Zobrazeno 1 - 10
of 54
pro vyhledávání: '"Roncalli, Thierry"'
This article develops a model that takes into account skewness risk in risk parity portfolios. In this framework, asset returns are viewed as stochastic processes with jumps or random variables generated by a Gaussian mixture distribution. This dual
Externí odkaz:
http://arxiv.org/abs/2202.10721
In this paper, we examine the materiality of ESG on country creditworthiness from a credit risk and fundamental analysis viewpoint. We first determine the ESG indicators that are most relevant when it comes to explaining the sovereign bond yield, aft
Externí odkaz:
http://arxiv.org/abs/2110.06617
Autor:
Roncalli, Thierry
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers the modeling of the liability liquidity risk (or funding liquidity), the second dim
Externí odkaz:
http://arxiv.org/abs/2110.01302
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second dimension focu
Externí odkaz:
http://arxiv.org/abs/2105.08377
Like ESG investing, climate change is an important concern for asset managers and owners, and a new challenge for portfolio construction. Until now, investors have mainly measured carbon risk using fundamental approaches, such as with carbon intensit
Externí odkaz:
http://arxiv.org/abs/2101.10635
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second dimension focu
Externí odkaz:
http://arxiv.org/abs/2101.02110
This article studies the impact of carbon risk on stock pricing. To address this, we consider the seminal approach of G\"orgen \textsl{et al.} (2019), who proposed estimating the carbon financial risk of equities by their carbon beta. To achieve this
Externí odkaz:
http://arxiv.org/abs/2008.13198
This article explores the use of machine learning models to build a market generator. The underlying idea is to simulate artificial multi-dimensional financial time series, whose statistical properties are the same as those observed in the financial
Externí odkaz:
http://arxiv.org/abs/2007.04838