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ANR project: Code decision (reference) : ANR-16-CE26-0015

Trends everywhere? The case of hedge fund styles

Charles Chevalier , Serge Darolles
Journal of Asset Management, 2019, 20 (6), ⟨10.1057/s41260-019-00141-5⟩
Journal articles hal-02573075v1

A Theoretical and Empirical Comparison of Systemic Risk Measures: MES versus CoVaR

Sylvain Benoît , Gilbert Colletaz , Christophe Hurlin
2011
Preprints, Working Papers, ... hal-02058255v1

Pitfalls in systemic-risk scoring

Sylvain Benoît , Christophe Hurlin , Christophe Pérignon
Journal of Financial Intermediation, 2019, 38, pp.19-44. ⟨10.1016/j.jfi.2018.05.004⟩
Journal articles hal-02292305v1

A Hybrid MCMC Sampler for Unconditional Quantile Based on Influence Function

El Laghlal , Abdoul Ndoye
Econometrics, 2018, 6 (2), pp.24. ⟨10.3390/econometrics6020024⟩
Journal articles hal-03526592v1
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On the market structure of central counterparties in the EU

Gabrielle Demange , Thibaut Piquard
2021
Preprints, Working Papers, ... halshs-03107812v1

Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures

Denisa Banulescu , Christophe Hurlin , Jeremy Leymarie , Olivier Scaillet
2020
Preprints, Working Papers, ... halshs-03088668v1

Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows

Serge Darolles , Gaëlle Le Fol , Gulten Mero
Journal of Econometrics, 2017, ⟨10.1016/j.jeconom.2017.08.014⟩
Journal articles hal-01593402v1

Machine learning et nouvelles sources de données pour le scoring de crédit

Christophe Hurlin , Christophe Pérignon
Revue d'économie financière, 2019, N°135 (3), pp.21-50. ⟨10.3917/ecofi.135.0021⟩
Journal articles hal-03532418v1
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Measuring network systemic risk contributions: A leave-one-out approach

Sullivan Hué , Yannick Lucotte , Sessi Tokpavi
Journal of Economic Dynamics and Control, 2019, 100, pp.86 - 114. ⟨10.1016/j.jedc.2018.12.001⟩
Journal articles hal-03486008v1

Intrinsic Liquidity in Conditional Volatility Models

Serge Darolles , Christian Francq , Gaëlle Le Fol , Jean-Michel Zakoïan
Annals of Economics and Statistics, 2016, 123/124, ⟨10.15609/annaeconstat2009.123-124.0225⟩
Journal articles hal-01500747v1

Loss Functions for LGD Models Comparison

Jérémy Leymarie , Christophe Hurlin , Antoine Patin
European Journal of Operational Research, 2018, 268 (1), pp.348-360
Journal articles hal-01923050v1
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Asymptotics of Cholesky GARCH models and time-varying conditional betas

Serge Darolles , Christian Francq , Sébastien Laurent
Journal of Econometrics, 2018, 204 (2), pp.223-247. ⟨10.1016/j.jeconom.2018.02.003⟩
Journal articles hal-01980815v1

Where the Risks Lie: A Survey on Systemic Risk

Sylvain Benoît , Jean-Edouard Colliard , Christophe Hurlin , Christophe Pérignon
2015
Preprints, Working Papers, ... hal-02011395v1
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Goodness-of-fit tests for log and exponential GARCH models

Christian Francq , Olivier Wintenberger , Jean-Michel Zakoïan
Test, 2018, 27 (1), pp.27-51. ⟨10.1007/s11749-016-0506-2⟩
Journal articles hal-01258922v2

Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures

Denisa Banulescu-Radu , Christophe Hurlin , Jérémy Leymarie , Olivier Scaillet
Management Science, 2021, 67 (9), pp.5730-5754. ⟨10.1287/mnsc.2020.3751⟩
Journal articles hal-03526444v1
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CoMargin

Jorge A. Cruz Lopez , Jeffrey H. Harris , Christophe Hurlin , Christophe Pérignon
2015
Preprints, Working Papers, ... halshs-00979440v3
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Machine Learning et nouvelles sources de données pour le scoring de crédit

Christophe Hurlin , Christophe Pérignon
2019
Preprints, Working Papers, ... halshs-02377886v2
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Bivariate integer-autoregressive process with an application to mutual fund flows

Serge Darolles , Gaëlle Le Fol , Yang Lu , Ran Sun
Journal of Multivariate Analysis, 2019, 173, pp.181-203. ⟨10.1016/j.jmva.2019.02.015⟩
Journal articles halshs-02418967v1

Systemic Risk Score: A Suggestion

Christophe Hurlin , Christophe Pérignon
2013
Preprints, Working Papers, ... hal-02011444v1
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Machine Learning for Credit Scoring: Improving Logistic Regression with Non Linear Decision Tree Effects

Elena Ivona Dumitrescu , Sullivan Hué , Christophe Hurlin , Sessi Tokpavi
European Journal of Operational Research, 2022, 297 (3), pp.1178-1192. ⟨10.1016/j.ejor.2021.06.053⟩
Journal articles hal-03331114v1

Gauging Liquidity Risk in Emerging Market Bond Index Funds

Serge Darolles , Jérémy Dudek , Gaëlle Le Fol
Annals of Economics and Statistics, 2016, 123/124, ⟨10.15609/annaeconstat2009.123-124.0247⟩
Journal articles hal-01500712v1

Forecasting High-Frequency Risk Measures

Denisa Banulescu , Gilbert Colletaz , Christophe Hurlin , Sessi Tokpavi
Journal of Forecasting, 2016, 35 (3), pp.224-249. ⟨10.1002/for.2374⟩
Journal articles istex hal-03554206v1
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The Counterparty Risk Exposure of ETF Investors

Christophe Hurlin , Gregoire Iseli , Christophe Pérignon , Stanley Yeung
2014
Preprints, Working Papers, ... halshs-01023807v3

Where the Risks Lie: A Survey on Systemic Risk

Sylvain Benoît , Jean-Edouard Colliard , Christophe Hurlin , Christophe Pérignon
Review of Finance, 2017, ⟨10.1093/rof/rfw026⟩
Journal articles hal-01498631v1
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Risk Measure Inference

Christophe Hurlin , Sebastien Laurent , Rogier Quaedvlieg , Stephan Smeekes
2015
Preprints, Working Papers, ... halshs-00877279v3
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Where the Risks Lie: A Survey on Systemic Risk

Sylvain Benoît , Jean-Edouard Colliard , Christophe Hurlin , Christophe Pérignon
2015
Preprints, Working Papers, ... halshs-01142014v2
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Implied Risk Exposures

Sylvain Benoît , Christophe Hurlin , Christophe Pérignon
2014
Preprints, Working Papers, ... halshs-00836280v3

La relation firme-analyste explique-t-elle les erreurs de prévision des analystes ?

Régis Breton , Sébastien Galanti , Christophe Hurlin , Anne-Gaël Vaubourg
Revue Economique, 2017, Varia, 68 (6), pp.1033-1062. ⟨10.3917/reco.pr2.0103⟩
Journal articles hal-01724249v1
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Loss functions for LGD model comparison

Christophe Hurlin , Jérémy Leymarie , Antoine Patin
2018
Preprints, Working Papers, ... halshs-01516147v3

Risk Measure Inference

Christophe Hurlin , Sébastien Laurent , Rogier Quaedvlieg , Stephan Smeekes
Journal of Business and Economic Statistics, 2017, 35 (4), pp.499-512. ⟨10.1080/07350015.2015.1127815⟩
Journal articles hal-01457393v1