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Sofiane
Aboura
Université de Paris XIII Sorbonne Paris Cité
Systematic credit risk: CDX index correlation and extreme dependence, 2008, Credit Risk: Models, Derivatives, and Management, Financial Mathematics Series, 20, Chapman & Hall / CRC, Boca Raton, London, New York, with N. Wagner.
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JULIEN
MESSIAS
UNCIA AM / Paris Dauphine University
U.S. Small Caps: Smoke And Mirrors
The aim of this quick study is to check whether the well-known outperformance of US small caps over US large caps:
-Is true?
-Is persistent with respect to market timing?
-Is persistent with respect to internal selectivity within the index?
Every investor - rookie or experience - already would have heard about the well-known, small caps' outperformance. The topic is not as simple as it seems to be. It has to be followed very cautiously. This article is an attempt to give readers some major keys, enabling them to avoid expensive mistakes.
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Manjunath
B.G.
Universidade de Lisboa, CEAUL
Gomes M.I., F. Caeiro, L. Henriques-Rodrigues and B.G. Manjunath (2016) "Bootstrap methods in statistics of extremes" published in Extreme events in finance: a handbook of extreme value theory and its applications edited by F. Longin, Wiley.
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Jacques
Ninet
La Française des Placements
2016. SRI 2.0: More than a Makeover ? A Fundamental Reformulation. in" Critical Studies on Corporate Responsibility, Governance and Sustainability" edited by BPAranque et R perez. Emerald
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Jean-Michel
Blanquer
ESSEC Business School
Bertrand M., J.-M. Blanquer, A. Coppolani et I. Vagnoux (2016) "Les Amériques" Tomes 1 et 2, Editions Bouquins - Robert Laffont.
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François
M. Longin
ESSEC Business School
Longin F. (1996) "The asymptotic distribution of extreme stock market returns" Journal of Business, N°63, pp 383-408.
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Maxime
Laot
European Central Bank
Laot M. (2016) "Managing operational risk in the banking business - An internal auditor point of view" published in Extreme events in finance: a handbook of extreme value theory and its applications edited by F. Longin, Wiley.
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Serguei
Novak
Middlesex University London
Novak S.Y. (2016) "Measures of financial risk" published in Extreme events in finance: a handbook of extreme value theory and its applications edited by F. Longin, Wiley.
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Sai
N. Pranav
SSSIHL
(Title: The Determination of Exchange Rate in India: An Emprical Investigation
Author: Sivakiran Guptha, K. and Sai Pranav
Page No.: 649 to 654)
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Jean-Michel
Blanquer
ESSEC Business School
Blanquer J.-M. (2016) "L'école de demain : propositions pour une éducation nationale rénovée" Editions Odile Jacob.
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