Romain Deguest

IESEG School of Management

3 rue de la Digue

Lille, 59000

France

SCHOLARLY PAPERS

7

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12,060

SSRN CITATIONS
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Top 12,669

in Total Papers Citations

52

CROSSREF CITATIONS

39

Scholarly Papers (7)

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 IESEG School of Management
Downloads 6,652 (1,134)
Citation 29

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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
IESEG School of Management, EDHEC Business School and ARPM - Advanced Risk and Portfolio Management
Downloads 1,980 (9,039)
Citation 16

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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, IESEG School of Management and University of Verona - Department of Economics
Downloads 999 (25,941)
Citation 37

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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, IESEG School of Management and Bloomberg Tradebook
Downloads 813 (34,696)
Citation 6

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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 IESEG School of Management
Downloads 763 (37,254)
Citation 2

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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 IESEG School of Management
Downloads 0
Citation 2
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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, IESEG School of Management and The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management
Downloads 619 (50,103)
Citation 4

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

7.

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 IESEG School of Management
Downloads 234 (152,617)

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Asset Pricing, Predictive Regression, Machine Learning, Estimator Efficiency