Ashkan Nikeghbali

affiliation not provided to SSRN

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SCHOLARLY PAPERS

8

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CITATIONS
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83

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, 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.

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

3.

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 (53,331)
Citation 22

Abstract:

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

4.

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 (106,941)
Citation 3

Abstract:

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

5.

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 (120,418)
Citation 4

Abstract:

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

6.

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 (134,629)
Citation 1

Abstract:

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

7.

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 (186,380)
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

8.

Hazard Processes and Martingale Hazard Processes

Mathematical Finance, Vol. 22, Issue 3, pp. 519-537, 2012
Number of pages: 19 Posted: 08 Jun 2012
Delia Coculescu and Ashkan Nikeghbali
University of Zurich - Department of Banking and Finance and affiliation not provided to SSRN
Downloads 1 (554,881)
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Abstract:

default modeling, credit risk models, random times, enlargements of filtrations, hazard process, immersed filtrations, pseudo‐stopping times, honest times