A top-down approach for MBS, ABS and CDO of ABS: a consistent way to manage prepayment, default and interest rate risks.
Jean-David Fermanian
20-21 1105 analysis technical.indd
arXiv:1204.2251v1 [q-fin.PR] 10 Apr 2012
Department Colloquium Summer 2019 - Department Colloquium - Department - News & Events - TUM Mathematik
6 Histogram of the losses in the α-stable intensity based model | Download Scientific Diagram
Monthly default rates, as provided by our model and empirically... | Download Scientific Diagram
Jean-David FERMANIAN | Professor (Full) | École Nationale de la Statistique et de l'Administration Économique, Malakoff | ENSAE | Department of Finance | Research profile
About tests of the “simplifying” assumption for conditional copulas
AE&S No 131 – Annals of Economics and Statistics
Recent Developments in Copula Models
Fermanian | Freakonometrics
Paroles de prof: Jean-David Fermanian, professeur de finance, chercheur au CREST - ENSAE Paris - École d'ingénieurs pour l'économie, la data science, la finance et l'actuariat
Cette semaine, Jean-David FERMANIAN, professeur de finance à l'ENSAE Paris et chercheur au CREST, vous présente l'ingénieur data scientist financier : un... | By ENSAE Paris | Facebook
![PDF] A Asymptotic Total Variation Test for Copulas | Semantic Scholar](https://d3i71xaburhd42.cloudfront.net/8ed649f48b046ae4f941d93309efded0794ebeba/13-Figure1-1.png "PDF] A Asymptotic Total Variation Test for Copulas | Semantic Scholar")
PDF] A Asymptotic Total Variation Test for Copulas | Semantic Scholar
Agents' Behavior on Multi-Dealer- to-Client Bond Trading Platforms By Jean-David Fermanian, Oliver Gueant, and Arnaud Rachez Discussant: Zvi Wiener The. - ppt download
CondCopulas: Estimation and Inference for Conditional Copula Models
Agents' Behavior on Multi-Dealer- to-Client Bond Trading Platforms By Jean-David Fermanian, Oliver Gueant, and Arnaud Rachez Discussant: Zvi Wiener The. - ppt download
Jean-David FERMANIAN | Professor (Full) | École Nationale de la Statistique et de l'Administration Économique, Malakoff | ENSAE | Department of Finance | Research profile
Agents' Behavior on Multi-Dealer- to-Client Bond Trading Platforms By Jean-David Fermanian, Oliver Gueant, and Arnaud Rachez Discussant: Zvi Wiener The. - ppt download
Nowadays, it is well known that default and recovery risks are related to each other. For instance, Carey and Gordy (2004) wrote
On kernel-based estimation of conditional Kendall's tau: nite-distance bounds and asymptotic behavior
PDF) An empirical central limit theorem with applications to copulas under weak dependence
Cette semaine, Jean-David FERMANIAN, professeur de finance à l'ENSAE Paris et chercheur au CREST, vous présente l'ingénieur data scientist financier : un... | By ENSAE Paris | Facebook
Some Statistical Pitfalls Financial Applications in Copula Modeling for
Jean-David FERMANIAN | Professor (Full) | École Nationale de la Statistique et de l'Administration Économique, Malakoff | ENSAE | Department of Finance | Research profile
