7/03/2025 Sustainable Finance Climate-Related Financial Stress-Testing and Scenarios Valua... The article examines climate-related financial stress testing and scenario valuation using the MIT EPPA model to assess the impact of emission mitigation...
10/05/2024 Portfolio Allocation Stock-Bond Correlation: Theory & Empirical Results In this study, we provide an overview of stock-bond correlation modeling.
29/02/2024 Sustainable Finance Modeling the Links Between Economic Growth, Socio-economic D... Dive into the nexus of demographics, biodiversity, climate change, political stability, and inequality shaping GDP growth globally. Explore how non-financial...
18/11/2022 Portfolio Allocation Incorporating ESG Risk In Fundamental Market Risk Models This paper investigates the possible impact of ESG Risk when incorporated into front office driven Fundamental Market Risk Measurement approaches.
4/10/2022 Asset Pricing & Behavioural Finance Fast Filtering with Large Option Panels: Implications for As... The cross-section of options holds great promise for identifying return distributions and risk premia, but estimating dynamic option valuation models...
4/10/2018 Portfolio Allocation Tail Risk Adjusted Sharpe Ratio The Sharpe Ratio has become a standard measure of portfolio management performance, taking into account the risk side. In that framework, the consideration...
19/06/2018 Portfolio Allocation Portfolio Allocation with skewness risk: A practical guide In this article, we show how to take into account skewness risk in portfolio allocation.
18/10/2016 Portfolio Allocation Factor-Based v. Industry-Based Asset Allocation: The Contest This paper organizes a multi-trial contest opposing factor investing and sector investing.
14/01/2015 Asset Pricing & Behavioural Finance Option Pricing under Skewness and Kurtosis using a Cornish F... This paper revisits the pricing of options, in a context of financial stress, when the underlying asset’s returns displays skewness and excess kurtosis.