Gaël Riboulet

Natixis

Global Head Financial Engineering - Equity Derivatives

47 Quai d'Austerlitz

Paris, France 75014

France

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 5,306

SSRN RANKINGS

Top 5,306

in Total Papers Downloads

7,840

CITATIONS
Rank 13,176

SSRN RANKINGS

Top 13,176

in Total Papers Citations

56

Scholarly Papers (8)

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 4,810 (1,585)
Citation 99

Abstract:

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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.

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
affiliation not provided to SSRN, Natixis and Amundi Asset Management
Downloads 1,083 (19,094)

Abstract:

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

3.

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 905 (24,886)
Citation 7

Abstract:

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Copulas, market risk, credit risk, operational risk

4.

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 (100,113)
Citation 10

Abstract:

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

5.

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 248 (122,432)
Citation 1

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

6.

Matching Market Views and Strategies: A New Risk Framework for Optimal Selection

Number of pages: 18 Posted: 25 Feb 2018
Adil Reghai and Gaël Riboulet
Natixis and Natixis
Downloads 227 (133,779)

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over fitting, quantitative investing, classification, Markowitz, Risk Framework

7.

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 (175,707)
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

8.

Beyond Conditionnally Independent Defaults

Number of pages: 6 Posted: 26 Nov 2007
affiliation not provided to SSRN, Natixis and Amundi Asset Management
Downloads 98 (267,110)
Citation 2

Abstract:

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Copulas, intensity models, Moody's diversity score