Ashkan Nikeghbali

affiliation not provided to SSRN

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SCHOLARLY PAPERS

8

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7,062

CITATIONS
Rank 9,315

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Top 9,315

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85

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 (1,583)
Citation 99

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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.

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 (24,877)
Citation 7

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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 502 (54,701)
Citation 53

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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 252 (120,438)
Citation 9

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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 244 (124,442)
Citation 9

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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 213 (142,196)
Citation 3

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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 135 (211,618)
Citation 5

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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

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 (648,213)
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Abstract:

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