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Sovereign credit risk, credit spread, convex risk measure, sabr model, CDS, bond indices, fundamental indexation, risk-based indexation, risk budgeting

2.

Mutual Fund Ratings and Performance Persistence

Number of pages: 27 Posted: 28 Jan 2011
affiliation not provided to SSRN, affiliation not provided to SSRN, Lyxor Asset Management and Amundi Asset Management
Downloads 388 (81,175)
Citation 4

Abstract:

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Mutual funds, rating system, style analysis, Markov chain, active management

3.

Fund Rating Systems and Performance Predictability

Number of pages: 17 Posted: 18 Apr 2008
affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN and Amundi Asset Management
Downloads 386 (81,633)
Citation 2

Abstract:

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fund ratings, performance predictability, markov generator, transition matrix, hurst exponent, fund picking, statistical persistence