Thierry Roncalli

Amundi Asset Management

90 Boulevard Pasteur

Paris, 75015

France

University of Evry

Boulevard Francois Mitterrand

F-91025 Evry Cedex

France

SCHOLARLY PAPERS

65

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Scholarly Papers (65)

1.

Copulas for Finance - A Reading Guide and Some Applications

Number of pages: 69 Posted: 26 Nov 2007 Last Revised: 03 Apr 2009
World Bank, Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN, Natixis and Amundi Asset Management
Downloads 4,822 (1,587)
Citation 107

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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 3,443 (2,863)
Citation 31

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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 3,342 (3,032)
Citation 62

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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 3,261 (3,164)
Citation 10

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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 3,218 (3,220)
Citation 9

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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
Lyxor Asset Management, Capital Fund Management, Eisler Capital and Amundi Asset Management
Downloads 2,759 (4,200)
Citation 10

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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 2,407 (5,277)
Citation 9

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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 2,094 (6,657)
Citation 9

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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.

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 2,030 (7,024)
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

10.

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 1,934 (7,646)
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

11.

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

Number of pages: 102 Posted: 09 Oct 2017
Ecole Polytechnique, Palaiseau, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Capital Fund Management
Downloads 1,892 (7,957)
Citation 6

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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

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 1,824 (8,458)
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 1,726 (9,262)
Citation 20

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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
Imperial College London, Eisler Capital and Amundi Asset Management
Downloads 1,349 (13,770)
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 1,084 (19,222)

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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 1,005 (21,475)
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 956 (23,123)

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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 951 (23,303)

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

19.

Copulas: An Open Field for Risk Management

Number of pages: 8 Posted: 26 Nov 2007
World Bank, Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN, Natixis and Amundi Asset Management
Downloads 906 (25,019)
Citation 8

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Copulas, market risk, credit risk, operational risk

20.

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 891 (25,629)
Citation 10

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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

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 835 (28,057)

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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 809 (29,269)
Citation 6

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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 804 (29,553)
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.

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 693 (36,227)
Citation 16

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

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 693 (36,227)
Citation 11

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

26.

Regularization of Portfolio Allocation

Number of pages: 35 Posted: 21 Apr 2016
Lyxor Asset Management, Lyxor Asset Management, Eisler Capital and Amundi Asset Management
Downloads 646 (39,770)
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

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 639 (40,355)
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 619 (42,124)
Citation 3

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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
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 600 (43,895)

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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
Lyxor Asset Management, Université Paris Dauphine - DRM-CEREG, affiliation not provided to SSRN and Amundi Asset Management
Downloads 590 (44,919)
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
Credit Lyonnais Asset Management, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN and Amundi Asset Management
Downloads 564 (47,599)
Citation 26

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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.

Maximum Likelihood Estimate of Default Correlations

Risk Magazine, November 2004.
Number of pages: 5 Posted: 27 Nov 2007
Lyxor Asset Management, affiliation not provided to SSRN, Credit Lyonnais Asset Management and Amundi Asset Management
Downloads 557 (48,376)
Citation 1

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default correlations, factor models

33.

Understanding the Impact of Weights Constraints in Portfolio Theory

Number of pages: 13 Posted: 20 Feb 2011
Thierry Roncalli
Amundi Asset Management
Downloads 554 (48,694)
Citation 8

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

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 528 (51,721)
Citation 8

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

35.

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 510 (54,057)

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Option hedging, stochastic volatility, hedging simulation

36.

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 502 (55,116)
Citation 58

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

37.

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 496 (55,977)
Citation 14

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

38.

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 489 (56,997)
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

39.

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 416 (69,460)

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

40.

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 377 (77,919)
Citation 2

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

41.

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 347 (85,866)
Citation 4

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

42.

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 337 (88,756)
Citation 1

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

43.

Copulas, Multivariate Risk - Neutral Distributions and Implied Dependence Functions

Number of pages: 15 Posted: 26 Nov 2007
Banque de France, Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN and Amundi Asset Management
Downloads 310 (97,318)
Citation 3

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

44.

Modelling Dependence for Credit Derivatives with Copulas

Number of pages: 23 Posted: 26 Nov 2007
affiliation not provided to SSRN, affiliation not provided to SSRN, Natixis and Amundi Asset Management
Downloads 300 (100,827)
Citation 11

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

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 267 (114,187)
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.

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 258 (118,352)
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

47.

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 252 (121,270)
Citation 9

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

48.

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 250 (123,300)
Citation 1

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

49.

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 244 (125,356)
Citation 10

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

50.

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
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 240 (127,447)

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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

51.

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 235 (130,167)
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

52.

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 214 (142,543)
Citation 3

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

53.

Factor Investing in Currency Markets: Does it Make Sense?

Number of pages: 107 Posted: 09 Jul 2019
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
Downloads 192 (158,501)

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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

54.

Topics on Two-State Option Pricing

Number of pages: 44 Posted: 22 Nov 2007 Last Revised: 01 Apr 2009
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, LARE-efi, Natixis and Amundi Asset Management
Downloads 169 (176,832)
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 135 (213,048)
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.

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 99 (267,012)
Citation 1

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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

57.

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 98 (268,805)
Citation 2

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Copulas, intensity models, Moody's diversity score

58.

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 64 (345,529)

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Yield curve, Hull-White trinomial model, monetary policy

59.

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 48 (395,434)
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

60.

Measuring Performance of Exchange Traded Funds

Posted: 22 May 2019
Marlène Hassine and Thierry Roncalli
Lyxor Asset Management, ETF Strategy and Amundi Asset Management

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

61.

The Smart Beta Indexing Puzzle

Posted: 22 May 2019
Zélia Cazalet, Pierre Grison and Thierry Roncalli
Lyxor Asset Management, Lyxor Asset Management and Amundi Asset Management

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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

Posted: 21 May 2019
Sébastien Maillard, Thierry Roncalli and Jerome Teiletche
Lyxor Asset Management, Amundi Asset Management and Unigestion

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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

Posted: 21 May 2019
Thierry Roncalli and Ban Zheng
Amundi Asset Management and Ecole Polytechnique

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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

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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