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

104

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1,055

Scholarly Papers (104)

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1.

Handbook of Sustainable Finance

Number of pages: 1274 Posted: 27 Dec 2022 Last Revised: 10 Mar 2025
Thierry Roncalli
Amundi Asset Management
Downloads 21,949 (296)
Citation 1

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Sustainable finance, ESG investing, climate risk

2.

Course 2023-2024 in Portfolio Allocation and Asset Management

Number of pages: 1420 Posted: 13 Feb 2024
Thierry Roncalli
Amundi Asset Management
Downloads 12,525 (823)

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Asset management, portfolio optimization, allocation, Markowitz model, CPAM, Black-Litterman model, ERC, MDP, smart beta, factor investing, alternative risk premia, machine learning, ESG investing, climate investing, net-zero investing

3.

Advanced Course in Asset Management (Presentation Slides)

Number of pages: 1520 Posted: 08 Feb 2021
Thierry Roncalli
Amundi Asset Management
Downloads 6,885 (2,271)

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Asset Management, Portfolio Optimization, Risk Budgeting, Smart Beta, Factor Investing, Alternative Risk Premia, Green Finance, Climate Change, ESG, Machine Learning

4.

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 6,490 (2,513)
Citation 39

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

5.

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, affiliation not provided to SSRN, Eisler Capital and Amundi Asset Management
Downloads 6,181 (2,732)
Citation 19

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

6.

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 6,155 (2,745)
Citation 329

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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

7.

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

Number of pages: 102 Posted: 09 Oct 2017
Paul Jusselin, Paul Jusselin, Edmond Lezmi, Hassan Malongo, Côme Masselin, Thierry Roncalli and Tung-Lam Dao
Ecole Polytechnique, Paris - Centre De Mathématiques Appliquées (CMAP), StudentsEcole Polytechnique, Palaiseau, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and affiliation not provided to SSRN
Downloads 6,016 (2,867)
Citation 2

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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

8.

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 5,620 (3,223)
Citation 93

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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.

9.

ESG Investing in Recent Years: New Insights from Old Challenges

Number of pages: 23 Posted: 22 Sep 2020
Angelo Drei, Théo Le Guenedal, Frederic Lepetit, Vincent Mortier, Thierry Roncalli and Takaya Sekine
affiliation not provided to SSRN, Amundi Technology, Amundi Institute, Amundi Asset Management, Amundi Asset Management and Amundi Institute
Downloads 4,906 (4,111)
Citation 25

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ESG, environmental, social, governance, asset pricing, active management, passive management, factor investing

10.

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 4,870 (4,157)
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

11.

Course 2023-2024 in Financial Risk Management

Number of pages: 1695 Posted: 12 Oct 2023
Thierry Roncalli
Amundi Asset Management
Downloads 4,827 (4,224)

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Risk Management, Market Risk, Credit Risk, CCR, CVA, Liquidity, ALM, Model Risk, Pricing, Copula, EVT, Credit Scoring, Monte Carlo

12.

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 4,369 (4,981)
Citation 19

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

13.

Course 2023-2024 in Sustainable Finance & Climate Change

Number of pages: 1665 Posted: 18 Mar 2024
Thierry Roncalli
Amundi Asset Management
Downloads 4,109 (5,497)

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Sustainable finance, ESG Risk, Climate Change

14.

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, Frederic Lepetit, Lai Ly, Vincent Mortier, Thierry Roncalli and Takaya Sekine
Amundi Asset Management, Amundi Technology, Amundi Institute, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Amundi Institute
Downloads 4,100 (5,515)
Citation 11

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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

15.

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 3,626 (6,764)
Citation 39

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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

16.

Course 2022-2023 in Sustainable Finance

Number of pages: 1114 Posted: 30 Jan 2023 Last Revised: 13 Apr 2023
Thierry Roncalli
Amundi Asset Management
Downloads 3,454 (7,338)

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Sustainable finance, ESG Risk, Climate Risk

17.

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 3,316 (7,807)
Citation 21

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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

18.

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 3,138 (8,544)
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

19.

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
Université d'Évry - Centre D'Etudes des Politiques Economiques et de L'Emploi (EPEE), Amundi Asset Management and affiliation not provided to SSRN
Downloads 2,884 (9,693)
Citation 11

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

20.

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 2,431 (12,749)
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

21.

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 2,350 (13,501)
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

22.

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 2,213 (14,846)
Citation 15

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

23.

Presentation Slides on Financial Risk Management

Number of pages: 756 Posted: 06 Jan 2021
Thierry Roncalli
Amundi Asset Management
Downloads 2,048 (16,811)
Citation 2

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Risk Management, Market Risk, Credit Risk, CVA, CCR, Operational Risk, Liquidity, ALM, Model Risk, Copulas, Extreme Value Theory, Stress Testing, Monte Carlo Methods, Credit Scoring

24.

An Alternative Approach to Alternative Beta

Number of pages: 17 Posted: 30 Nov 2007
Thierry Roncalli and Jerome Teiletche
Amundi Asset Management and World Bank
Downloads 2,019 (17,203)
Citation 20

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

25.

Keep Up the Momentum

Number of pages: 16 Posted: 09 Jan 2018
Thierry Roncalli
Amundi Asset Management
Downloads 1,998 (17,552)
Citation 3

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Momentum, Trend-Following, Diversification, Payoff

26.

Portfolio Construction with Climate Risk Measures

Number of pages: 51 Posted: 05 Jan 2022 Last Revised: 01 Feb 2022
Théo Le Guenedal and Thierry Roncalli
Amundi Technology and Amundi Asset Management
Downloads 1,949 (18,233)
Citation 7

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Climate change, risk measure, carbon emissions, reduction scenario, carbon trajectory, net zero emission, optimized portfolio, decarbonization, portfolio alignment, index portfolio

27.

Rethinking the Stock-Bond Correlation

Number of pages: 38 Posted: 06 Feb 2025
Thierry Roncalli
Amundi Asset Management
Downloads 1,848 (19,846)

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28.

Stock-Bond Correlation: Theory & Empirical Results

Number of pages: 139 Posted: 11 May 2024
Lorenzo Portelli and Thierry Roncalli
Amundi Asset Management and Amundi Asset Management
Downloads 1,808 (20,519)
Citation 1

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Stock-bond correlation, risk premium, payoff approach, growth, inflation

29.

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, Metori Capital Management, Eisler Capital and Amundi Asset Management
Downloads 1,765 (21,273)
Citation 15

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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

30.

From Climate Stress Testing to Climate Value-at-Risk: A Stochastic Approach

Number of pages: 182 Posted: 05 Jul 2023
Baptiste Desnos, Théo Le Guenedal, Philippe Morais and Thierry Roncalli
Ecole Centrale de Nantes, Amundi Technology, Amundi Institute and Amundi Asset Management
Downloads 1,739 (21,780)
Citation 4

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Climate change, stress testing, value-at-risk, carbon tax, input-output analysis, cost-push price model, dual Leontief matrix, pass-through, indirect emissions, inflation risk, risk contribution, substochastic matrix, Neumann series, directed graph, copula, Monte Carlo simulation

31.

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 1,651 (23,533)
Citation 5

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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

32.

Multi-Period Portfolio Optimization

Number of pages: 62 Posted: 05 May 2022
Edmond Lezmi, Thierry Roncalli and Jiali Xu
Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 1,543 (26,190)

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Multi-period optimization, portfolio allocation, ADMM, block coordinate descent, quadratic programming, coupling variables, transition management, total variation regularization, optimal trading trajectory problem, portfolio decarbonization, net zero alignment

33.

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 1,523 (26,595)

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

34.

Course 2024-2025 in Sustainable Finance & Climate Change

Number of pages: 2018 Posted: 13 Dec 2024
Thierry Roncalli
Amundi Asset Management
Downloads 1,518 (26,717)

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35.

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 1,456 (28,500)
Citation 18

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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

36.

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 1,375 (30,976)
Citation 1

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

37.

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 1,284 (34,261)
Citation 17

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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

38.

Liquidity Stress Testing in Asset Management (Comprehensive Report)

Number of pages: 336 Posted: 15 Dec 2021
Thierry Roncalli
Amundi Asset Management
Downloads 1,259 (35,229)

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liquidity risk, stress testing, asset-liability management

39.

Alternative Risk Premia: What Do We Know?

Number of pages: 31 Posted: 29 Apr 2017
Thierry Roncalli
Amundi Asset Management
Downloads 1,190 (38,243)
Citation 7

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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

40.

Measuring and Managing Carbon Risk in Investment Portfolios

Number of pages: 58 Posted: 22 Sep 2020
Théo Roncalli, Théo Le Guenedal, Frederic Lepetit, Thierry Roncalli and Takaya Sekine
University of Paris-Saclay, Amundi Technology, Amundi Institute, Amundi Asset Management and Amundi Institute
Downloads 1,149 (40,269)
Citation 4

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Carbon, climate change, risk factor, Kalman filter, minimum variance portfolio, enhanced index portfolio, factor investing

41.

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 1,101 (42,893)
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

42.

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 1,099 (43,005)
Citation 8

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

43.

ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies?

Number of pages: 67 Posted: 12 Oct 2021 Last Revised: 08 Nov 2021
Raphaël Semet, Thierry Roncalli and Lauren Stagnol
University of Paris-Saclay, Amundi Asset Management and Amundi Institute
Downloads 1,095 (43,218)

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ESG, Sovereign risk, debt, bond yield, credit spread

44.

ESG Investing in Corporate Bonds: Mind the Gap

Number of pages: 61 Posted: 22 Sep 2020
Mohamed Ben Slimane, Théo Le Guenedal, Thierry Roncalli and Takaya Sekine
Amundi Institute, Amundi Technology, Amundi Asset Management and Amundi Institute
Downloads 1,062 (45,107)
Citation 1

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SRI, ESG investing, environmental, social, governance, asset pricing, active management, bond picking, passive management, credit rating, yield spread, cost of debt

45.

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 1,048 (45,935)
Citation 2

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

46.

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 1,039 (46,492)
Citation 13

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Copulas, market risk, credit risk, operational risk

47.

Course 2021-2022 in ESG and Climate Risks

Number of pages: 769 Posted: 27 Apr 2022 Last Revised: 13 Jan 2023
Thierry Roncalli
Amundi Asset Management
Downloads 1,019 (47,876)

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Sustainable finance, ESG investing, climate investing, portfolio decarbonization, asset management

48.

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 1,003 (48,844)
Citation 18

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

49.

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 992 (49,703)
Citation 3

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

50.

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 990 (49,779)
Citation 6

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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

51.

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 955 (52,329)
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

52.

Risk Factor, Risk Premium and Black-Litterman Model

Number of pages: 59 Posted: 14 Nov 2024
Natasha Abou Rjaily, Thierry Roncalli and Jiali Xu
University Paris-Saclay, Amundi Asset Management and Amundi Asset Management
Downloads 951 (52,623)

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Factor model, risk premium, Black-Litterman model, minimum-variance portfolio, active management, tactical asset allocation JEL Classification: C02

53.

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 945 (53,102)
Citation 10

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

54.

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 931 (54,232)
Citation 4

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

55.

Understanding the Performance of the Equity Value Factor

Number of pages: 29 Posted: 06 Apr 2021
Lauren Stagnol, Christian Lopez, Thierry Roncalli and Bruno Taillardat
Amundi Institute, Banque CPR, Amundi Asset Management and Amundi Asset Management
Downloads 913 (55,759)
Citation 2

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Value, risk factor, risk premium, factor investing, valuation, deep value, inflation, interest rates, ESG, carbon risk

56.

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 891 (57,569)
Citation 5

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default correlations, factor models

57.

ESG Investing in Fixed Income: It's Time to Cross the Rubicon

Number of pages: 23 Posted: 22 Sep 2020
Mohamed Ben Slimane, Eric Brard, Théo Le Guenedal, Thierry Roncalli and Takaya Sekine
Amundi Institute, Amundi Asset Management, Amundi Technology, Amundi Asset Management and Amundi Institute
Downloads 857 (60,719)

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SRI, ESG investing, environmental, social, governance, asset pricing, active management, bond picking, passive management, credit rating, yield spread, cost of debt

58.

Understanding the Impact of Weights Constraints in Portfolio Theory

Number of pages: 13 Posted: 20 Feb 2011
Thierry Roncalli
Amundi Asset Management
Downloads 836 (62,869)
Citation 11

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

59.

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 836 (62,966)
Citation 49

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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

60.

Net Zero Carbon Metrics

Number of pages: 74 Posted: 16 Feb 2022
Théo Le Guenedal, François Lombard, Thierry Roncalli and Takaya Sekine
Amundi Technology, Amundi Asset Management, Amundi Asset Management and Amundi Institute
Downloads 774 (69,617)

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Climate change, net zero emissions, reduction scenario, carbon budget, carbon trend, carbon reduction target, participation, ambition, credibility, portfolio alignment, decarbonization

61.

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 753 (72,245)
Citation 4

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

62.

Net Zero Investment Portfolios - Part 1. The Comprehensive Integrated Approach

Number of pages: 103 Posted: 13 Dec 2022
Ines Barahhou, Mohamed Ben Slimane, Thierry Roncalli and Noureddine Oulid Azouz
Amundi Institute, Amundi Institute, Amundi Asset Management and Amundi Institute
Downloads 736 (74,448)

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climate change, net zero emissions scenario, decarbonization, transition, greenness

63.

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 710 (77,907)
Citation 2

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

64.

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 672 (83,543)

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

65.

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 655 (86,356)
Citation 1

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Option hedging, stochastic volatility, hedging simulation

66.

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 643 (88,455)
Citation 7

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

67.

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 639 (89,168)
Citation 7

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

68.

The Economic Cost of the Carbon Tax

Number of pages: 30 Posted: 09 Apr 2024
Thierry Roncalli and Raphaël Semet
Amundi Asset Management and University of Paris-Saclay
Downloads 635 (89,920)
Citation 2

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Climate change, carbon pricing, decarbonization policy instrument, carbon tax, emissions trading scheme, net-zero emissions, negative externality, input-output analysis, social welfare

69.

Portfolio Alignment and Net Zero Investing

Number of pages: 24 Posted: 12 Jul 2024
Thierry Roncalli
Amundi Asset Management
Downloads 603 (96,012)

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Net zero investing, Climate finance, Transition risk, Portfolio alignment

70.

Revisiting the Dependence between Financial Markets with Copulas

Number of pages: 45 Posted: 26 Nov 2007 Last Revised: 03 Apr 2009
Arnaud Costinot, Arnaud Costinot, Thierry Roncalli and Jerome Teiletche
Massachusetts Institute of Technology (MIT) - Department of EconomicsUniversity of California, San Diego (UCSD) - Department of Economics, Amundi Asset Management and World Bank
Downloads 603 (96,012)
Citation 21

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

71.

An Introduction to Carbon Pricing: Carbon Tax, Cap & Trade, ETS and Internal Carbon Price

Number of pages: 65 Posted: 30 Sep 2024
Isabelle DAO, Thierry Roncalli and Raphaël Semet
Université Gustave Eiffel, Amundi Asset Management and University of Paris-Saclay
Downloads 559 (105,571)
Citation 1

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Climate change, carbon pricing, carbon tax, emissions trading scheme, shadow price

72.

The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio

Number of pages: 15 Posted: 08 Feb 2021
Théo Roncalli, Théo Le Guenedal, Frederic Lepetit, Thierry Roncalli and Takaya Sekine
University of Paris-Saclay, Amundi Technology, Amundi Institute, Amundi Asset Management and Amundi Institute
Downloads 547 (108,531)
Citation 10

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carbon, climate change, risk factor, carbon beta, carbon intensity, minimum variance portfolio

73.

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 542 (109,805)

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

74.

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 501 (120,916)
Citation 4

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

75.

Lecture Notes On Biodiversity

Number of pages: 266 Posted: 10 Mar 2025 Last Revised: 18 Mar 2025
Thierry Roncalli
Amundi Asset Management
Downloads 492 (123,583)

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76.

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 436 (142,818)
Citation 4

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

77.

Net Zero Investment Portfolios - Part 2. The Core-Satellite Approach

Number of pages: 69 Posted: 25 Oct 2023 Last Revised: 03 Nov 2023
Mohamed Ben Slimane, Dorianne Lucius, Thierry Roncalli and Jiali Xu
Amundi Institute, Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 416 (151,255)

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Net zero emissions, core-satellite strategy, decarbonization, transition, greenness, carbon intensity, green intensity, equity allocation, bond allocation, tracking error

78.

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 412 (152,520)
Citation 5

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

79.

Green vs. Social Bond Premium

Number of pages: 36 Posted: 21 May 2023
Mohamed Ben Slimane, Thierry Roncalli and Raphaël Semet
Amundi Institute, Amundi Asset Management and University of Paris-Saclay
Downloads 410 (153,365)
Citation 2

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Sustainability, green bond, social bond, ESG, climate risk, risk premium, greenium, preferences

80.

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 407 (154,702)
Citation 16

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

81.

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 403 (156,411)
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Operational risk, capital charge, threshold, conditional distribution, maximum likelihood

82.

Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks

Number of pages: 72 Posted: 05 Aug 2020
Edmond Lezmi, Jules Roche, Thierry Roncalli and Jiali Xu
Amundi Asset Management, affiliation not provided to SSRN, Amundi Asset Management and Amundi Asset Management
Downloads 347 (184,604)

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Machine learning, generative approach, discriminative approach, restricted Boltzmann machine, generative adversarial network, Wasserstein distance, market generator, quantitative asset management, backtesting, trading strategy

83.

Handbook of Financial Risk Management - Companion Book

Number of pages: 368 Posted: 27 Jul 2020
Thierry Roncalli
Amundi Asset Management
Downloads 345 (185,806)
Citation 6

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

84.

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 340 (188,787)
Citation 16

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

85.

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
Université Lyon 1 - Ecole Normale Supérieure (ENS) de Lyon, Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 329 (195,492)
Citation 5

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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

86.

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 327 (196,794)
Citation 13

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

87.

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 283 (229,490)
Citation 6

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

88.

A Course on Biodiversity

Number of pages: 535
Thierry Roncalli
Amundi Asset Management
Downloads 278

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Biodiversity, species, ecosystem, natural capital, pollination, food security, habitat degradation, invasive species, pollution, overexploitation, biodiversity measurement, Convention on Biodiversity, TNFD, mitigation hierarchy

89.

Liquidity Stress Testing in Asset Management - Part 1. Modeling the Liability Liquidity Risk

Number of pages: 110 Posted: 06 Jan 2021 Last Revised: 07 Jan 2021
Thierry Roncalli, Fatma Karray-Meziou, François Pan and Margaux Regnault
Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE)
Downloads 276 (235,439)
Citation 1

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liquidity, stress testing, liability, redemption rate, redemption frequency, redemption severity, zero-inflated beta model, copula

90.

Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk

Number of pages: 86 Posted: 25 May 2021
Thierry Roncalli, Amina Cherief, Fatma Karray-Meziou and Margaux Regnault
Amundi Asset Management, Amundi Institute, Amundi Asset Management and National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE)
Downloads 238 (273,211)

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Asset liquidity, stress testing, bid-ask spread, market impact, transaction cost, participation rate, power law, liquidation cost, liquidation ratio, liquidation shortfall, time to liquidation

91.

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 227 (286,121)
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

92.

A Note on Portfolio Optimization with Quadratic Transaction Costs

Number of pages: 18 Posted: 22 Sep 2020
Pierre Chen, Edmond Lezmi, Thierry Roncalli and Jiali Xu
National School for Statistical and Economic Administration (ENSAE), Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 226 (287,413)

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Portfolio allocation, mean-variance optimization, transaction cost, quadratic programming, alternating direction method of multipliers

93.

Liquidity Stress Testing in Asset Management - Part 4. A Step-by-step Practical Guide

Number of pages: 40 Posted: 15 Dec 2021
Thierry Roncalli and Amina Cherief
Amundi Asset Management and Amundi Institute
Downloads 220 (294,833)

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liquidity risk, stress testing, asset-liability management, redemption coverage ratio, reverse stress testing, transaction cost, reproducible research, knowledge transfer

94.

Liquidity Stress Testing in Asset Management - Part 3. Managing the Asset-Liability Liquidity Risk

Number of pages: 90 Posted: 18 Nov 2021
Thierry Roncalli
Amundi Asset Management
Downloads 184 (348,375)

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asset-liability management, liquidity risk, liquidity management tool (LMT), stress testing, redemption coverage ratio, liquidity buffer, swing pricing

95.

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 182 (351,860)
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

96.

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 137 (446,972)
Citation 2

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Copulas, intensity models, Moody's diversity score

97.

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 106 (544,676)

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Yield curve, Hull-White trinomial model, monetary policy

98.

Rethinking the Stock-Bond Correlation (keynote speech delivered at Europe EQD 2025 in Barcelona)

Number of pages: 13
Thierry Roncalli
Amundi Asset Management
Downloads 7

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stock-bond correlation, risk premium, local currency, strategic asset allocation, tactical asset allocation.

99.

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 Amundi Asset Management

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

100.

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

101.

The Smart Beta Indexing Puzzle

https://doi.org/10.3905/jii.2014.5.1.097
Posted: 22 May 2019
Zélia Cazalet, No Name and Thierry Roncalli
Lyxor Asset Management, affiliation not provided to SSRN 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

102.

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 World Bank

Abstract:

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

103.

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

104.

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

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

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1.

Green and Sustainable Finance, ESG Investing and Climate Risk (Presentation Slides)

Number of pages: 434 Posted: 08 Feb 2021
Thierry Roncalli
Amundi Asset Management
Downloads 1,022

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ESG, Climate, Carbon, SRI, Portfolio Management, Regulation, SDG, Green Bonds, Impact Investing