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Remillard, Bruno’ AUTHOR PAGE
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E-Mail: bruno.remillard@hec.ca
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webpage: http://www.hec.ca/pages/bruno.remillard/
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Affiliation: HEC Montreal
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Robust Conditional Variance and Value-at-Risk Estimation 2014
Dupuis, Debbie J.
Papageorgiou, Nicolas
Remillard, Bruno
 
This article is concerned with robust conditional variance and value-at-risk (VaR) estimation. Losses due to idiosyncratic events can have a dispropor...
Statistical Methods for Financial Engineering 2013
Remillard, Bruno
 
Explains how to use numerous statistical techniques, such as Monte Carlo methods, nonparametric estimation, maximum likelihood techniques, and particl...
Goodness-of-fit Tests for Copulas: A Revew and A Power Study 2009
Genest, C_hristian
Remillard, Bruno
Beaudoin, David
 
Many proposals have been made recently for goodness-of-fit testing of copula models. After reviewing them briefly, the authors concentrate on “blanket...
Discussion of Copulas: Tales and Facts 2006
Genest, C_hristian
Remillard, Bruno
 
A measured response is provided to Dr. Mikosch's vitriolic attack onthe merits of studying, characterizing and modeling stochastic dependence throughc...
Empirical Study of Dependence of Credit Default Data and Equity Prices 2006
Dupuis, Debbie J.
Papageorgiou, Nicolas
Remillard, Bruno
Jacquier, Eric
 
We investigate the common practice of estimating the dependence structure between CDS prices on multi-name credit instruments by the dependence struct...
Credit Migration and Derivatives Pricing Using Copulas 2005
Berrada, Tony
Dupuis, Debbie J.
Jacquier, Eric
Papageorgiou, Nicolas
Remillard, Bruno
 
The multivariate modelling of default risk is a crucial aspect of the pricing of credit derivativeproducts referencing a portfolio of underlying asset...
Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transform 2005
Genest, C_hristian
Quessy, Jean-Francois
Remillard, Bruno
 
This paper shows how to compute asymptotic P-values for various goodness-of-fit statistics based on a non-truncated version of Kentall's process. ...
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