Romain Deguest

Fundvisory

112 rue la Boetie

Paris, 75008

France

http://www.fundvisory.com/

SCHOLARLY PAPERS

6

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Top 3,405

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10,822

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Top 24,022

in Total Papers Citations

11

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Scholarly Papers (6)

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, FinScience and Fundvisory
Downloads 5,909 (1,090)

Abstract:

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

2.

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

Number of pages: 41 Posted: 18 Nov 2013
Romain Deguest, Lionel Martellini and Attilio Meucci
Fundvisory, EDHEC Business School and ARPM - Advanced Risk and Portfolio Management
Downloads 1,770 (8,668)

Abstract:

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

3.

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, Fundvisory and University of Verona - Department of Economics
Downloads 973 (22,048)

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risk measure, Value at Risk, statistical estimation, robustness

4.

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, Fundvisory and Bloomberg Tradebook
Downloads 805 (28,922)

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

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 Fundvisory
Downloads 752 (31,319)

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

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

Mathematical Finance, Vol. 23, Issue 3, pp. 496-530, 2013
Number of pages: 35 Posted: 09 Jun 2013
Rama Cont and Romain Deguest
University of Oxford and Fundvisory
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correlation matrix, basket options, model calibration, inverse problems, Monte Carlo simulations, model uncertainty, Bayesian model averaging, convex duality

6.

Loss-Based Risk Measures

Number of pages: 29 Posted: 08 Oct 2011
Rama Cont, Romain Deguest and Xue Dong He
University of Oxford, Fundvisory and The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management
Downloads 613 (41,799)

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