Michel M. Dacorogna

DEAR-Consulting

CEO

Scheuchzerstrasse 160

Zurich, 8057

Switzerland

SCHOLARLY PAPERS

43

DOWNLOADS
Rank 4,312

SSRN RANKINGS

Top 4,312

in Total Papers Downloads

11,608

SSRN CITATIONS
Rank 14,446

SSRN RANKINGS

Top 14,446

in Total Papers Citations

12

CROSSREF CITATIONS

69

Scholarly Papers (43)

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, DEAR-Consulting, Pictet & Cie, Banquiers, Lykke Corp and Pictet Asset Management
Downloads 1,889 (10,232)
Citation 11

Abstract:

Loading...

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
Simon Fraser University, Pictet & Cie, Banquiers, DEAR-Consulting, Lykke Corp and Pictet Asset Management
Downloads 39 (527,444)
  • Add to Cart

Abstract:

Loading...

Modelling Short-Term Volatility with GARCH and Harch Models

Number of pages: 17 Posted: 25 Jun 1997
DEAR-Consulting, Olsen & Associates, Pictet Asset Management and Lykke Corp
Downloads 1,595 (13,420)
Citation 19

Abstract:

Loading...

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
DEAR-Consulting, Olsen & Associates, Pictet Asset Management and Lykke Corp

Abstract:

Loading...

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 DEAR-Consulting
Downloads 1,257 (19,711)
Citation 6

Abstract:

Loading...

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 1,147 (22,642)
Citation 8

Abstract:

Loading...

Multivariate Extremes, Aggregation and Risk Estimation

Number of pages: 35 Posted: 27 Dec 2000
RWE Trading UK Ltd, DEAR-Consulting, Zurcher Kantonalbank, Olsen & Associates and Cornell University
Downloads 745 (41,024)
Citation 5

Abstract:

Loading...

Multivariate Extremes, Aggregation and Risk Estimation

Posted: 28 Sep 2001
Olsen & Associates, RWE Trading UK Ltd, DEAR-Consulting, Zurcher Kantonalbank and Cornell University

Abstract:

Loading...

6.

Effective Return, Risk Aversion and Drawdowns

Olsen & Associates Working Paper No. 321
Number of pages: 24 Posted: 20 Jul 1999
DEAR-Consulting, Simon Fraser University, Olsen & Associates and Pictet Asset Management
Downloads 621 (53,025)

Abstract:

Loading...

7.

Introducing a Scale of Market Shocks

Olsen & Associates Working Paper No. 322
Number of pages: 25 Posted: 03 May 1999
Edgelab, DEAR-Consulting, Olsen & Associates and Lykke Corp
Downloads 493 (70,777)
Citation 3

Abstract:

Loading...

8.

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), DEAR-Consulting, Olsen & Associates and Lykke Corp
Downloads 409 (88,433)

Abstract:

Loading...

9.

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, DEAR-Consulting and Olsen & Associates
Downloads 398 (91,245)

Abstract:

Loading...

10.

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 359 (102,720)
Citation 9

Abstract:

Loading...

Risk-Based Capital, Hierarchical Copula, Dependence, Calibration

11.

A Closer Look at the Eurofutures Market: Intraday Statistical Analysis

Number of pages: 21 Posted: 03 Aug 1998
Olsen & Associates, Pictet & Cie, Banquiers, DEAR-Consulting and Simon Fraser University
Downloads 345 (107,348)
Citation 3

Abstract:

Loading...

12.

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 338 (109,879)
Citation 4

Abstract:

Loading...

extreme risk, risk management

13.
Downloads 335 (111,050)
Citation 1

A Change of Paradigm for the Insurance Industry

Number of pages: 15 Posted: 19 Nov 2015
Michel M. Dacorogna
DEAR-Consulting
Downloads 228 (164,279)

Abstract:

Loading...

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 107 (309,270)
Citation 2

Abstract:

Loading...

Solvency Regulation, Risk Adjusted Capital, Risk Management

14.

Approaches and Techniques to Validate Internal Model Results

Number of pages: 19 Posted: 10 Jun 2017
Michel M. Dacorogna
DEAR-Consulting
Downloads 246 (153,100)

Abstract:

Loading...

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

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, DEAR-Consulting, Olsen & Associates and ETH Zürich - Department of Mathematics
Downloads 232 (161,936)

Abstract:

Loading...

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
DEAR-Consulting and ESSEC Business School
Downloads 178 (206,648)
Citation 8

Abstract:

Loading...

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

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 145 (246,204)
Citation 1

Abstract:

Loading...

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
Downloads 0
  • Add to Cart

Abstract:

Loading...

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
DEAR-Consulting, SCOR Global P&C SE Reinsurance (Zurich Branch) and Université Paris VII Denis Diderot - Laboratoire de Probabilités et Modèles Aléatoires (LPMA)
Downloads 117 (288,878)
Citation 2

Abstract:

Loading...

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 St. Gallen, DEAR-Consulting, University of Naples Federico II - Faculty of Economics and Università degli Studi di Salerno
Downloads 95 (332,363)
Citation 2

Abstract:

Loading...

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

20.

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 93 (336,945)

Abstract:

Loading...

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

21.

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 85 (356,286)
Citation 5

Abstract:

Loading...

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

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
DEAR-Consulting and University of St. Gallen
Downloads 82 (364,092)
Citation 2

Abstract:

Loading...

Mortality Model, Interest Rate Model, Dependence

23.

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 77 (377,584)
Citation 3

Abstract:

Loading...

Diversification, Insurance Risk

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
DEAR-Consulting, ESSEC Business School, Department of Management, Students and ESSEC Business School - Information & Decision Sciences Department
Downloads 60 (430,965)

Abstract:

Loading...

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

25.

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 59 (434,561)

Abstract:

Loading...

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

26.

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, DEAR-Consulting and ESSEC Business School - Information & Decision Sciences Department
Downloads 53 (456,559)

Abstract:

Loading...

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

27.

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 49 (472,293)
Citation 2

Abstract:

Loading...

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

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 36 (530,944)

Abstract:

Loading...

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
DEAR-Consulting, University of Lausanne, SCOR and SCOR
Downloads 31 (557,263)

Abstract:

Loading...

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

Abstract:

Loading...

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
King's College London, Australian National University and DEAR-Consulting

Abstract:

Loading...

Scaling exponents, Time series analysis, Multi-fractals

32.

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

Posted: 20 Dec 1999
Olsen & Associates, DEAR-Consulting, Olsen Financial Technologies, Lykke Corp, Pictet Asset Management and World Bank

Abstract:

Loading...

33.

Heterogeneous Real-Time Trading Strategies in the Foreign Exchange Markets

Posted: 02 Sep 1999
DEAR-Consulting, Olsen & Associates, Olsen Group (Olsen & Associates Ltd.), Pictet Asset Management, Lykke Corp and Olsen Group (Olsen & Associates Ltd.)

Abstract:

Loading...

34.

Fractals and Intrinsic Time - a Challenge to Econometricians

Posted: 02 Sep 1999
Olsen & Associates, DEAR-Consulting, Olsen Financial Technologies, Pictet Asset Management, Lykke Corp and Olsen Group (Olsen & Associates Ltd.)

Abstract:

Loading...

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

Abstract:

Loading...

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
Catholic University of Leuven, DEAR-Consulting, Olsen Financial Technologies, Olsen & Associates, Lykke Corp and Pictet Asset Management

Abstract:

Loading...

37.

Going Back to the Basics - Rethinking Market Efficiency

Posted: 20 Dec 1998
Lykke Corp, DEAR-Consulting, Olsen & Associates and Pictet Asset Management

Abstract:

Loading...

38.

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

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

Abstract:

Loading...

39.

Using Genetic Algorithms for Robust Optimization in Financial Applications

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

Abstract:

Loading...

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

Abstract:

Loading...

41.

Unveiling Non-Linearities Through Time Scale Transformations

Posted: 23 Aug 1998
Catholic University of Leuven, Pictet Asset Management, Olsen & Associates and DEAR-Consulting

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...