Thierry Roncalli

Amundi Asset Management

90 Boulevard Pasteur

Paris, 75015

France

University of Evry

Boulevard Francois Mitterrand

F-91025 Evry Cedex

France

  • Amundi Asset Management

  • University of Evry

SCHOLARLY PAPERS

65

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Scholarly Papers (65)

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1.

Copulas for Finance - A Reading Guide and Some Applications

Number of pages: 69 Posted: 26 Nov 2007 Last Revised: 03 Apr 2009
Eric Bouyé, Valdo Durrleman, Ashkan Nikeghbali, Gaël Riboulet and Thierry Roncalli
World Bank, Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN, Natixis and Amundi Asset Management
Downloads 4,917 (1,661)
Citation 122

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Multivariate distribution, dependence structure, concordance measures, scoring, Markov processes, risk management, extreme value theory, stress testing, operational risk, market risk, credit risk

2.

Managing Risk Exposures Using the Risk Budgeting Approach

Number of pages: 33 Posted: 23 Feb 2012 Last Revised: 10 Apr 2012
Benjamin Bruder and Thierry Roncalli
Lyxor Asset Management and Amundi Asset Management
Downloads 3,622 (2,834)
Citation 34

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risk budgeting, risk management, risk-based allocation, equal risk contribution, diversification, concentration, risk parity, alternative indexation, strategic asset allocation

3.

Loss Distribution Approach for Operational Risk

Number of pages: 43 Posted: 26 Nov 2007
Antoine Frachot, Pierre Georges and Thierry Roncalli
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Credit Lyonnais Asset Management and Amundi Asset Management
Downloads 3,408 (3,158)
Citation 67

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Operational risk, aggregated loss, compound distribution, loss severity, loss frequency, Panjer algorithm, Capital-at-Risk, economic capital allocation, order statistics, LDA, IMA, RPI, copulas.

4.

Risk Parity Portfolios with Risk Factors

Number of pages: 32 Posted: 03 Oct 2012 Last Revised: 06 Oct 2012
Thierry Roncalli and Guillaume Weisang
Amundi Asset Management and affiliation not provided to SSRN
Downloads 3,355 (3,248)
Citation 12

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risk parity, risk budgeting, factor model, ERC portfolio, diversification, concentration, Fama-French model, hedge fund allocation, strategic asset allocation

5.

Facts and Fantasies About Factor Investing

Number of pages: 112 Posted: 16 Nov 2014 Last Revised: 28 Nov 2014
Zélia Cazalet and Thierry Roncalli
Lyxor Asset Management and Amundi Asset Management
Downloads 3,336 (3,278)
Citation 10

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Factor investing, risk premium, CAPM, risk factor model, anomaly, size, value, momentum, low beta, quality, volatility, idiosyncratic risk, liquidity, carry, mutual funds, hedge funds, alternative beta, strategic asset allocation

6.

Trend Filtering Methods for Momentum Strategies

Number of pages: 49 Posted: 07 Jul 2013
Benjamin Bruder, Tung-Lam Dao, Jean-Charles Richard and Thierry Roncalli
Lyxor Asset Management, Millennium Capital Management, France branch, Eisler Capital and Amundi Asset Management
Downloads 2,924 (4,111)
Citation 12

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momentum strategy, trend following, moving average, filtering, trend extraction

7.

Risk Management Lessons from Madoff Fraud

Number of pages: 39 Posted: 18 Mar 2009 Last Revised: 08 Apr 2009
Pierre Clauss, Thierry Roncalli and Guillaume Weisang
Société Générale, Amundi Asset Management and affiliation not provided to SSRN
Downloads 2,441 (5,543)
Citation 10

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Madoff fraud, Ponzi scheme, operational risk, due diligence, supervision, hedge funds, bull spread strategy, split strike conversion

8.

Introduction to Risk Parity and Budgeting

Roncalli T. (2013), Introduction to Risk Parity and Budgeting, Chapman & Hall/CRC Financial Mathematics Series
Number of pages: 151 Posted: 02 Jun 2013 Last Revised: 30 Nov 2013
Thierry Roncalli
Amundi Asset Management
Downloads 2,208 (6,542)
Citation 17

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Risk parity, risk budgeting, portfolio optimization, CAPM, risk premium, beta, Sharpe ratio, shrinkage methods, convex risk measure, Euler allocation, marginal risk, risk contribution, value-at-risk, volatility, expected shortfall, Cornish Fisher expansion, risk factors, smart beta

9.

Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies

Number of pages: 102 Posted: 09 Oct 2017
Paul Jusselin, Edmond Lezmi, Hassan Malongo, Côme Masselin, Thierry Roncalli and Tung-Lam Dao
Ecole Polytechnique, Palaiseau, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Millennium Capital Management, France branch
Downloads 2,121 (7,009)
Citation 5

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Momentum risk premium, trend-following strategy, cross-section momentum, time-series momentum, alternative risk premium, market anomaly, diversification, correlation, payoff, trading impact, hedging, skewness, Gaussian quadratic forms, Kalman filter, EWMA

10.

Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation

Number of pages: 19 Posted: 06 Sep 2013 Last Revised: 14 Jun 2014
Thierry Roncalli
Amundi Asset Management
Downloads 2,117 (7,021)
Citation 13

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risk parity, risk budgeting, expected returns, ERC portfolio, value-at-risk, expected shortfall, tactical asset allocation, strategic asset allocation

11.

Tracking Problems, Hedge Fund Replication and Alternative Beta

Number of pages: 66 Posted: 12 Jan 2009 Last Revised: 20 Apr 2009
Thierry Roncalli and Guillaume Weisang
Amundi Asset Management and affiliation not provided to SSRN
Downloads 1,952 (8,091)
Citation 13

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Tracking problem, hedge fund replication, alternative beta, global tactical asset allocation, Bayes filter, Kalman filter, particle filter, non-linear exposure, alpha

12.

A Primer on Alternative Risk Premia

Number of pages: 123 Posted: 04 May 2016 Last Revised: 26 Jun 2016
Rayann Hamdan, Fabien Pavlowsky, Thierry Roncalli and Ban Zheng
Lyxor Asset Management, Lyxor Asset Management, Amundi Asset Management and Ecole Polytechnique
Downloads 1,937 (8,195)
Citation 14

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Alternative Risk Premium, Factor Investing, Skewness Risk Premium, Market Anomaly, Risk Factor, Carry, Event, Growth, Liquidity, Low Beta, Low Volatility, Momentum, Quality, Reversal, Value, Short Volatility, Size, Skewness, Drawdown, Option Profile, Alternative Beta, Hedge Funds

13.

An Alternative Approach to Alternative Beta

Number of pages: 17 Posted: 30 Nov 2007
Thierry Roncalli and Jerome Teiletche
Amundi Asset Management and Unigestion
Downloads 1,737 (9,802)
Citation 21

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Hedge funds, factor models, beta, alpha, replication, Kalman filter

14.

A Fast Algorithm for Computing High-Dimensional Risk Parity Portfolios

Number of pages: 9 Posted: 15 Sep 2013 Last Revised: 01 Oct 2013
Théophile Griveau-Billion, Jean-Charles Richard and Thierry Roncalli
Imperial College London, Eisler Capital and Amundi Asset Management
Downloads 1,440 (13,217)
Citation 12

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Risk parity, risk budgeting, ERC portfolio, cyclical coordinate descent algorithm, SQP algorithm, Jacobi algorithm, Newton algorithm, Nesterov algorithm

15.

Financial Applications of Copula Functions

RISK MEASURES FOR THE 21ST CENTURY, Par Giorgio Szego, ed., John Wiley & Sons, 2004
Number of pages: 26 Posted: 26 Nov 2007
Jean-Frédéric Jouanin, Gaël Riboulet and Thierry Roncalli
affiliation not provided to SSRN, Natixis and Amundi Asset Management
Downloads 1,099 (19,976)

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copula, risk management, market risk, credit risk, operational risk.

16.

Strategic Asset Allocation

Number of pages: 48 Posted: 29 Jun 2013
Karl Eychenne, Stéphane Martinetti and Thierry Roncalli
Lyxor Asset Management, Lyxor Asset Management and Amundi Asset Management
Downloads 1,065 (20,936)
Citation 7

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long-term investment policy, strategic asset allocation, tactical asset allocation, risk premium, long-run economic growth, Solow model, Phillips curve

17.

Keep Up the Momentum

Number of pages: 16 Posted: 09 Jan 2018
Thierry Roncalli
Amundi Asset Management
Downloads 1,029 (22,054)

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Momentum, Trend-Following, Diversification, Payoff

18.

Loss Distribution Approach in Practice

The Basel Handbook: A Guide for Financial Practitioners, edited by Micheal Ong, Risk Books, 2004.
Number of pages: 18 Posted: 26 Nov 2007
Antoine Frachot, Olivier Moudoulaud and Thierry Roncalli
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), affiliation not provided to SSRN and Amundi Asset Management
Downloads 974 (23,930)
Citation 1

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Operational risk, estimation, confidence interval, self assesment and scenario analysis

19.

Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia

Number of pages: 48 Posted: 23 Sep 2016
Benjamin Bruder, Nazar Kostyuchyk and Thierry Roncalli
Lyxor Asset Management, Lyxor Asset Management and Amundi Asset Management
Downloads 936 (25,290)
Citation 14

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Risk Parity, Equal Risk Contribution, Expected Shortfall, Skewness, Jump Diffusion, Gaussian Mixture Model, EM Algorithm, Filtering Theory, Factor Investing, Alternative Risk Premia, Short Volatility Strategy, Diversification, Skewness Hedging, CTA Strategy

20.

Copulas: An Open Field for Risk Management

Number of pages: 8 Posted: 26 Nov 2007
Eric Bouyé, Valdo Durrleman, Ashkan Nikeghbali, Gaël Riboulet and Thierry Roncalli
World Bank, Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN, Natixis and Amundi Asset Management
Downloads 914 (26,196)
Citation 9

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Copulas, market risk, credit risk, operational risk

21.

The Correlation Problem in Operational Risk

OperationalRisk — Risk's Newsletter, 2004
Number of pages: 13 Posted: 26 Nov 2007
Antoine Frachot, Thierry Roncalli and Eric Salomon
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Amundi Asset Management and affiliation not provided to SSRN
Downloads 854 (28,837)

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Operational risk, LDA model, severity correlation, frequency correlation, aggregate loss correlation

22.

Smart Beta: Managing Diversification of Minimum Variance Portfolios

Number of pages: 27 Posted: 18 Apr 2015 Last Revised: 20 Apr 2015
Jean-Charles Richard and Thierry Roncalli
Eisler Capital and Amundi Asset Management
Downloads 834 (29,801)
Citation 7

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Smart beta, risk-based allocation, minimum variance portfolio, GMV, EW, ERC, MDP, portfolio optimization, CCD algorithm

23.

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 823 (30,418)
Citation 3

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

24.

Regularization of Portfolio Allocation

Number of pages: 35 Posted: 21 Apr 2016
Benjamin Bruder, Nicolas Gaussel, Jean-Charles Richard and Thierry Roncalli
Lyxor Asset Management, Lyxor Asset Management, Eisler Capital and Amundi Asset Management
Downloads 745 (34,820)
Citation 11

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Portfolio optimization, active management, estimation error, shrinkage estimator, resampling methods, eigendecomposition, norm constraints, Lasso regression, ridge regression, information matrix, hedging portfolio, sparsity

25.

Mixing Internal and External Data for Managing Operational Risk

Number of pages: 7 Posted: 26 Nov 2007
Antoine Frachot and Thierry Roncalli
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Amundi Asset Management
Downloads 712 (37,008)
Citation 12

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Operational risk, LDA, internal data, external data, credibility theory

26.

Risk-Based Indexation

Number of pages: 29 Posted: 01 Apr 2010 Last Revised: 29 Jan 2011
Paul Demey, Sébastien Maillard and Thierry Roncalli
Lyxor Asset Management, Lyxor Asset Management and Amundi Asset Management
Downloads 710 (37,133)
Citation 17

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Risk-Based Indexation, Fundamental Indexation, Market Capitalization, Equity Indexes, Diversification, Portfolio Optimization, Robust Estimation

27.

Asset Management and Systemic Risk

Paris December 2015 Finance Meeting EUROFIDAI - AFFI
Number of pages: 52 Posted: 29 May 2015
Thierry Roncalli and Guillaume Weisang
Amundi Asset Management and affiliation not provided to SSRN
Downloads 653 (41,613)
Citation 4

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Systemic risk, SIFI, asset managers, asset owners, interconnectedness, liquidity risk, reputational risk, business risk, counterparty credit risk, market risk, liquidation period, index funds, money market funds, exchange traded funds, hedge funds

28.

Alternative Risk Premia: What Do We Know?

Number of pages: 31 Posted: 29 Apr 2017
Thierry Roncalli
Amundi Asset Management
Downloads 643 (42,538)
Citation 2

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alternative risk premium, factor investing, skewness risk, market anomalies, systematic risk factor, diversification, carry, momentum, value, low beta, short volatility, payoff function, alternative beta, hedge funds, multi-asset allocation

29.

An Analysis Framework for Bank Capital Allocation

Number of pages: 21 Posted: 21 Apr 2008 Last Revised: 01 Apr 2009
Thierry Roncalli, Nicolas Baud, Antoine Frachot, Philippe Igigabel and Pierre Martineau
Amundi Asset Management, affiliation not provided to SSRN, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 605 (46,084)

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Capital allocation, top-down, bottom-up, factor model, optimisation problem, Lagrange multipliers

30.

Portfolio Allocation of Hedge Funds

Number of pages: 38 Posted: 10 Apr 2011
Benjamin Bruder, Serge Darolles, Abdul K. Koudiraty and Thierry Roncalli
Lyxor Asset Management, Université Paris Dauphine - DRM-CEREG, affiliation not provided to SSRN and Amundi Asset Management
Downloads 601 (46,509)
Citation 4

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Hedge funds, portfolio allocation, higher-order moments, regime-switching models

31.

Multivariate Survival Modelling: A Unified Approach with Copulas

Number of pages: 72 Posted: 26 Nov 2007
Pierre Georges, Arnaud-Guilhem Lamy, Emeric Nicolas, Guillaume Quibel and Thierry Roncalli
Credit Lyonnais Asset Management, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN and Amundi Asset Management
Downloads 578 (48,897)
Citation 28

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Survival copula, frailty model, ageing concepts, competing risks, failure time, order statistics, prepayment, credit risk measure, default mode, correlated defaults, risk-bucket capital charge, default digital put, credit default swap, first-to-default

32.

Understanding the Impact of Weights Constraints in Portfolio Theory

Number of pages: 13 Posted: 20 Feb 2011
Thierry Roncalli
Amundi Asset Management
Downloads 576 (49,131)
Citation 9

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Global minimum variance portfolio, Markowitz optimization, tangency portfolio, Lagrange coefficients, shrinkage methods, covariance matrix

33.

Maximum Likelihood Estimate of Default Correlations

Risk Magazine, November 2004.
Number of pages: 5 Posted: 27 Nov 2007
Paul Demey, Jean-Frédéric Jouanin, Céline Roget and Thierry Roncalli
Lyxor Asset Management, affiliation not provided to SSRN, Credit Lyonnais Asset Management and Amundi Asset Management
Downloads 570 (49,785)
Citation 2

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default correlations, factor models

34.

Internal Data, External Data and Consortium Data - How to Mix Them for Measuring Operational Risk

Number of pages: 18 Posted: 26 Nov 2007
Nicolas Baud, Antoine Frachot and Thierry Roncalli
affiliation not provided to SSRN, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Amundi Asset Management
Downloads 532 (54,479)
Citation 9

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Operational risk, internal data, external data, consortium data, threshold.

35.

How to Design Target-Date Funds?

Number of pages: 32 Posted: 07 Jul 2013
Benjamin Bruder, Leo Culerier and Thierry Roncalli
Lyxor Asset Management, Lyxor Asset Management and Amundi Asset Management
Downloads 527 (55,002)
Citation 1

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target-date fund, retirement system, dynamic asset allocation, stochastic optimal control, market portfolio, risk aversion, stock/bond asset mix policy

36.

Option Hedging with Stochastic Volatility

Number of pages: 22 Posted: 23 Nov 2007 Last Revised: 03 Apr 2009
Adam Kurpiel and Thierry Roncalli
LARE-efi and Amundi Asset Management
Downloads 523 (55,514)

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Option hedging, stochastic volatility, hedging simulation

37.

Which Copula is the Right One?

Number of pages: 19 Posted: 26 Nov 2007 Last Revised: 06 Apr 2009
Valdo Durrleman, Ashkan Nikeghbali and Thierry Roncalli
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN and Amundi Asset Management
Downloads 515 (56,567)
Citation 65

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Maximum likelihood method, inference for margins, CML method, point estimator, non parametric estimation, Deheuvels copula, copula approximation

38.

Revisiting the Dependence between Financial Markets with Copulas

Number of pages: 45 Posted: 26 Nov 2007 Last Revised: 03 Apr 2009
Arnaud Costinot, Thierry Roncalli and Jerome Teiletche
Massachusetts Institute of Technology (MIT) - Department of Economics, Amundi Asset Management and Unigestion
Downloads 506 (57,834)
Citation 14

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Linear correlation, extreme value theory, quantile regression, concordance order, Deheuvels copula, contagion, Asian crisis

39.

How ESG Investing Has Impacted the Asset Pricing in the Equity Market

Number of pages: 19 Posted: 28 Jan 2019 Last Revised: 30 Jan 2019
Leila Bennani, Théo Le Guenedal, Frédéric Lepetit, Lai Ly, Vincent Mortier, Thierry Roncalli and Takaya Sekine
Amundi Asset Management, National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE), Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 444 (67,886)
Citation 3

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SRI, ESG Investing, Environmental, Social, Governance, Asset Pricing, Active Management, Stock Picking, Passive Management, Optimized Benchmarking Portfolio, Factor Investing, Factor Picking, Impact Investing

40.

Machine Learning Optimization Algorithms & Portfolio Allocation

Number of pages: 66 Posted: 25 Jul 2019
Sarah Perrin and Thierry Roncalli
University of Paris-Saclay - Ecole Polytechnique and Amundi Asset Management
Downloads 436 (69,811)
Citation 2

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portfolio allocation, mean-variance optimization, risk budgeting optimization, quadratic programming, coordinate descent, alternating direction method of multipliers, proximal gradient method, Dykstra's algorithm

41.

On the Market Portfolio for Multi-Asset Classes

Number of pages: 19 Posted: 23 May 2012
Rodolphe Louis and Thierry Roncalli
ENSAE and Amundi Asset Management
Downloads 424 (71,796)

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market portfolio, stock, bond, benchmark, multi-assets allocation, active management, risk premium, strategic asset allocation, long-term investment policy

42.

Fund Rating Systems and Performance Predictability

Number of pages: 17 Posted: 18 Apr 2008
Anne-Sophie Duret, Pierre Hereil, Philippe Mitaine, Nicolas Moussavi and Thierry Roncalli
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 383 (80,885)
Citation 2

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

43.

Mutual Fund Ratings and Performance Persistence

Number of pages: 27 Posted: 28 Jan 2011
Pierre Hereil, Philippe Mitaine, Nicolas Moussavi and Thierry Roncalli
affiliation not provided to SSRN, affiliation not provided to SSRN, Lyxor Asset Management and Amundi Asset Management
Downloads 369 (84,517)
Citation 4

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

44.

Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles

Number of pages: 36 Posted: 25 Feb 2019 Last Revised: 01 Mar 2019
Jean-Charles Richard and Thierry Roncalli
Eisler Capital and Amundi Asset Management
Downloads 346 (90,959)
Citation 4

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Risk budgeting, large-scale optimization, Lagrange function, cyclical coordinate descent (CCD), alternating direction method of multipliers (ADMM), proximal operator, Dykstra's algorithm, turnover, liquidity, risk parity, smart beta portfolio

45.

Robust Asset Allocation for Robo-Advisors

Number of pages: 67 Posted: 25 Oct 2018 Last Revised: 06 Nov 2018
Thibault Bourgeron, Edmond Lezmi and Thierry Roncalli
Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 346 (90,959)
Citation 5

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Robo-Advisor, Asset Allocation, Active Management, Portfolio Optimization, Black-Litterman Model, Spectral Filtering, Machine Learning, Tikhonov Regularization, Mixed Penalty, Ridge Regression, Lasso Method, Sparsity, ADMM Algorithm, Proximal Operator

46.

How to Avoid Over-Estimating Capital Charge for Operational Risk?

OperationalRisk - Risk's Newsletter, February 2003
Number of pages: 10 Posted: 27 Nov 2007
Nicolas Baud, Antoine Frachot and Thierry Roncalli
affiliation not provided to SSRN, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Amundi Asset Management
Downloads 341 (92,473)
Citation 2

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Operational risk, capital charge, threshold, conditional distribution, maximum likelihood

47.

Copulas, Multivariate Risk - Neutral Distributions and Implied Dependence Functions

Number of pages: 15 Posted: 26 Nov 2007
Sophie Coutant, Valdo Durrleman, Grégory Rapuch and Thierry Roncalli
Banque de France, Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN and Amundi Asset Management
Downloads 316 (100,648)
Citation 4

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Copulas, risk-neutral distribution, change of numéraire, option pricing, implied multivariate RND

48.

Portfolio Allocation with Skewness Risk: A Practical Guide

Number of pages: 33 Posted: 15 Jul 2018 Last Revised: 08 Feb 2019
Edmond Lezmi, Hassan Malongo, Thierry Roncalli and R Sobotka
Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 308 (103,437)
Citation 2

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Skewness, Volatility, Expected Shortfall, Stress Scenario, Market Regime, Drawdown, Risk Budgeting, Equal Risk Contribution, Gaussian Mixture Model, Jump-Diffusion Process

49.

Modelling Dependence for Credit Derivatives with Copulas

Number of pages: 23 Posted: 26 Nov 2007
Jean-Frédéric Jouanin, Grégory Rapuch, Gaël Riboulet and Thierry Roncalli
affiliation not provided to SSRN, affiliation not provided to SSRN, Natixis and Amundi Asset Management
Downloads 306 (104,210)
Citation 12

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Copulas, intensity models, Cox processes, Bessel processes, Moody's diversity score

50.

Non-Uniform Grids for PDE in Finance

Number of pages: 23 Posted: 23 Nov 2007 Last Revised: 28 Oct 2009
Jérôme Bodeau, Gaël Riboulet and Thierry Roncalli
affiliation not provided to SSRN, Natixis and Amundi Asset Management
Downloads 263 (122,398)
Citation 3

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Theta-scheme, non-uniform grids, temporal grids, cubic spline interpolation, european option, american option, barrier option.

51.

A Simple Transformation of Copulas

Number of pages: 15 Posted: 26 Nov 2007 Last Revised: 06 Apr 2009
Valdo Durrleman, Ashkan Nikeghbali and Thierry Roncalli
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN and Amundi Asset Management
Downloads 256 (125,977)
Citation 11

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gamma-transformation, Kendall's tau, Spearman's rho, upper tail dependence

52.

Copulas Approximation and New Families

Number of pages: 24 Posted: 26 Nov 2007 Last Revised: 03 Apr 2009
Valdo Durrleman, Ashkan Nikeghbali and Thierry Roncalli
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN and Amundi Asset Management
Downloads 247 (130,649)
Citation 11

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Doubly stochastic matrices, Bernstein polynomials approximation, checkerboard copula, partitions of unity, Markov algebras, product of copulas

53.

A Note About the Conjecture on Spearman's Rho and Kendall's Tau

Number of pages: 10 Posted: 26 Nov 2007 Last Revised: 03 Apr 2009
Valdo Durrleman, Ashkan Nikeghbali and Thierry Roncalli
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN and Amundi Asset Management
Downloads 217 (148,150)
Citation 3

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Spearman's rho, Kendall's tau, cubic copula

54.

Topics on Two-State Option Pricing

Number of pages: 44 Posted: 22 Nov 2007 Last Revised: 01 Apr 2009
Valdo Durrleman, Adam Kurpiel, Gaël Riboulet and Thierry Roncalli
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, LARE-efi, Natixis and Amundi Asset Management
Downloads 173 (182,365)
Citation 1

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Numerical integration methods, Gauss quadratures, Monte Carlo, Quasi Monte Carlo, Sobol sequences, Faure sequences, two-dimensional PDE, Hopscotch, LOD, ADI, MOL, Stochastic volatility model, Malliavin calculus

55.

How to Get Bounds for Distribution Convolutions? A Simulation Study and an Application to Risk Management

Number of pages: 14 Posted: 26 Nov 2007 Last Revised: 03 Apr 2009
Valdo Durrleman, Ashkan Nikeghbali and Thierry Roncalli
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN and Amundi Asset Management
Downloads 137 (221,537)
Citation 6

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Triangle functions, dependency bounds, infimal, supremal and sigma-convolutions, Makarov inequalities, Value-at-Risk, square root rule, Dall'aglio problem, Kantorovich distance

56.

Beyond Conditionnally Independent Defaults

Number of pages: 6 Posted: 26 Nov 2007
Jean-Frédéric Jouanin, Gaël Riboulet and Thierry Roncalli
affiliation not provided to SSRN, Natixis and Amundi Asset Management
Downloads 100 (278,874)
Citation 2

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Copulas, intensity models, Moody's diversity score

57.

A Note on Monetary Policy with Interest-Rate Contingent Claims as Indicators

Number of pages: 7 Posted: 22 Nov 2007
Thierry Roncalli
Amundi Asset Management
Downloads 67 (354,294)

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Yield curve, Hull-White trinomial model, monetary policy

58.

Financial Applications of Gaussian Processes and Bayesian Optimization

Number of pages: 42 Posted: 03 Apr 2019
Joan Gonzalvez, Edmond Lezmi, Thierry Roncalli and Jiali Xu
Ecole Normale Supérieure (ENS) de Lyon, Amundi Asset Management, Amundi Asset Management and Societe Generale
Downloads 61 (371,766)
Citation 3

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Gaussian process, Bayesian optimization, machine learning, kernel function, hyperparameter selection, regularization, time-series prediction, asset allocation, portfolio optimization, trend-following strategy, moving-average estimator, ADMM, Cholesky trick

59.

Factor Investing in Currency Markets: Does it Make Sense?

The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 141-155; DOI: https://doi.org/10.3905/jpm.2019.1.116
Posted: 09 Jul 2019
Elisa Baku, Roberta Fortes, Karine Hervé, Edmond Lezmi, Hassan Malongo, Thierry Roncalli and Jiali Xu
Paris School of Economics (PSE), Université Paris I Panthéon-Sorbonne, Banque de France, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Societe Generale

Abstract:

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foreign exchange rates, factor investing, carry, value, momentum, reversal, interest rate parity, purchasing power parity, BEER, FEER, NATREX, cross-section analysis, time-series analysis, risk premium, basket hedging, overlay management, risk aggregation, alpha strategy

60.

Measuring Performance of Exchange Traded Funds

https://doi.org/10.3905/jii.2013.4.3.057
Posted: 22 May 2019
Marlène Hassine and Thierry Roncalli
Lyxor Asset Management, ETF Strategy and Amundi Asset Management

Abstract:

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Passive management, index fund, ETF, information ratio, tracking error, liquidity, spread, value-at-risk

61.

The Smart Beta Indexing Puzzle

https://doi.org/10.3905/jii.2014.5.1.097
Posted: 22 May 2019
Zélia Cazalet, Pierre Grison and Thierry Roncalli
Lyxor Asset Management, Lyxor Asset Management and Amundi Asset Management

Abstract:

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Smart beta, risk-based indexing, minimum variance portfolio, risk parity, equally weighted portfolio, equal risk contribution portfolio, diversification, low beta anomaly, low volatility anomaly, tracking error, liquidity

62.

On the Properties of Equally-Weighted Risk Contributions Portfolios

https://doi.org/10.3905/jpm.2010.36.4.060
Posted: 21 May 2019
Sébastien Maillard, Thierry Roncalli and Jerome Teiletche
Lyxor Asset Management, Amundi Asset Management and Unigestion

Abstract:

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Asset allocation, risk contributions, minimum-variance, portfolio construction, risk budgeting, portfolio diversification

63.

Measuring the Liquidity of ETFs: An Application to the European Market

https://doi.org/10.3905/jot.2014.9.3.079
Posted: 21 May 2019
Thierry Roncalli and Ban Zheng
Amundi Asset Management and Ecole Polytechnique

Abstract:

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Exchange traded fund, liquidity, spread, trading volume, order book, liquidity improvement

64.

Some Remarks on Two - Asset Options Pricing and Stochastic Dependence of Asset Prices

Journal of Computational Finance, Vol. 7, No. 4, 2004
Posted: 26 Nov 2007
Grégory Rapuch and Thierry Roncalli
affiliation not provided to SSRN and Amundi Asset Management

Abstract:

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Copulas, two-asset options, Spread, Basket, Min, Max, Best Of, Worst Of, supermodular order, concordance order, Fréchet bounds, Feynman-Kac representation, maximum principle, parabolic PDE

65.

Hopscotch Methods for Two State Financial Models

Journal of Computational Finance, Vol. 2/3, 2000
Posted: 21 Nov 2007
Adam Kurpiel and Thierry Roncalli
LARE-efi and Amundi Asset Management

Abstract:

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Two-dimensional PDE, Hopscotch method, parabolic financial models, elliptic problems