Michel M. Dacorogna

PRS Solutions

Raingässli 1

Zug, Zug 6300

Switzerland

SCHOLARLY PAPERS

46

DOWNLOADS
Rank 5,820

SSRN RANKINGS

Top 5,820

in Total Papers Downloads

13,667

SSRN CITATIONS
Rank 16,871

SSRN RANKINGS

Top 16,871

in Total Papers Citations

21

CROSSREF CITATIONS

63

Scholarly Papers (46)

1.

Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates

Olsen and Associates Working Paper No. 319
Number of pages: 62 Posted: 30 Mar 1999
Simon Fraser University, PRS Solutions, Pictet & Cie, Banquiers, Lykke CorpOlsen & Associates and Pictet Asset Management
Downloads 1,989 (15,459)
Citation 9

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Modelling Short-Term Volatility with GARCH and Harch Models

Number of pages: 17 Posted: 25 Jun 1997
PRS Solutions, Olsen & Associates, Pictet Asset Management and Lykke CorpOlsen & Associates
Downloads 1,898 (16,370)
Citation 22

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Modelling Short-Term Volatility with GARCH and Harch Models

"Nonlinear Modelling of High Frequency Financial Time Series" edited by Christian Dunis and Bin Zhou, published by Wiley & Sons, Ltd.
Posted: 21 Oct 1997
PRS Solutions, Olsen & Associates, Pictet Asset Management and Lykke CorpOlsen & Associates

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3.

Consistent High-Precision Volatility from High-Frequency Data

Number of pages: 19 Posted: 23 Feb 2001
University of Pisa - Department of Economics, Edgelab, Olsen & Associates and PRS Solutions
Downloads 1,367 (27,526)
Citation 6

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Volatility estimator, high frequency realized volatility, incoherent prices formation, return autocorrelation, volatility bias

4.

Heavy Tails in High-Frequency Financial Data

Number of pages: 23 Posted: 22 Jan 1997
Michel M. Dacorogna and Olivier V. Pictet
PRS Solutions and Pictet Asset Management
Downloads 1,231 (32,106)
Citation 13

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Multivariate Extremes, Aggregation and Risk Estimation

Number of pages: 35 Posted: 27 Dec 2000
RWE Trading UK Ltd, PRS Solutions, Zurcher Kantonalbank, Olsen & Associates and Cornell University
Downloads 776 (60,326)
Citation 6

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Multivariate Extremes, Aggregation and Risk Estimation

Posted: 28 Sep 2001
Olsen & Associates, RWE Trading UK Ltd, PRS Solutions, Zurcher Kantonalbank and Cornell University

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6.

Effective Return, Risk Aversion and Drawdowns

Olsen & Associates Working Paper No. 321
Number of pages: 24 Posted: 20 Jul 1999
PRS Solutions, Simon Fraser University, Olsen & Associates and Pictet Asset Management
Downloads 662 (75,204)
Citation 1

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7.

Introducing a Scale of Market Shocks

Olsen & Associates Working Paper No. 322
Number of pages: 25 Posted: 03 May 1999
Edgelab, PRS Solutions, Olsen & Associates and Lykke CorpOlsen & Associates
Downloads 549 (95,116)
Citation 2

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8.

Risk Aggregation, Dependence Structure and Diversification Benefit

Stress Testing for Financial Institutions
Number of pages: 35 Posted: 06 Sep 2009
Roland Bürgi, Michel M. Dacorogna and Roger Iles
Systemorph, PRS Solutions and affiliation not provided to SSRN
Downloads 456 (119,049)
Citation 9

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Risk-Based Capital, Hierarchical Copula, Dependence, Calibration

9.

Living in a Stochastic World and Managing Complex Risks

Number of pages: 14 Posted: 02 Oct 2015 Last Revised: 13 May 2016
Michel M. Dacorogna and Marie Kratz
PRS Solutions and ESSEC Business School, CREAR risk research center
Downloads 447 (121,934)
Citation 6

Abstract:

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extreme risk, risk management

10.

The Intraday Multivariate Structure of the Eurofutures Markets

GBA.1997-11-25
Number of pages: 29 Posted: 03 Aug 1998
Pictet & Cie, Banquiers, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA), PRS Solutions, Olsen & Associates and Lykke CorpOlsen & Associates
Downloads 444 (122,897)
Citation 1

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11.

Intraday Statistical Properties of Eurofutures

Olsen & Associates Working Paper No. 320
Number of pages: 51 Posted: 30 Mar 1999
Simon Fraser University, Pictet & Cie, Banquiers, PRS Solutions and Olsen & Associates
Downloads 437 (125,218)

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12.
Downloads 412 (134,052)
Citation 2

A Change of Paradigm for the Insurance Industry

Number of pages: 15 Posted: 19 Nov 2015
Michel M. Dacorogna
PRS Solutions
Downloads 282 (200,792)

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Risk Adjusted Capital; Risk Management; Solvency Regulation; Management; Internal Models

A Change of Paradigm for the Insurance Industry

SCOR Papers, No. 34 (2015)
Number of pages: 15 Posted: 11 Feb 2016
Michel M. Dacorogna
PRS Solutions
Downloads 130 (405,680)
Citation 2

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Solvency Regulation, Risk Adjusted Capital, Risk Management

13.

Approaches and Techniques to Validate Internal Model Results

Number of pages: 19 Posted: 10 Jun 2017
Michel M. Dacorogna
PRS Solutions
Downloads 395 (140,674)
Citation 2

Abstract:

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Risk Models, validation, stress tests, statistical tests, solvency

14.

A Closer Look at the Eurofutures Market: Intraday Statistical Analysis

Number of pages: 21 Posted: 03 Aug 1998
Olsen & Associates, Pictet & Cie, Banquiers, PRS Solutions and Simon Fraser University
Downloads 363 (154,547)
Citation 4

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15.

From Default Probabilities to Credit Spreads: Credit Risk Models Do Explain Market Prices

Finance Research Letters, Vol. 3, No. 2, June 2006, Pages 79–95
Number of pages: 18 Posted: 07 Aug 2013
Swiss Coordination Centre for Research in Education, PRS Solutions, Olsen & Associates and ETH Zürich - Department of Mathematics
Downloads 286 (199,132)

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credit risk modeling, default risk, credit spread, expected default frequency,actual default probability and risk-neutral default probability, bond pricing

16.

Exploring the Dependence between Mortality and Market Risks

Number of pages: 32 Posted: 11 Feb 2016 Last Revised: 12 Feb 2016
Michel M. Dacorogna and Meitner Cadena
PRS Solutions and ESSEC Business School
Downloads 249 (228,852)
Citation 9

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Dependence, Tail Dependence, Mortality Risk, Market Risk, Bootstrap

17.

The Price of Being a Systemically Important Financial Institution (SIFI)

Number of pages: 5 Posted: 01 Jul 2016 Last Revised: 16 Dec 2016
Michel M. Dacorogna and Marc Busse
PRS Solutions and Munich Re
Downloads 182 (306,171)
Citation 1

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Systemic Risk, Risk Measures, Too big to fail, Value-at-Risk, Tail Value-at-Risk

18.

Taking the One-Year Change from Another Angle

Number of pages: 35 Posted: 25 Jun 2016
Michel M. Dacorogna, Alessandro Ferriero and David Krief
PRS Solutions, SCOR Global P&C SE Reinsurance (Zurich Branch) and Université Paris VII Denis Diderot - Laboratoire de Probabilités et Modèles Aléatoires (LPMA)
Downloads 154 (353,663)
Citation 2

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one-year risk, stochastic process, chain ladder, Solvency II, Solvency Capital Requirement

19.

Using Interest Rate Models to Improve Mortality Forecast

Number of pages: 34 Posted: 16 Nov 2017
University of Udine, PRS Solutions, University of Naples Federico II - Department of Economic and Statistical Sciences and Università degli Studi di Salerno
Downloads 143 (375,431)
Citation 2

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CBD Model, Cox-Ingersoll-Ross Process, Ex-Post Forecasting Performance, Stochastic Mortality Models

20.

Does Risk Diversification Always Work? The Answer Through Simple Modelling

Number of pages: 20 Posted: 21 Jun 2013
Marc Busse, Michel M. Dacorogna and Marie Kratz
Munich Re, PRS Solutions and ESSEC Business School, CREAR risk research center
Downloads 127 (411,756)
Citation 3

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Diversification, Insurance Risk

21.

The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio

ESSEC Business School Working Paper 1321
Number of pages: 19 Posted: 07 Dec 2013 Last Revised: 13 Jul 2017
Marc Busse, Michel M. Dacorogna and Marie Kratz
Munich Re, PRS Solutions and ESSEC Business School, CREAR risk research center
Downloads 119 (432,328)

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Diversification, Expected Shortfall, Investment Risk, Premium, Risk Loading, Risk Management, Risk Measure, Risk Portfolio, Stochastic Model, Systemic Risk, Value-at-Risk

22.

A General Framework for Modelling Mortality to Better Estimate Its Relationship with Interest Rate Risks

SCOR Paper no39 - Dynamics of Interest Rates and Mortality Indices
Number of pages: 18 Posted: 22 Dec 2016
Michel M. Dacorogna and Giovanna Apicella
PRS Solutions and University of Udine
Downloads 118 (435,116)
Citation 3

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Mortality Model, Interest Rate Model, Dependence

23.

Explicit Diversification Benefit for Dependent Risks

ESSEC Working Paper 1522
Number of pages: 24 Posted: 15 Jan 2016 Last Revised: 13 Jul 2017
Michel M. Dacorogna, Laila Elbahtouri and Marie Kratz
PRS Solutions, SCOR and ESSEC Business School, CREAR risk research center
Downloads 118 (435,116)
Citation 5

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Aggregation of risks, Archimedean copula, Clayton, Diversification (benefit), Gaussian, Gumbel, Heavy tail, Mixing technique, Pareto, Risk measure, TVaR, VaR, Weibull

24.

Risk Neutral versus Real-World Distribution on Publicly Listed Bank Corporations

ESSEC Working Paper 1614, July 2016
Number of pages: 86 Posted: 29 Sep 2016 Last Revised: 13 Jul 2017
Michel M. Dacorogna, Juan-José Francisco Miguelez and Marie Kratz
PRS Solutions, ESSEC Business School, Department of Management, Students and ESSEC Business School, CREAR risk research center
Downloads 116 (440,651)

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extremes, fat tail, option pricing, real world probability, risk neutral probability, SIFI, value-­at-­risk

25.

Managing Cyber Risk, a Science in the Making

ESSEC Business School Research Paper No. 2024-01
Number of pages: 30 Posted: 15 Feb 2023
Michel M. Dacorogna and Marie Kratz
PRS Solutions and ESSEC Business School, CREAR risk research center
Downloads 99 (493,586)

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Cyber risk; Cyber security; Cyber resilience; Insurance; Modelling; Risk management

26.

Explicit Diversification Beneift for Dependent Risks

SCOR papers, No. 38, 2016
Number of pages: 27 Posted: 18 Apr 2016
Michel M. Dacorogna, Laila Elbahtouri and Marie Kratz
PRS Solutions, SCOR and ESSEC Business School, CREAR risk research center
Downloads 89 (528,471)
Citation 2

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Aggregation of risks, Archimedean copula, Clayton, Diversification (benefit), Gaussian, Gumbel, Heavy tail, Mixing technique, Pareto, Risk measure, TVaR, VaR, Weibull

27.

Risk Measure Estimates in Quiet and Turbulent Times: An Empirical Study

ESSEC WORKING PAPER 1618
Number of pages: 26 Posted: 13 Jan 2017 Last Revised: 13 Jul 2017
Rosnan Chotard, Michel M. Dacorogna and Marie Kratz
ESSEC Business School, PRS Solutions and ESSEC Business School, CREAR risk research center
Downloads 88 (532,208)

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backtest, risk measure, sample quantile process, stochastic model, VaR, volatility

28.

Building up Cyber Resilience by Better Grasping Cyber Risk Via a New Algorithm for Modelling Heavy-Tailed Data

ESSEC Business School Research Paper No. 2210
Number of pages: 46 Posted: 23 Jan 2023 Last Revised: 07 May 2023
Michel M. Dacorogna, Nehla Debbabi and Marie Kratz
PRS Solutions, ESPRIT School of Engineering and ESSEC Business School, CREAR risk research center
Downloads 84 (547,546)

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Risk analysis; Cyber risk; Systemic risk; Extreme Value Theory; Statistical analysis; Probabilistic modelling; Risk management; Insurance

29.

On the Diversification Benefit of Reinsurance Portfolios

SCOR Paper no 40 - Diversification Benefit
Number of pages: 33 Posted: 31 Oct 2017
Jeta Limani, Jeta Limani, Régis Béttinger and Michel M. Dacorogna
SCORSwiss Financial Market Supervisory Authority (FINMA), SCOR and PRS Solutions
Downloads 84 (547,546)

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Diversification benefit, risk measures, portfolio, excess-of-loss treaties

30.

Predicting Risk with Risk Measures: An Empirical Study

ESSEC Working Paper 1803, February 2018
Number of pages: 47 Posted: 25 May 2018 Last Revised: 19 Jan 2021
Marcel Bräutigam, Michel M. Dacorogna and Marie Kratz
ESSEC Business School, PRS Solutions and ESSEC Business School, CREAR risk research center
Downloads 83 (551,584)

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risk measure, sample quantile process, stochastic model, VaR, volatility

31.

Equalization Reserves for Natural Catastrophes and Shareholder Value: A Simulation Study

European Actuarial Journal, Vol. 3 (1) , page 1-21, 2012
Number of pages: 23 Posted: 01 Aug 2013
PRS Solutions, University of Lausanne, SCOR and SCOR
Downloads 70 (607,693)

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reserves, shareholder value, risk adjusted performance

32.

Allocating Capital to Time: Introducing Credit Migration for Measuring Time-Related Risks

Number of pages: 31 Posted: 18 Feb 2024 Last Revised: 16 May 2024
Hansjoerg Albrecher and Michel M. Dacorogna
University of Lausanne and PRS Solutions
Downloads 32 (845,540)

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Insurance, solvency capital requirement, credit risk, bankruptcy, regulation

33.

The Risk-Free Rate: An Inescapable Concept?

Posted: 10 Feb 2016
Michel M. Dacorogna and Jérôme Coulon
PRS Solutions and Zurich Insurance Company Ltd

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valuation, risk-free-rate, discounting, risk neutral

34.

Long Term Memories of Developed and Emerging Markets: Using the Scaling Analysis to Characterize Their Stage of Development

Journal of Banking and Finance Volume 29, Issue 4 , April 2005, Pages 827-851
Posted: 21 Jun 2013
Tiziana Di Matteo, Tomaso Aste and Michel M. Dacorogna
King’s College London, Australian National University and PRS Solutions

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Scaling exponents, Time series analysis, Multi-fractals

35.

Volatilities of Different Time Resolutions: Analyzing the Dynamics of Market Components

Posted: 20 Dec 1999
Olsen & Associates, PRS Solutions, Olsen Financial Technologies, Lykke CorpOlsen & Associates, Pictet Asset Management and World Bank

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36.

Heterogeneous Real-Time Trading Strategies in the Foreign Exchange Markets

Posted: 02 Sep 1999
PRS Solutions, Olsen & Associates, Olsen Group (Olsen & Associates Ltd.), Pictet Asset Management, Lykke CorpOlsen & Associates and Olsen Group (Olsen & Associates Ltd.)

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37.

Fractals and Intrinsic Time - a Challenge to Econometricians

Posted: 02 Sep 1999
Olsen & Associates, PRS Solutions, Olsen Financial Technologies, Pictet Asset Management, Lykke CorpOlsen & Associates and Olsen Group (Olsen & Associates Ltd.)

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38.

A Measure of the Trading Model Performance with a Risk Component

Posted: 25 Dec 1998
Michel M. Dacorogna, Ulrich A. Müller and Olivier V. Pictet
PRS Solutions, Olsen & Associates and Pictet Asset Management

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39.

From the Bird's Eye to the Microscope: A Survey of New Stylized Facts of the Intra-Daily Foreign Exchange Markets

Posted: 20 Dec 1998
Catholic University of Leuven, PRS Solutions, Olsen Financial Technologies, Olsen & Associates, Lykke CorpOlsen & Associates and Pictet Asset Management

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40.

Going Back to the Basics - Rethinking Market Efficiency

Posted: 20 Dec 1998
Lykke CorpOlsen & Associates, PRS Solutions, Olsen & Associates and Pictet Asset Management

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41.

The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets

Posted: 10 Oct 1998
PRS Solutions, Olsen & Associates, Pictet Asset Management and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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42.

Using Genetic Algorithms for Robust Optimization in Financial Applications

Posted: 25 Aug 1998
Pictet Asset Management, PRS Solutions, University of Geneva, University of Geneva, Olsen Group (Olsen & Associates Ltd.) and University of Lausanne

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43.

On the Intra-Daily Performance of GARCH Processes

Posted: 23 Aug 1998
Dominique M. Guillaume, Olivier V. Pictet and Michel M. Dacorogna
Catholic University of Leuven, Pictet Asset Management and PRS Solutions

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44.

Unveiling Non-Linearities Through Time Scale Transformations

Posted: 23 Aug 1998
Catholic University of Leuven, Pictet Asset Management, Olsen & Associates and PRS Solutions

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45.

Correlation of High Frequency Financial Time Series

The Financial Markets Tick by Tick, Pierre Lequeux, ed.
Posted: 25 Apr 1998
Mark C. Lundin, Michel M. Dacorogna and Ulrich A. Müller
BNP Paribas - Research & Strategy, PRS Solutions and Olsen & Associates

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46.

Hill, Bootstrap and Jackknife Estimators for Heavy Tails

Posted: 21 Jan 1997
Olivier V. Pictet, Michel M. Dacorogna and Ulrich A. Müller
Pictet Asset Management, PRS Solutions and Olsen & Associates

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