Research Interests

Financial econometrics, dependence modelling, risk management, credit derivatives, financial applications of machine learning

My personal website is here 

Biography

Education

Habilitation à Diriger les Recherches (2009)
Thesis in Statistics, University Paris VI (1998)
Ecole Nationale de la Statistique et de l'Administration Economique (1994)
DEA Statistique et Modèles Aléatoires en Economie et Finance, Univ. Paris VII (1992)
DEA Modélisation et Méthodes Mathématiques en Economie, Univ. Paris I (1991)
Agrégation de Mathématiques (1990)
Ecole Normale Supérieure (1988)
Concours Général in Geography (1985)
 

Jobs

Professor of Finance and Statistics, ENSAE (2009-)
Senior Quant, Fixed Income Research Team, BNP-Paribas (2006-2009)
Head of Risk, CooperNeff AM (2005-2006)
Head of risk methodologies, Ixis CIB (2002-2005)
Head of the Statistics Laboratory, INSEE-CREST (2000-2002)
Professor of Statistics, ENSAE (1999-2002)
Head of the section « Professions-Qualifications-Formation », Division of Employment, INSEE (1996-1999)
Member of the Research Department, INSEE (1994-1996)

Publications

Publications in Statistics, financial econometrics and finance

1. "Multivariate Hazard Rates Under Random Censorship" , Journal of Multivariate Analysis, 62, 273-309 (1997)

2. "A new bandwidth selector in Hazard Estimation", Journal of Nonparametric Statistics, 10, 137-182 (1999)

3. "Lower bounds in Bandwidth Selection in Hazard Estimation », Journal of Nonparametric Statistics, , 13, 515-567(2001).

4. “Nonparametric estimation of Competing Risks models with covariates”, Journal of Multivariate Analysis, 85, 156-191 (2003).

5. ”Nonparametric estimation of copulas for time series” (2003), with O. Scaillet, Journal of Risk 5, No 4, 25-54(2003).

6. “A nonparametric Simulated Maximum Likelihood estimation method”, with B. Salanié, Econometric Theory, 20, 701-734 (2004).

7.  “Weak convergence of empirical copula processes”, with D. Radulovic and M. Wegkamp, Bernoulli, 10, 847-860 (2004).

8. “Goodness of fit tests for copulas” , J. Multivariate Anal, 95, 119-152 (2005).

9. ”Sensitivity Analysis of VaR and Expected Shortfall for portfolios under netting agreements”, with O. Scaillet, J. Banking Finance. 29, 927-958 (2005).

10. “Some statistical pitfalls in copula modelling for financial applications”, with O. Scaillet, in “Capital Formation, Governance and Banking”, E. Klein (editor), 59-74, Nova Science Publ. (2005).

11. “Estimation of a reduced-form credit portfolio model and extensions to dynamic frailties”, with M. Delloye and M. Sbai, Risk, October, 100-105 (2005). 

12.  “The estimation of copulas : thery and practice”, with A. Charpentier and O. Scaillet, in “Copulas, from theory to application in Finance”, J. Rank (editor), Risk Books (2006).

13. “A comparative analysis of dependence levels in intensity-based and Merton-style credit risks models”, with M. Sbai, in “Advances in Risk Management”, G. Gregoriou (editor), Macmillan (2006).

14. “Kernel estimation of Greek weights by parameter randomization”, with R. Elie and N. Touzi. Annals of Applied Probability, 1399-1423, 17 (2007)

15. "An empirical Central Limit Theorem with applications to copulas under weak dependence", with P. Doukhan and G. Lang. Statistical Inference of Stochastic Processes 12, 65-87 (2009).   

16. "Pricing and Hedging in the Gaussian copula", with O. Vigneron. Risk, 92-96 (2010) February

17. “Another view on the pricing of MBS, ABS and CDO of ABS”, in Lessons from the Financial Crisis, Arthur Berd (ed), 319-346, Risk Books (2010).

18. "Hedging default risks of CDOs in Markovian contagion models", with J.-P. Laurent and A. Cousin. Quantitative Finance 11, 1773-1791 (2011).

19. "Volatility Strategies for Global and Country Specific European Investors", with M. Brière, H. Malongo and O. Signori. Bankers, Markets & Investors 121, 17-29 (2012).

20. "Time-dependent copulas", with M. Wegkamp. Online since 2006. Journal of Multivariate Analysis 110, 19-29 (2012).

21. "An overview of the goodness-of-fit test problem for copulas", in "Copulae in Mathematical and Quantitative Finance", P. Jaworski, F. Durant and W. Härdle (ed.), Springer (2013).

22. "A top-down approach to Asset-Backet Securities: a consistent way of managing prepayment, default and interest risk", Journal of Real Estate, Finance & Economics, 46(3), 480-515 (2013).

23. “On break-even correlation: the way to price structured credit derivatives by replication”, with O. Vigneron. Quantitative Finance 15, 829-840 (2015). Online since 2013. [published version]

24. "The limits of Granularity Adjustments". Journal of Banking and Finance 45, 9-25 (2014).

25. "An Asymptotic Total Variation test for copulas", with D. Radulovic and M. Wegkamp. Bernoulli 21(3), 1911-1945 (2015).

26. "On the stationarity of Dynamic Conditional Correlation models", with H. Malongo. Econometric Theory 33(3), 636-663 (2017).

27. "The behavior of dealers and clients on the European corporate bond market: the case of multi-dealer-to-client platforms", with O. Guéant and J. Pu. Market Microstructure and Liquidity Vol.2, No 3, 1750004 (2017).  

28. "About tests of the “simplifying” assumption for conditional copulas", with A. Derumigny. Dependence Modeling 5, 154-197 (2017). 

29. "Multi-factor Granularity Adjustments for market and counterparty risks", with C. Florentin. Journal of Risk 20(6), 1-27 (2018). 

30. "Single-index copulae", with O. Lopez. Journal of Multivariate Analysis 165, 27-55 (2018).

31. "Dynamic asset correlations based on vines", with B. Poignard. Econometric Theory 1-31 (2018). Online.

32. "On the link between volatilities, switiching probabilities and correlation dynamics" with H. Malongo. Annals of Economics and Statistics, 131, 1-24 (2018).

33. "Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series" with A. Bücher and I. Kojadinovic. Journal of Time series Analysis. Online. Doi: 10.111/jtsa.12431 (2018).

34. "A classification point-of-view about conditional Kendall's tau" with A. Derumigny. Computational and Data Analysis 135, 70-94 (2019).

35. "On kernel-based estimation of conditional Kendall's tau: finie distance bounds and asymptotic behavior" with A. Derumigny. Dependence Modeling 7, 292-321 (2019).

36. "On Kendall's regression" with A Derumigny. Journal of Multivariate Analysis 178 (2020). 

37. "On the dependence between default risk and recovery rates in structural models", Annals of Economics and statistics 140 45-82 (2020)

38. "High dimensional penalized ARCH processes" with B. Poignard. Econometric Reviews 40(1) 86-107 (2021)

39. "The finite sample properties of sparse M-estimators with pseudo-observations" with B. Poignard. Annals of the Institute of Statistical Mathematics (2021)

40. "A corrected Clarke's test for model selection and beyond", with F. Brueck and A. Min (2022). To appear in Journal of Econometrics

41. "Estimation of copulas via Maximum Mean Discrepancy", with P. Alquier, B. Chérief-Abdellatif and A. Derumigny (2022). To appear in Journal of the American Statistical Association.

42. "Identifiability and estimation of meta-elliptical copula generators", with A. Derumigny (2022). To appear in Journal of Multivariate Analysis.

Publications in Economics

1. "La durée du travail à temps complet", with M-P. Baésa, Insee Première 545 (1997)

2. "Durées et rythmes de travail en 1995", Données sociales, INSEE (1999)

3. "Les horaires de travail dans le couple", with S. Lagarde, Economie et Statistiques, 321-322, 89-110 (1999)

4. "Les rythmes de travail hors normes", with P. Boisard, Economie et Statistiques, 321-322, 111-132 (1999)

5. "Réduction collective ou individuelle du temps de travail : que souhaitent les salariés ?", with B. Galtier and S. Lagarde, Economie et Statistiques, 321-322, 161-185 (1999)

6. "La durée du travail et les horaires dans les services marchands", in Synthèses 24 "L'emploi dans les services marchands", INSEE (1999)

7. "Le temps de travail des cadres", Insee Première, 671 (1999)

Other publications

1. "In defence of the Gaussian copula", Creditflux, may 2011, 20-21.

2.  "Les stress-test : de la théorie à la pratique", Banque Stratégie, 282, 8-10 (2010).

3. "Quelles compétences pour le risk manager de demain", with P. Biscourp, Banque, 721, 75-77 (2010).

4. "Transformer les dérivés de crédit en actifs dignes de confiance", in "20 propositions pour réformer le capitalisme", pp. 119-130, G. Giraud & C. Renouard (ed.), Flammarion (2009)

5. "Améliorer le contrôle des risques", in "20 propositions pour réformer le capitalisme", pp. 153-164, G. Giraud & C. Renouard (ed.), Flammarion (2009)

6. "La rénovation de la nomenclature des professions et catégories socio-professionnelles", in Les professions et leur sociologie, P-M Menger (ed.), Editions de la Maison des Sciences de l’Homme (2003).

My thesis

"Contributions à l'Analyse Nonparamétrique des Fonctions de Hasard sur Données Multivariées et Censurées",Thesis, 1998.

Teaching

Past and current courses at ENSAE :

· Estimation and an introduction to the theory of tests (2nd year),

· Duration Models (3rd year): pdf version, or ps version.

· Nonlinear Econometrics (3rd year)

- Introduction to Risk Management (3rd year)

- Copulas and Applications in Finance (3rd year)

- Credit Derivatives (3rd year)

- Machine learning for finance (3rd year)

Work in progress

"Agents' behavior on Multi-Dealer-to-Client bond trading platforms" with O. Guéant and A. Rachez (2015).

"Estimation of copulas via Maximum Mean Discrepancy", with P. Alquier, B. Cherief-Abdelatif, A. Derumigny (2020) arXiv:2010.00408

"Identifiability and estimation of meta-elliptical copula generators", with A. Derumigny (2021) arXiv:2106.12367 

"Testing for equality between conditional copulas given discretized conditioning events", with A. Derumigny and A. Min (2021) arXiv:2008.09498 

"Le centre de la Recherche en Économie et Statistique ne peut être tenu responsable pénalement des infractions aux lois que pourrait contenir cette page personnelle qui est sous la responsabilité de son auteur."