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Gourieroux, Christian’ AUTHOR PAGE
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E-Mail: gourieroux@ensae.fr
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webpage: http://www.crest.fr/pageperso/lfa/gouriero/gouriero.htm
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Affiliation: CREST
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Allocating Systemic Risk in a Regulatory Perspective 2013
Gourieroux, Christian
Monfort, Alain
 
The paper proposes an axiomatic approach for allocating aggregate risk among individual entities. It is shown that a risk allocation system should obe...
Estimation Adjusted VaR 2012
Gourieroux, Christian
Zakoïan, Jean-Michel
 
Standard risk measures, such as the Value-at-Risk (VaR), or the Expected Shortfall, have to be estimated and their estimated counterparts are subject ...
Converting Tail-VaR to VaR: An Econometric Study 2012
Gourieroux, Christian
Liu, Wei
 
This paper studies the link between two popular measures of risk, that are the Value-at-Risk (VaR) and the Tail-VaR (TVaR). We study how the TVaR and ...
Risk Measures: Statistical Estimation 2010
Gourieroux, Christian
 
This article presents the main risk measures suggested in the current regulations for finance (Basel 2) and insurance (Solvency 2) to fix the reserves...
Allocating Systematic and Unsystematic Risks in a Regulatory Perspective 2011
Gourieroux, Christian
Monfort, Alain
 
This paper discusses the allocation of reserves among financial entities from a regulatory point of view. We introduce axioms of decentralization, ad...
Granularity Adjustment in Dynamic Multiple Factor Models: Systematic vs Unsystematic Risks 2010
Gourieroux, Christian
Gagliardini, Patrick
 
The granularity principle [Gordy (2003)] allows for closed form expressions of the risk measures of a large portfolio at order 1=n, where n is the por...
Granularity Adjustment for Efficient Portfolio 2008
Monfort, Alain
Gourieroux, Christian
 
This paper considers large portfolios of assets submitted to both systematic and idiosyncratic risks. The idiosyncratic risks can be diversified compl...
Granularity in a Qualitative Factor Model 2009
Gourieroux, Christian
Monfort, Alain
 
This paper provides a unified setting for factor models applied to panels of qualitative observations. This setting includes as special cases the sing...
Granularity Adjustment for Default Risk Factor Model with Cohorts 2008
Gourieroux, Christian
Jasiak, Joann
 
This paper examines granularity adjustment for parameter estimators in a default risk model with cohorts. The model is an extension of the Vasicek mo...
Latent Variable Approach to Modelling Dependence of Credit Risks: Application to French Firms and Im 2005
Foulcher, Sandra
Gourieroux, Christian
Tiomo, Andre
 
This paper extends the analysis in “Migration Correlation: Estimation Method and Application to theFrench Companies Rated by the Banque de France” and...
Sensitivity Analysis of Distortion Risk Measures 2006
Gourieroux, Christian
Liu, Wei
 
This paper provides a uni¯ed statistical framework for the analysis of distortion riskmeasures (DRM) and of their sensitivities with respect to parame...
Efficient Portfolio Analysis Using Distortion Risk Measures 2006
Gourieroux, Christian
Liu, Wei
 
We introduce nonparametric estimators of the sensitivity of distortion risk measure with respect to portfolio allocation. These estimators are used t...
Value at Risk (Gourieroux/Jasiak) 2002
Gourieroux, Christian
Jasiak, Joann
 
We study risk on a portfolio of liquid assets to which we next add the derivatives, and conclude with a discussion on credit risk. In each section we...
Dynamic Quantile Models 2005
Gourieroux, Christian
Jasiak, Joann
 
This paper introduces new dynamic quantile models for univariate series and panel data. The Dynamic Addititve Quantile can be used for computation of...
Equidependence in Qualitative and Duration Models with Application to Credit Risk 2003
Gourieroux, Christian
Monfort, Alain
 
The aim of this paper is to introduce factor models for joint analysis of interdependent individual defaults. ...
ARCH Models and Financial Applications 1997
Gourieroux, Christian
 
The classical ARMA models have limitations when applied to the field of financial and monetary economics. Financial time series present nonlinear dyna...
Local Likelihood Density Estimation, and Value at Risk 2009
Gourieroux, Christian
Jasiak, Joann
 
This paper presents a new nonparametric method for computing the conditional Value-at-Risk, based on a local approximation of the conditional density ...
Sensitivity Analysis of Values at Risk 2000
Gourieroux, Christian
Laurent, Pierre
Scaillet, Oliver
 
The aim of this paper is to analyze the sensitivity of Value at Risk (VaR)with respect to portfolio allocation. The paper derives analytical expressio...
Financial Econometrics: Problems, Models, and Methods 2001
Gourieroux, Christian
Jasiak, Joann
 
Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and d...
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