Romain Deguest

World Bank

1818 H Street, NW

Washington, DC 20433

United States

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 6,350

SSRN RANKINGS

Top 6,350

in Total Papers Downloads

12,720

SSRN CITATIONS
Rank 14,245

SSRN RANKINGS

Top 14,245

in Total Papers Citations

79

CROSSREF CITATIONS

25

Scholarly Papers (9)

1.

Risk Budgeting and Diversification Based on Optimized Uncorrelated Factors

Number of pages: 18 Posted: 11 Aug 2013 Last Revised: 11 Nov 2015
Attilio Meucci, Alberto Santangelo and Romain Deguest
ARPM - Advanced Risk and Portfolio Management, affiliation not provided to SSRN and World Bank
Downloads 8,426 (1,433)
Citation 46

Abstract:

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Effective Number of Bets, PCA, Diversification Distribution, Marginal Risk Contributions, Procrustes Problem

2.

Robustness and Sensitivity Analysis of Risk Measurement Procedures

Columbia University Center for Financial Engineering, Financial Engineering Report No. 2007-06
Number of pages: 33 Posted: 24 Jan 2008 Last Revised: 19 Apr 2010
Rama Cont, Romain Deguest and Giacomo Scandolo
University of Oxford, World Bank and University of Verona - Department of Economics
Downloads 1,091 (38,125)
Citation 59

Abstract:

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risk measure, Value at Risk, statistical estimation, robustness

3.

Default Intensities implied by CDO Spreads: Inversion Formula and Model Calibration

Number of pages: 39 Posted: 13 Aug 2009 Last Revised: 14 Nov 2012
Rama Cont, Romain Deguest and Yu Hang (Gabriel) Kan
University of Oxford, World Bank and Bloomberg Tradebook
Downloads 883 (51,337)
Citation 7

Abstract:

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Portfolio credit derivatives, collateralized debt obligation, inverse problem, local intensity, default intensity, expected tranche notionals, calibration, CDO tranche

4.

Equity Correlations Implied by Index Options: Estimation and Model Uncertainty Analysis

Number of pages: 35 Posted: 19 Apr 2010
Rama Cont and Romain Deguest
University of Oxford and World Bank
Downloads 873 (52,128)
Citation 2

Abstract:

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Correlation matrix, basket options, model calibration, inverse problems, Monte Carlo simulations, model uncertainty, Bayesian model averaging, convex duality

5.

Loss-Based Risk Measures

Number of pages: 29 Posted: 08 Oct 2011
Rama Cont, Romain Deguest and Xue Dong He
University of Oxford, World Bank and The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management
Downloads 690 (71,254)
Citation 8

Abstract:

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risk measures, robustness, loss-based risk measures, quantile estimation

6.

Predictive Regressions: A Machine Learning Perspective

Number of pages: 46 Posted: 10 Nov 2020 Last Revised: 11 Nov 2020
Guillaume Coqueret and Romain Deguest
EMLYON Business School and World Bank
Downloads 446 (122,161)
Citation 2

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Asset Pricing, Predictive Regression, Machine Learning, Estimator Efficiency

7.

Blockchain Adoption and Optimal Reinsurance Design

Number of pages: 37 Posted: 01 Sep 2021 Last Revised: 02 Feb 2023
University of Florida, World Bank, SKEMA Business School - Univ Cote d'Azur and Cornell University
Downloads 233 (243,912)

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Blockchain, Nash Equilibrium, Insurance-Reinsurance, Technology Adoption, FinTech

8.

Biodiversity and Climate: Friends or Foes?

Number of pages: 66 Posted: 15 Apr 2024
World Bank, World Bank, EDHEC Business School and World Bank
Downloads 78 (571,711)

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Biodiversity Risk, Climate Risk, Portfolio Optimization, Sustainability Trade-Offs, Sovereign Bonds.

9.

Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions

Posted: 18 Nov 2013
Romain Deguest, Lionel Martellini and Attilio Meucci
World Bank, EDHEC Business School and ARPM - Advanced Risk and Portfolio Management

Abstract:

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portfolio choice, risk parity, diversification, concentration, principal component analysis