Výsledky vyhledávání - "Olivier Le Courtois"

Akademický článek

Equivalent Risk Indicators: VaR, TCE, and Beyond

Autor: Silvia Faroni, Olivier Le Courtois, Krzysztof Ostaszewski

Publikováno v: Risks, Vol 10, Iss 8, p 142 (2022)

While a lot of research concentrates on the respective merits of VaR and TCE, which are the two most classic risk indicators used by financial institutions, little has been written on the equivalence between such indicators. Further, TCE, despite its

Externí odkaz: https://doaj.org/article/8b5b79a269d649ad91807e932c80ef29

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Akademický článek

On the Diversification of Fixed Income Assets

Autor: Olivier Le Courtois

Publikováno v: Risks, Vol 10, Iss 2, p 31 (2022)

This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets. Because Government bonds, corporate bonds, and mortgage backed securities constitute a large proportion of the assets of institutio

Externí odkaz: https://doaj.org/article/18178892e1794206ae8765c4b910500a

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Semivariance below the maximum: Assessing the performance of economic and financial prospects

Autor: Olivier Le Courtois, Xia Xu

Publikováno v: Journal of Economic Behavior & Organization. 209:185-199

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::7b62ed12d2a80faa6f45921efdc898ee
https://doi.org/10.1016/j.jebo.2023.03.001

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Pricing and hedging defaultable participating contracts with regime switching and jump risk

Autor: Xiaoshan Su, Olivier Le Courtois, François Quittard-Pinon

Publikováno v: Decisions in Economics and Finance. 43:303-339

This paper develops a transform-based approach for the pricing of participating life insurance contracts with a constant or floating guaranteed rate. Our analysis incorporates credit, market (jump), and economic (regime switching) risks, where the ev

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::79722fb9a77454623ac89b7168b68226
https://doi.org/10.1007/s10203-020-00276-w

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Is the index efficient? A worldwide tour with stochastic dominance

Autor: Olivier Le Courtois, Xia Xu, Olga Kolokolova

Publikováno v: Journal of Financial Markets. 59:100660

We conduct a broad study of stochastic dominance efficiency on financial markets. We show that in the long run the vast majority of 17 equity market indices across the globe are inefficient at order two relative to their industry components. In the s

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::20de3922074fa8cdc94de000a455486d
https://doi.org/10.1016/j.finmar.2021.100660

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Utility-Consistent Valuation Schemes for the Own Risk and Solvency Assessment of Life Insurance Companies

Autor: Li Shen, Olivier Le Courtois, Mohamed Majri

Publikováno v: Asia-Pacific Journal of Risk and Insurance.

In this paper, we construct new valuation schemes for the liabilities and economic capital of insurance companies. Specifically, we first build a ‘SAHARA’ valuation framework based on Symmetric Asymptotic Hyperbolic Absolute Risk Aversion utility

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3f8c92cc8385a74a16ed42771f4d2820
https://doi.org/10.1515/apjri-2019-0047

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Intensity of preferences for bivariate risk apportionment

Autor: Olivier Le Courtois, Louis Eeckhoudt, David Crainich

Publikováno v: Journal of Mathematical Economics
Journal of Mathematical Economics, Elsevier, 2020, 88, pp.153-160. ⟨10.1016/j.jmateco.2020.03.007⟩
Journal of Mathematical Economics, 2020, 88, pp.153-160. ⟨10.1016/j.jmateco.2020.03.007⟩

International audience; Bivariate risk apportionment is the preference for dispersing risks associated with two aspects of individuals’ well-being into different states of the world. In this paper, we propose an intensity measure of this preference

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6bfb128ba3249c85516004bd9e3e22f9
https://hal.archives-ouvertes.fr/hal-03133126/document

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Corporate Name Changes: The Case of M&As within the S&P 500 Index

Autor: Olivier Le Courtois, Xia Xu

Publikováno v: SSRN Electronic Journal.

In this study, we examine the effect of name change on mergers and acquisitions (M&As) among S&P 500 companies from 1979 to 2017. We find a significant name change effect on the S&P 500 index change announcement, although information about the name c

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::2ab06f1ea09a230717471b68b26e8ec8
https://doi.org/10.2139/ssrn.3729147

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On the Diversification of Fixed Income Assets

Autor: Olivier Le Courtois

Publikováno v: Risks; Volume 10; Issue 2; Pages: 31

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::207c46e6444949d9df035753b4b4fb28
https://doi.org/10.2139/ssrn.3740580

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A Complete Ranking of Risky Prospects Consistent with Stochastic Dominance

Autor: Olivier Le Courtois, Xia Xu

Publikováno v: SSRN Electronic Journal.

We introduce a new and complete ordering of prospects that is consistent with stochastic dominance (SD). Featuring loss aversion and skewness preference, it mitigates the low discriminatory power of SD and circumvents implementation difficulties asso

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::a6ac05a6c8c8c30a4be9b3c8e2a73800
https://doi.org/10.2139/ssrn.3729152

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