Zobrazeno 1 - 10
of 150
pro vyhledávání: '"Bertrand Maillet"'
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d4a09b39dc93b92d9c008c2b50f363dc
https://doi.org/10.2139/ssrn.4351837
https://doi.org/10.2139/ssrn.4351837
Publikováno v:
Annals of Operations Research.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::343762fc98e0f252a5666e2feb3687aa
https://doi.org/10.1007/s10479-022-04881-3
https://doi.org/10.1007/s10479-022-04881-3
Recent studies indicate that systemic risk has predictive power over severe economic downturns. We propose a novel methodology that employs sparsity and targeting approaches to optimally select and combine systemic risk measures to forecast the tail
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1147271ef34e6bac3e092cf47edc6cbc
http://hdl.handle.net/10278/3761728
http://hdl.handle.net/10278/3761728
Publikováno v:
European Journal of Operational Research
European Journal of Operational Research, Elsevier, 2021
European Journal of Operational Research, Elsevier, 2021
International audience; In this article, we first generalize the Conditional Auto-Regressive Expected Shortfall (CARES) model by introducing the loss exceedances of all (other) listed companies in the Expected Shortfall related to each firm, thus pro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::062c4a523af5a0ffc4286d394adf836a
http://hdl.handle.net/11577/3410454
http://hdl.handle.net/11577/3410454
Publikováno v:
Annals of Operations Research.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::739c2f81d6847da069a5b614053ed9d4
https://doi.org/10.1007/s10479-021-04246-2
https://doi.org/10.1007/s10479-021-04246-2
Publikováno v:
Annals of Operations Research
Annals of Operations Research, Springer Verlag, 2021, ⟨10.1007/s10479-020-03771-w⟩
Annals of Operations Research, Springer Verlag, 2021, ⟨10.1007/s10479-020-03771-w⟩
International audience; We introduce hereafter a new flexible meta-measurement of portfolio performance, called the Generalized Utility-based N-moment measure, relying both on a characterization of the whole return distribution and on the set of pref
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::651ebace9e40cd064aed2a7bbe9e6968
https://hal.univ-reunion.fr/hal-03543398
https://hal.univ-reunion.fr/hal-03543398
Publikováno v:
International Review of Economics and Finance
International Review of Economics and Finance, Elsevier, 2021, 71, pp.853-879. ⟨10.1016/j.iref.2020.10.013⟩
International Review of Economics and Finance, Elsevier, 2021, 71, pp.853-879. ⟨10.1016/j.iref.2020.10.013⟩
We investigate the difference in pricing cross-sectional risky assets performance between tradable and nontradable factors by comparing their misspecification errors—the Hansen–Jagannathan (HJ) distance. By constructing nontradable factors mimick
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3ff0a45a7c66e98dd56e116b0fb3d24c
https://hal.archives-ouvertes.fr/hal-03492916
https://hal.archives-ouvertes.fr/hal-03492916
Publikováno v:
Annals of Operations Research
Annals of Operations Research, Springer Verlag, 2019
Annals of Operations Research, 2019, ⟨10.1007/s10479-019-03360-6⟩
Annals of Operations Research, Springer Verlag, 2019
Annals of Operations Research, 2019, ⟨10.1007/s10479-019-03360-6⟩
Fraud detection is a key issue for investors and financial authorities. The Ponzi schemeorganized by Bernard Madoff is a magnified example of a financial fraud, always possiblewhen well-orchestrated. Traditional methods to detect fraud require costly
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9e59f8bfb5e4ff70d673a302271885e8
https://hal.archives-ouvertes.fr/hal-02312401
https://hal.archives-ouvertes.fr/hal-02312401
Autor:
Billio, Monica1 (AUTHOR), Maillet, Bertrand2,3,4 (AUTHOR) bmaillet@em-lyon.com, Pelizzon, Loriana5 (AUTHOR)
Publikováno v:
Annals of Operations Research. Jan2024, Vol. 332 Issue 1-3, p1271-1271. 1p.
Publikováno v:
Revue Economique
Revue Economique, Presses de Sciences Po, 2016, 1037-1056 p
Revue Economique, Presses de Sciences Po, 2016, 1037-1056 p
International audience; La détection de fraudes est un enjeu essentiel pour les investisseurs et les autorités financières. Le système de Ponzi mis en place par Bernard Madoff est une illustration emblématique d’une fraude de grande envergure,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f5cc31b2afc6796e230ffd2037abca1f
https://doi.org/10.3917/reco.675.1037
https://doi.org/10.3917/reco.675.1037