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)
Established at the initiative of the Swiss Bankers' Association, the Swiss Finance Institute is a private foundation funded by the Swiss banks and SWX. It merges 3 existing foundations: the International Center FAME, the Swiss Banking School and the Stiftung "Banking and Finance" in Zurich. With its university partners, the Swiss Finance Institute pursues(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)
The International Center for Financial Asset Management and Engineering (FAME) is a private foundation created in 1996 at the initiative of 21 leading partners of the finance and technology community together with three Universities of the Lake Geneva Region Fame is about research, doctoral training, and executive education with " interfacing " activities(More)
The International Center for Financial Asset Management and Engineering (FAME) is a private foundation created in 1996 at the initiative of 21 leading partners of the finance and technology community together with three Universities of the Lake Geneva Region Fame is about research, doctoral training, and executive education with " interfacing " activities(More)
We analyze the joint convergence of sequences of discounted stock prices and Radon-Nicodym derivatives of the minimal martingale measure when interest rates are stochastic. Therefrom we deduce the convergence of option values in either complete or incomplete markets. We illustrate the general result by two main examples: a discrete time i.i.d. approximation(More)
Standard testing approaches designed to identify funds with non-zero alphas do not account for the presence of lucky funds. Lucky funds have a significant estimated alpha, while their true alpha is equal to zero. This paper quantifies the impact of luck with new measures built on the False Discovery Rate (FDR). These FDR measures provide a simple way to(More)
The International Center for Financial Asset Management and Engineering (FAME) is a private foundation created in 1996 at the initiative of 21 leading partners of the finance and technology community together with three Universities of the Lake Geneva Region Fame is about research, doctoral training, and executive education with " interfacing " activities(More)