Audit De Modèles Financiers Pour L'Assurance (Audit of Financial Models in Insurance)

Posted: 18 Dec 2014

See all articles by Olivier Le Courtois

Olivier Le Courtois

EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control

Christian Pierre Walter

Foundation Maison des Sciences de l'Homme (FMSH) - Collège d'études mondiales; KEDGE Business School

Date Written: December 16, 2014

Abstract

French Abstract: Cette note de synthèse présente tout d'abord une réflexion sur les trois conventions de la quantification financière. Elle se penche ensuite sur les principaux modèles existants en matière de gestion des risques de taux, crédit et action. Pour chacun de ces risques, les aspects théoriques comme les aspects de calibrage sont examinés. Enfin, un dernier chapitre conclut sur les questions de dépendance entre risques.

English Abstract: This document first presents a reflection on the three conventions underlying financial theory. It then concentrates on the main models that exist for managing interest rate, credit and equity risks. For each of these risks, both the theoretical aspects and the calibration aspects are examined. A last chapter allows us to conclude by studying the dependence between risks.

Note: Downloadable document is in French.

Suggested Citation

Le Courtois, Olivier Arnaud and Walter, Christian Pierre, Audit De Modèles Financiers Pour L'Assurance (Audit of Financial Models in Insurance) (December 16, 2014). Available at SSRN: https://ssrn.com/abstract=2538972 or http://dx.doi.org/10.2139/ssrn.2538972

Olivier Arnaud Le Courtois (Contact Author)

EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control ( email )

23, av. Guy de Collongue
69134 Ecully Cedex
France

Christian Pierre Walter

Foundation Maison des Sciences de l'Homme (FMSH) - Collège d'études mondiales ( email )

54 bd Raspail
Paris, Ile-de-France 75006
France
+33608652084 (Phone)

KEDGE Business School ( email )

Domaine de Luminy - BP 921
BP 921
Marseille, PACA 13288
France

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