RONCALLI Thierry

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Working Paper 6.10.2021 Liquidity Stress Testing in Asset Management - Part 3. Managing the Asset-Liability Liquidity Risk

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions.

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Working Paper 18.05.2021 Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market liquidity) modeling, and the third dimension considers the asset-liability management of the liquidity gap risk (or asset-liability matching).

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Working Paper 26.02.2021 Understanding the Performance of the Equity Value Factor
125

After decades of sound performance, doubts have been cast on the ability of the equity value strategy to keep delivering in the aftermath of the 2008 Global Financial Crisis.

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  • 125
Working Paper
Working Paper 26.01.2021 The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio
91

Like ESG investing, climate change is an important concern for asset managers and owners, and a new challenge for portfolio construction.

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  • 91
Working Paper
Working Paper 5.01.2021 Liquidity Stress Testing in Asset Management - Part 1. Modeling the Liability Liquidity Risk
41

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions.

More > 10 minutes
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  • 41
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Working Paper 26.08.2020 Measuring and Managing Carbon Risk in Investment Portfolios
84

This article studies the impact of carbon risk on stock pricing.

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  • 84
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Working Paper 7.07.2020 Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks
60

In this article, we explore generative models in order to build a market generator. The underlying idea is to simulate artificial multi-dimensional financial time series, whose statistical properties are the same as those observed in the financial markets.

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  • 60
2020-05-IP-ESG factor-Slide
Insights Paper 15.05.2020 ESG & Factor Investing: a new stage has been reached
76

ESG Investing is evolving extremely rapidly, in Europe and abroad.

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  • 76
Pension Funds letter
Letter 12.03.2020 Amundi Pension Funds Letter n°8
88

Expanding Green Fixed Income Markets: Let’s Do It Now!

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  • 88

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