Michel M. Dacorogna

DEAR-Consulting

CEO

Scheuchzerstrasse 160

Zurich, 8057

Switzerland

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SCHOLARLY PAPERS

43

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6

CROSSREF CITATIONS

66

Scholarly Papers (43)

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1.

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

Downloads 1,875 ( 8,296)
Citation 9

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
Ramazan Gencay, Michel M. Dacorogna, Giuseppe Ballocchi, Richard B. Olsen and Olivier V. Pictet
Simon Fraser University, DEAR-Consulting, Pictet & Cie, Banquiers, Lykke Corp and Pictet Asset Management
Downloads 1,836 (8,440)
Citation 7

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

International Economic Review, Vol. 43, No. 2, pp. 463-492, 2002
Number of pages: 30 Posted: 07 Feb 2003
Ramazan Gencay, Giuseppe Ballocchi, Michel M. Dacorogna, Richard B. Olsen and Olivier V. Pictet
Simon Fraser University, Pictet & Cie, Banquiers, DEAR-Consulting, Lykke Corp and Pictet Asset Management
Downloads 39 (447,420)
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2.

Modelling Short-Term Volatility with GARCH and Harch Models

Downloads 1,495 ( 11,990)

Modelling Short-Term Volatility with GARCH and Harch Models

Number of pages: 17 Posted: 25 Jun 1997
Michel M. Dacorogna, Ulrich A. Müller, Olivier V. Pictet and Richard B. Olsen
DEAR-Consulting, Olsen & Associates, Pictet Asset Management and Lykke Corp
Downloads 1,495 (11,762)
Citation 14

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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
Michel M. Dacorogna, Ulrich A. Müller, Olivier V. Pictet and Richard B. Olsen
DEAR-Consulting, Olsen & Associates, Pictet Asset Management and Lykke Corp

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3.

Consistent High-Precision Volatility from High-Frequency Data

EFMA 2001 Lugano Meetings; FCO Working Paper No. 2000-09-25
Number of pages: 19 Posted: 23 Feb 2001
Fulvio Corsi, Gilles O. Zumbach, Ulrich A. Müller and Michel M. Dacorogna
University of Pisa - Department of Economics, University of Applied Sciences Western Switzerland - Geneva School of Business Administration, Olsen & Associates and DEAR-Consulting
Downloads 1,199 (16,920)
Citation 3

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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
DEAR-Consulting and Pictet Asset Management
Downloads 1,115 (18,883)
Citation 5

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5.

Multivariate Extremes, Aggregation and Risk Estimation

Downloads 739 ( 33,978)
Citation 5

Multivariate Extremes, Aggregation and Risk Estimation

Number of pages: 35 Posted: 27 Dec 2000
Hoskuldur Ari Hauksson, Michel M. Dacorogna, Thomas Domenig, Ulrich A. Müller and Gennady Samorodnitsky
RWE Trading UK Ltd, DEAR-Consulting, Zurcher Kantonalbank, Olsen & Associates and Cornell University
Downloads 739 (33,460)
Citation 5

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Multivariate Extremes, Aggregation and Risk Estimation

Quantitative Finance, Vol. 1, January 2001
Posted: 28 Sep 2001
Ulrich A. Müller, Hoskuldur Ari Hauksson, Michel M. Dacorogna, Thomas Domenig and Gennady Samorodnitsky
Olsen & Associates, RWE Trading UK Ltd, DEAR-Consulting, 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
Michel M. Dacorogna, Ramazan Gencay, Ulrich A. Müller and Olivier V. Pictet
DEAR-Consulting, Simon Fraser University, Olsen & Associates and Pictet Asset Management
Downloads 616 (43,441)

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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
Gilles O. Zumbach, Michel M. Dacorogna, Jorgen L. Olsen and Richard B. Olsen
University of Applied Sciences Western Switzerland - Geneva School of Business Administration, DEAR-Consulting, Olsen & Associates and Lykke Corp
Downloads 464 (62,313)
Citation 3

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8.

The Intraday Multivariate Structure of the Eurofutures Markets

GBA.1997-11-25
Number of pages: 29 Posted: 03 Aug 1998
Giuseppe Ballocchi, Carl M. Hopman, Michel M. Dacorogna, Ulrich A. Müller and Richard B. Olsen
Pictet & Cie, Banquiers, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA), DEAR-Consulting, Olsen & Associates and Lykke Corp
Downloads 396 (75,361)

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9.

Intraday Statistical Properties of Eurofutures

Olsen & Associates Working Paper No. 320
Number of pages: 51 Posted: 30 Mar 1999
Ramazan Gencay, Giuseppe Ballocchi, Michel M. Dacorogna and Barbara Piccinato
Simon Fraser University, Pictet & Cie, Banquiers, DEAR-Consulting and Olsen & Associates
Downloads 390 (76,720)

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10.

A Closer Look at the Eurofutures Market: Intraday Statistical Analysis

Number of pages: 21 Posted: 03 Aug 1998
Barbara Piccinato, Giuseppe Ballocchi, Michel M. Dacorogna and Ramazan Gencay
Olsen & Associates, Pictet & Cie, Banquiers, DEAR-Consulting and Simon Fraser University
Downloads 344 (88,709)
Citation 3

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11.

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, DEAR-Consulting and affiliation not provided to SSRN
Downloads 331 (92,529)
Citation 9

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Risk-Based Capital, Hierarchical Copula, Dependence, Calibration

12.

A Change of Paradigm for the Insurance Industry

Downloads 326 ( 94,126)
Citation 1

A Change of Paradigm for the Insurance Industry

Number of pages: 15 Posted: 19 Nov 2015
Michel M. Dacorogna
DEAR-Consulting
Downloads 222 (140,236)

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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
DEAR-Consulting
Downloads 104 (265,402)
Citation 2

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Solvency Regulation, Risk Adjusted Capital, Risk Management

13.

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
DEAR-Consulting and ESSEC Business School, CREAR
Downloads 326 (94,126)
Citation 4

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extreme risk, risk management

14.

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
Stefan Denzler, Michel M. Dacorogna, Ulrich A. Müller and Alexander McNeil
Swiss Coordination Centre for Research in Education, DEAR-Consulting, Olsen & Associates and ETH Zürich - Department of Mathematics
Downloads 190 (162,791)

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

15.

Approaches and Techniques to Validate Internal Model Results

Number of pages: 19 Posted: 10 Jun 2017
Michel M. Dacorogna
DEAR-Consulting
Downloads 177 (173,503)

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

16.

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

Downloads 138 (213,823)

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
DEAR-Consulting and Munich Re
Downloads 138 (214,388)
Citation 1

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

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

International Review of Finance, Vol. 17, Issue 4, pp. 611-616, 2017
Number of pages: 6 Posted: 07 Dec 2017
Michel M. Dacorogna and Marc Busse
DEAR-Consulting and Munich Re
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17.

Taking the One-Year Change from Another Angle

Number of pages: 35 Posted: 25 Jun 2016
Michel M. Dacorogna, Alessandro Ferriero and David Krief
DEAR-Consulting, SCOR Global P&C SE Reinsurance (Zurich Branch) and Université Paris VII Denis Diderot - Laboratoire de Probabilités et Modèles Aléatoires (LPMA)
Downloads 110 (253,723)
Citation 2

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

18.

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, DEAR-Consulting and ESSEC Business School - Information & Decision Sciences Department
Downloads 91 (288,054)

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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

19.

Using Interest Rate Models to Improve Mortality Forecast

Number of pages: 34 Posted: 16 Nov 2017
Giovanna Apicella, Michel M. Dacorogna, Emilia Di Lorenzo and Marilena Sibillo
University of Rome I, DEAR-Consulting, University of Naples Federico II - Faculty of Economics and Università degli Studi di Salerno
Downloads 80 (311,825)
Citation 2

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

20.

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
DEAR-Consulting, SCOR and ESSEC Business School - Information & Decision Sciences Department
Downloads 77 (318,925)
Citation 3

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

21.

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
DEAR-Consulting and University of Rome I
Downloads 69 (339,208)
Citation 1

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Mortality Model, Interest Rate Model, Dependence

22.

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, DEAR-Consulting and ESSEC Business School, CREAR
Downloads 68 (341,836)
Citation 3

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Diversification, Insurance Risk

23.

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
DEAR-Consulting, ESSEC Business School, Department of Management, Students and ESSEC Business School - Information & Decision Sciences Department
Downloads 51 (393,435)

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

24.

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, DEAR-Consulting and ESSEC Business School - Information & Decision Sciences Department
Downloads 49 (400,244)

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

25.

Predicting Risk with Risk Measures: An Empirical Study

ESSEC Working Paper 1803, February 2018
Number of pages: 47 Posted: 25 May 2018 Last Revised: 05 Jun 2018
Marcel Bräutigam, Michel M. Dacorogna and Marie Kratz
ESSEC Business School, DEAR-Consulting and ESSEC Business School - Information & Decision Sciences Department
Downloads 45 (414,545)

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

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
DEAR-Consulting, SCOR and ESSEC Business School, CREAR
Downloads 45 (414,545)
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.

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
DEAR-Consulting and ESSEC Business School
Downloads 39 (437,920)
Citation 7

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

28.

On the Diversification Benefit of Reinsurance Portfolios

SCOR Paper no 40 - Diversification Benefit
Number of pages: 33 Posted: 31 Oct 2017
Jeta Limani, Régis Béttinger and Michel M. Dacorogna
SCOR, SCOR and DEAR-Consulting
Downloads 34 (459,030)

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

29.

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
Michel M. Dacorogna, Hansjoerg Albrecher, Michael Moller and Suzane Sahiti
DEAR-Consulting, University of Lausanne, SCOR and SCOR
Downloads 30 (477,748)

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reserves, shareholder value, risk adjusted performance

30.

The Risk-Free Rate: An Inescapable Concept?

Posted: 10 Feb 2016
Michel M. Dacorogna and Jérôme Coulon
DEAR-Consulting and Zurich Insurance Company Ltd

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

31.

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
Australian National University (ANU) - Department of Applied Mathematics, Australian National University and DEAR-Consulting

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Scaling exponents, Time series analysis, Multi-fractals

32.

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

Posted: 20 Dec 1999
Ulrich A. Müller, Michel M. Dacorogna, Rakhal Dave, Richard B. Olsen, Olivier V. Pictet and Jakob von Weizsäcker
Olsen & Associates, DEAR-Consulting, Olsen Financial Technologies, Lykke Corp, Pictet Asset Management and World Bank

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33.

Heterogeneous Real-Time Trading Strategies in the Foreign Exchange Markets

Posted: 02 Sep 1999
Michel M. Dacorogna, Ulrich A. Müller, Christian Jost, Olivier V. Pictet, Richard B. Olsen and J. Robert Ward
DEAR-Consulting, Olsen & Associates, Olsen Group (Olsen & Associates Ltd.), Pictet Asset Management, Lykke Corp and Olsen Group (Olsen & Associates Ltd.)

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34.

Fractals and Intrinsic Time - a Challenge to Econometricians

Posted: 02 Sep 1999
Ulrich A. Müller, Michel M. Dacorogna, Rakhal Dave, Olivier V. Pictet, Richard B. Olsen and J. Robert Ward
Olsen & Associates, DEAR-Consulting, Olsen Financial Technologies, Pictet Asset Management, Lykke Corp and Olsen Group (Olsen & Associates Ltd.)

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35.

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
DEAR-Consulting, Olsen & Associates and Pictet Asset Management

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36.

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
Dominique M. Guillaume, Michel M. Dacorogna, Rakhal Dave, Ulrich A. Müller, Richard B. Olsen and Olivier V. Pictet
Catholic University of Leuven, DEAR-Consulting, Olsen Financial Technologies, Olsen & Associates, Lykke Corp and Pictet Asset Management

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37.

Going Back to the Basics - Rethinking Market Efficiency

Posted: 20 Dec 1998
Richard B. Olsen, Michel M. Dacorogna, Ulrich A. Müller and Olivier V. Pictet
Lykke Corp, DEAR-Consulting, Olsen & Associates and Pictet Asset Management

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38.

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

Posted: 10 Oct 1998
Michel M. Dacorogna, Ulrich A. Müller, Olivier V. Pictet and Casper G. de Vries
DEAR-Consulting, Olsen & Associates, Pictet Asset Management and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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39.

Using Genetic Algorithms for Robust Optimization in Financial Applications

Posted: 25 Aug 1998
Olivier V. Pictet, Michel M. Dacorogna, Bastien Chopard, Mouloud Oussaidene, Roberto Schirru and Marco Tomassini
Pictet Asset Management, DEAR-Consulting, University of Geneva, University of Geneva, Olsen Group (Olsen & Associates Ltd.) and University of Lausanne

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40.

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 DEAR-Consulting

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41.

Unveiling Non-Linearities Through Time Scale Transformations

Posted: 23 Aug 1998
Dominique M. Guillaume, Olivier V. Pictet, Ulrich A. Müller and Michel M. Dacorogna
Catholic University of Leuven, Pictet Asset Management, Olsen & Associates and DEAR-Consulting

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42.

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, DEAR-Consulting and Olsen & Associates

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43.

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, DEAR-Consulting and Olsen & Associates

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