| 1. | How Does Systematic Risk Impact US Credit Spreads? A copula Study
Publishing author: GATFAOUI Hayette
Co-author(s):
Working paper (2003) - English
Online since 2003.05.10 at 01:36:32 - 334 download(s) - 1
rating(s) - Average rating (/5): 5
Abstract | Download (pdf - 560 Ko) - Zip version (535 Ko) |
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| 2. | Introduction à la théorie des copulas
Publishing author: CHARPENTIER Arthur
Co-author(s):
Presentation (2002 - CREST) - French
Online since 2002.12.20 at 16:46:54 - 875 download(s) - 16
rating(s) - Average rating (/5): 3
Abstract | Download (pdf - 6463 Ko) - Zip version (6213 Ko) |
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| 3. | Modèles à intensité et copules
Publishing author: TALEB Aimad
Co-author(s):
Master's thesis (2002 - Ecole Polytechnique - France) - French
Online since 2004.03.26 at 09:04:09 - 526 download(s) - 5
rating(s) - Average rating (/5): 2
Abstract (Abstract in English) | Download (pdf - 1184 Ko) - Zip version (730 Ko) |
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| 4. | Les copules de Lévy et application en finance (Levy copulas and applications)
Publishing author: SALHI Yahia
Co-author(s):
Project paper (2008 - ISFA) - French
Online since 2008.04.28 at 13:55:49 - 11 download(s) - 0
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Abstract | Download (pdf - 1741 Ko) - Zip version (692 Ko) |
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| 5. | ETUDE COMPARATIVE DES METHODES NUMERIQUES DE PRICING DES PRODUITS DE CORRELATION SUR DERIVES DE CREDIT
Publishing author: SABRI Youssef
Co-author(s):
Working paper (2005 - Evry University / Calyon) - French
Online since 2006.10.16 at 22:57:06 - 283 download(s) - 3
rating(s) - Average rating (/5): 5
Abstract | Download (doc - 1573 Ko) - Zip version (493 Ko) |
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| 6. | Common Factors in Conditional Distributions
Publishing author: PATTON Andrew
Co-author(s): GRANGER Clive W. J. / TERASVIRTA Timo
Working paper (2002 - University of California, San Diego) - English
Online since 2003.01.16 at 18:48:12 - 117 download(s) - 1
rating(s) - Average rating (/5): 4
Abstract | Download (pdf - 171 Ko) - Zip version (155 Ko) |
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| 7. | Valuation of a Homogeneous CDO
Publishing author: PEIXOTO Fabio
Co-author(s):
Master's thesis (2004 - University of Waterloo) - English
Online since 2005.09.14 at 16:46:00 - 216 download(s) - 0
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Abstract | Download (pdf - 278 Ko) - Zip version (232 Ko) |
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| 8. | On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation
Publishing author: PATTON Andrew
Co-author(s):
Working paper (2002 - London School of Economics) - English
Online since 2003.01.16 at 18:49:13 - 156 download(s) - 0
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Abstract | Download (pdf - 573 Ko) - Zip version (521 Ko) |
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| 9. | CREDIT DEFAULT SWAP SPREADS AND U.S. FINANCIAL MARKET: INVESTIGATING SOME DEPENDENCE STRUCTURE
Publishing author: GATFAOUI Hayette
Co-author(s):
Working paper (2007 - Groupe ESC Rouen) - English
Online since 2008.02.16 at 17:51:46 - 25 download(s) - 0
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Abstract | Download (pdf - 584 Ko) - Zip version (566 Ko) |
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