Gaël Riboulet

Crédit Lyonnais - Groupe de Recherche Opérationnelle

12 Place des États-Unis

Paris, 92127

France

SCHOLARLY PAPERS

7

DOWNLOADS
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Top 4,976

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7,046

CITATIONS
Rank 8,698

SSRN RANKINGS

Top 8,698

in Total Papers Citations

52

Scholarly Papers (7)

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, Crédit Lyonnais - Groupe de Recherche Opérationnelle and Amundi Asset Management
Downloads 3,920 (1,423)
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

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, Crédit Lyonnais - Groupe de Recherche Opérationnelle and Amundi Asset Management
Downloads 917 (17,618)

Abstract:

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, Crédit Lyonnais - Groupe de Recherche Opérationnelle and Amundi Asset Management
Downloads 792 (22,081)
Citation 5

Abstract:

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, Crédit Lyonnais - Groupe de Recherche Opérationnelle and Amundi Asset Management
Downloads 251 (90,197)
Citation 3

Abstract:

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, Crédit Lyonnais - Groupe de Recherche Opérationnelle and Amundi Asset Management
Downloads 196 (117,088)

Abstract:

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

6.

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, Crédit Lyonnais - Groupe de Recherche Opérationnelle and Amundi Asset Management
Downloads 145 (157,909)

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

7.

Beyond Conditionnally Independent Defaults

Number of pages: 6 Posted: 26 Nov 2007
affiliation not provided to SSRN, Crédit Lyonnais - Groupe de Recherche Opérationnelle and Amundi Asset Management
Downloads 80 (240,875)

Abstract:

Copulas, intensity models, Moody's diversity score