Julien Turc

BNP Paribas

Head of the QIS Lab

20 boulevard des Italiens

Paris, 75009

France

Ecole Polytechnique

Visiting researcher

Route de Saclay

Palaiseau, 91120

France

http://https://portail.polytechnique.edu/economie/en

SCHOLARLY PAPERS

8

DOWNLOADS

431

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Ideas:
“  I’m currently working on systematic investments strategies, risk models and portfolio allocation.  ”

Scholarly Papers (8)

1.

The Properties of Alpha Risk Parity Portfolios

Gava, Jérôme and Julien Turc. 2022. “The Properties of Alpha Risk Parity Portfolios” Entropy 24, no. 11: 1631. https://www.mdpi.com/1099-4300/24/11/1631
Number of pages: 40 Posted: 28 Sep 2022 Last Revised: 21 Nov 2022
Jerome Gava and Julien Turc
BNP Paribas and BNP Paribas
Downloads 431 (122,147)

Abstract:

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portfolio optimization, risk parity, risk budgeting, generalized entropy, statistical divergence, information theory, information geometry, portfolio selection, investment risk, diversification

2.

Looking for Value on the Credit Market

Posted: 18 Mar 2021
Julien Turc and Jerome Legras
BNP Paribas and affiliation not provided to SSRN

Abstract:

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Credit, Non-parametric statistics, non-Gaussian returns

3.

Pricing CDO With a Smile: the Local Correlation Model

Posted: 18 Mar 2021
Julien Turc and Philippe Very
BNP Paribas and EDHEC Business School

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Default risk, credit, CDO, correlation, copula

4.

Pricing and Hedging With Equity-Credit Models

Credit Risk Frontiers, edited by Tomasz Bielecki, Damiano Brigo and Frédéric Patras (Wiley, 2012)
Posted: 18 Mar 2021
Julien Turc and Benjamin Herzog
BNP Paribas and affiliation not provided to SSRN

Abstract:

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Credit, default risk, stochastic processes, jump-diffusion processes, capital structure arbitrage

5.

Quantitative Finance: Friend or Foe?

Credit Risk Frontiers, edited by Tomasz Bielecki, Damiano Brigo, Frédéric Patras (Wiley)
Posted: 15 Mar 2021
Julien Turc and Benjamin Herzog
BNP Paribas and affiliation not provided to SSRN

Abstract:

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Risk models, Quantitative Finance

6.

Local Correlation Model

Posted: 15 Mar 2021
Julien Turc and Benjamin Herzog
BNP Paribas and affiliation not provided to SSRN

Abstract:

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Credit, Default risk, CDO, Correlation

7.

Turning Tail Risks into Tailwinds

The Journal of Portfolio Management, 2021 ‘Multi-asset’ Special Edition
Posted: 26 Feb 2021
Jerome Gava, Francisco Guevara and Julien Turc
BNP Paribas, École polytechnique and BNP Paribas

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Risk parity, tail risk, systematic investing, trend following, put underwriting, spectral risk measures, decision theory, cumulative prospect theory, Cornish-Fisher expansion, power-law distributions, copula, vine copula

8.

Beyond Carry and Momentum in Government Bonds

The Journal of Fixed Income, Spring 2020
Posted: 07 Sep 2019 Last Revised: 27 Dec 2020
Jerome Gava, William Lefebvre and Julien Turc
BNP Paribas, Laboratoire de Probabilités, Statistique et Modélisation (LPSM) and BNP Paribas

Abstract:

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Factor and style investing, xed income, macroeconomy, macro- nance, seasonality, mean-reversion, machine learning, variables selection, panel regression, clustering, covariance selection, selection bias under multiple testing

Other Papers (1)

Total Downloads: 0
1.

The Early Bird Catches the Intraday Trend

Posted: 11 Jan 2022
Julien Turc, Jerome Gava and Roxton McNeal
BNP Paribas, BNP Paribas and Independent

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Intraday; trend following; knowledge graphs; equity futures; developed markets; machine learning; systematic investing; portfolio construction; tail risks