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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

58

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CITATIONS
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245

Scholarly Papers (58)

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1.

On the Properties of Equally-Weighted Risk Contributions Portfolios

Number of pages: 23 Posted: 23 Sep 2008 Last Revised: 05 Jun 2009
Sébastien Maillard, Thierry Roncalli and Jerome Teiletche
Lyxor Asset Management, Amundi Asset Management and Unigestion
Downloads 5,414 (639)
Citation 30

Abstract:

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

2.

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, Crédit Lyonnais - Groupe de Recherche Opérationnelle and Amundi Asset Management
Downloads 3,920 (1,410)
Citation 44

Abstract:

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

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 2,538 (2,839)
Citation 16

Abstract:

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 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 Clark University - Graduate School of Management
Downloads 1,992 (4,756)
Citation 8

Abstract:

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

5.

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 Clark University - Graduate School of Management
Downloads 1,815 (3,561)
Citation 4

Abstract:

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

6.

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 1,756 (3,327)
Citation 9

Abstract:

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

7.

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 Clark University - Graduate School of Management
Downloads 1,595 (6,477)
Citation 5

Abstract:

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

8.

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 1,473 (3,738)

Abstract:

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

9.

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 1,322 (8,523)
Citation 9

Abstract:

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

10.

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 1,179 (7,835)
Citation 4

Abstract:

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

11.

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, Capital Fund Management, Lyxor Asset Management and Amundi Asset Management
Downloads 1,101 (6,588)

Abstract:

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

12.

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 1,005 (8,560)

Abstract:

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

13.

Measuring Performance of Exchange Traded Funds

Number of pages: 32 Posted: 07 Feb 2013 Last Revised: 18 Feb 2013
Marlène Hassine and Thierry Roncalli
Lyxor Asset Management, ETF Strategy and Amundi Asset Management
Downloads 999 (10,574)

Abstract:

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

14.

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, Crédit Lyonnais - Groupe de Recherche Opérationnelle and Amundi Asset Management
Downloads 917 (17,543)

Abstract:

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

15.

The Smart Beta Indexing Puzzle

Number of pages: 26 Posted: 17 Jul 2013 Last Revised: 30 Nov 2013
Zélia Cazalet, Pierre Grison and Thierry Roncalli
Lyxor Asset Management, Lyxor Asset Management and Amundi Asset Management
Downloads 901 (12,109)

Abstract:

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

16.

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, Crédit Lyonnais - Groupe de Recherche Opérationnelle and Amundi Asset Management
Downloads 792 (21,973)
Citation 5

Abstract:

Copulas, market risk, credit risk, operational risk

17.

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 714 (22,369)
Citation 12

Abstract:

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

18.

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 649 (27,200)

Abstract:

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

19.

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 623 (26,576)
Citation 9

Abstract:

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

20.

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
Lyxor Asset Management, Lyxor Asset Management and Amundi Asset Management
Downloads 615 (15,984)
Citation 1

Abstract:

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

21.

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 541 (34,330)
Citation 11

Abstract:

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

22.

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 538 (38,151)

Abstract:

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

23.

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 477 (44,556)

Abstract:

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

24.

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 442 (44,306)
Citation 4

Abstract:

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

25.

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 437 (43,041)
Citation 1

Abstract:

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

26.

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 435 (49,473)

Abstract:

Option hedging, stochastic volatility, hedging simulation

27.

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 420 (27,030)
Citation 3

Abstract:

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

28.

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 394 (39,632)
Citation 6

Abstract:

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

29.

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
University of California, San Diego (UCSD) - Department of Economics, Amundi Asset Management and Unigestion
Downloads 389 (51,717)
Citation 8

Abstract:

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

30.

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 374 (53,434)
Citation 22

Abstract:

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

31.

Understanding the Impact of Weights Constraints in Portfolio Theory

Number of pages: 13 Posted: 20 Feb 2011
Thierry Roncalli
Amundi Asset Management
Downloads 340 (53,124)
Citation 2

Abstract:

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

32.

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 337 (50,556)
Citation 5

Abstract:

default correlations, factor models

33.

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 331 (63,608)

Abstract:

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

34.

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 318 (68,007)
Citation 2

Abstract:

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

35.

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
Lyxor Asset Management and Amundi Asset Management
Downloads 284 (38,498)

Abstract:

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

36.

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 282 (79,501)
Citation 6

Abstract:

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

37.

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 Clark University - Graduate School of Management
Downloads 263 (39,457)

Abstract:

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

38.

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, Crédit Lyonnais - Groupe de Recherche Opérationnelle and Amundi Asset Management
Downloads 251 (90,073)
Citation 3

Abstract:

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

39.

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 238 (70,493)

Abstract:

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

40.

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 237 (91,908)

Abstract:

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

41.

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 227 (107,448)
Citation 3

Abstract:

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

42.

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 225 (88,395)
Citation 2

Abstract:

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

43.

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, Crédit Lyonnais - Groupe de Recherche Opérationnelle and Amundi Asset Management
Downloads 196 (117,183)

Abstract:

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

44.

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 183 (121,106)
Citation 4

Abstract:

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

45.

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 164 (135,618)
Citation 1

Abstract:

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

46.

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, Crédit Lyonnais - Groupe de Recherche Opérationnelle and Amundi Asset Management
Downloads 145 (159,286)

Abstract:

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

47.

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

Number of pages: 34 Posted: 05 Mar 2014 Last Revised: 06 Mar 2014
Thierry Roncalli and Ban Zheng
Amundi Asset Management and Lyxor Asset Management
Downloads 131 (122,768)

Abstract:

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

48.

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 115 (187,297)
Citation 4

Abstract:

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

49.

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, Crédit Lyonnais - Groupe de Recherche Opérationnelle and Amundi Asset Management
Downloads 80 (242,503)

Abstract:

Copulas, intensity models, Moody's diversity score

50.

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 48 (314,005)

Abstract:

Yield curve, Hull-White trinomial model, monetary policy

51.

Alternative Risk Premia: What Do We Know?

Number of pages: 31 Posted: 29 Apr 2017
Thierry Roncalli
Amundi Asset Management
Downloads 0 (102,527)

Abstract:

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

52.

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 0 (39,356)

Abstract:

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

53.

Lecture Notes on Risk Management & Financial Regulation

Number of pages: 718 Posted: 10 May 2016 Last Revised: 09 May 2017
Thierry Roncalli
Amundi Asset Management
Downloads 0 (20,997)

Abstract:

Basel I, Basel II, Basel III, Basel IV, Financial Regulation, Systemic Risk, Market Risk, Credit Risk, Operational Risk, CCR, CVA, Liquidity, ALM, CCP, Value-At-Risk, Expected Shortfall, Stress Testing, Model Risk, Pricing Risk, Copula, Extreme Value Theory, Monte Carlo Methods, Stochastic Process

54.

Lecture Notes on Risk Management & Financial Regulation – Companion Book

Number of pages: 226 Posted: 08 May 2016 Last Revised: 09 May 2017
Thierry Roncalli
Amundi Asset Management
Downloads 0 (121,106)

Abstract:

Basel I, Basel II, Basel III, Basel IV, Financial Regulation, Systemic Risk, Market Risk, Credit Risk, Operational Risk, CCR, CVA, Liquidity, ALM, CCP, Value-At-Risk, Expected Shortfall, Stress Testing, Model Risk, Pricing Risk, Copula, Extreme Value Theory, Monte Carlo Method, Stochastic Process

55.

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 Lyxor Asset Management
Downloads 0 (14,277)

Abstract:

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

56.

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, Lyxor Asset Management and Amundi Asset Management
Downloads 0 (65,837)
Citation 2

Abstract:

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

57.

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:

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

58.

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:

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

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