Olivier Scaillet

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Ž . The aim of this paper is to analyze the sensitivity of Value at Risk VaR with respect to portfolio allocation. We derive analytical expressions for the first and second derivatives of the VaR, and explain how they can be used to simplify statistical inference and to perform a local analysis of the VaR. An empirical illustration of such an analysis is(More)
This paper studies times-to-default of individual firms across risk classes. Using Standard & Poor’s ratings database we investigate common drivers of default probabilities and address two shortcomings of many papers in the credit literature. First, we identify relevant determinants of default intensities using business cycle and credit market proxies in(More)
We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Cramér-von Mises test statistic. Finite sample properties are assessed with Monte Carlo experiments. We apply the testing(More)
We aim at accommodating the existing affine jump-diffusion and quadratic models under the same roof, namely the linear-quadratic jump-diffusion (LQJD) class. We give a complete characterization of the dynamics underlying this class of models as well as identification constraints, and compute standard and extended transforms relevant to asset pricing. We(More)
We aim at accommodating the existing affine jump-diffusion and quadratic models under the same roof, namely the linear-quadratic jump-diffusion (LQJD) class. We give a complete characterization of the dynamics of this class of models by stating explicitly a list of structural constraints, and compute standard and extended transforms relevant to asset(More)
Article history: Received 10 December 2011 Received in revised form 16 July 2012 Accepted 17 July 2012 Available online 24 July 2012 This paper shows that managers' personal beliefs and individual characteristics explain a large share of the substantial time-variation of derivative use beyond firm, industry, and market fundamentals. We construct a panel(More)
We develop a new parametric estimation procedure for option panels observed with error. We exploit asymptotic approximations assuming an ever increasing set of option prices in the moneyness (cross-sectional) dimension, but with a fixed time span. We develop consistent estimators for the parameters and the dynamic realization of the state vector governing(More)
In this paper, we present an integrated framework for the measurement and management of market and credit risk in ...xed income portfolios. The framework based on the Mark-to-Future approach promoted by Algorithmics is used to analyze the contribution of market and credit risk to portfolio risk and determine the possible bene...ts of integration. The bonds(More)