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Thierry Roncalli
Thierry Roncalli
Head of Quantitative Research, Amundi; Affiliate Professor, University of Evry
Verified email at amundi.com - Homepage
Title
Cited by
Cited by
Year
The properties of equally weighted risk contribution portfolios
S Maillard, T Roncalli, J Teïletche
Journal of Portfolio Management 36 (4), 60, 2010
9312010
Copulas for finance-a reading guide and some applications
E Bouyé, V Durrleman, A Nikeghbali, G Riboulet, T Roncalli
Available at SSRN 1032533, 2000
7182000
Introduction to risk parity and budgeting
T Roncalli
CRC Press, 2013
3392013
Which copula is the right one?
V Durrleman, A Nikeghbali, T Roncalli
Available at SSRN 1032545, 2000
2882000
Loss distribution approach for operational risk
A Frachot, P Georges, T Roncalli
Available at SSRN 1032523, 2001
2702001
Loss distribution approach in practice
A Frachot, O Moudoulaud, T Roncalli
Risk Books, 2004
2162004
Risk parity portfolios with risk factors
T Roncalli, G Weisang
Quantitative Finance 16 (3), 377-388, 2016
1412016
Multivariate survival modelling: a unified approach with copulas
P Georges, AG Lamy, E Nicolas, G Quibel, T Roncalli
Available at SSRN 1032559, 2001
1362001
Managing risk exposures using the risk budgeting approach
B Bruder, T Roncalli
Available at SSRN 2009778, 2012
1282012
The correlation problem in operational risk
A Frachot, T Roncalli, E Salomon
OperationalRisk Risk's Newsletter, 2004
1222004
Internal data, external data and consortium data for operational risk measurement: How to pool data properly
N Baud, A Frachot, T Roncalli
Groupe de Recherche Operationnelle, Credit Lyonnais, France, 1-18, 2002
1082002
La gestion des risques financiers
T Roncalli, A Frachot
Economica, 2004
1032004
Revisiting the dependence between financial markets with copulas
A Costinot, T Roncalli, J Teiletche
Available at SSRN 1032535, 2000
882000
Mixing internal and external data for managing operational risk
A Frachot, T Roncalli
Available at SSRN 1032525, 2007
802007
Maximum likelihood estimate of default correlations
P Demey, JF Jouanin, C Roget, T Roncalli
Available at SSRN 1032590, 2007
72*2007
Copulas: an open field for risk management
E Bouyé, V Durrleman, A Nikeghbali, G Riboulet, T Roncalli
Available at SSRN 1032557, 2001
682001
Risk-based indexation
P Demey, S Maillard, T Roncalli
Available at SSRN 1582998, 2010
662010
Machine learning optimization algorithms & portfolio allocation
S Perrin, T Roncalli
Machine Learning for Asset Management: New Developments and Financial …, 2020
642020
ESG investing in recent years: New insights from old challenges
A Drei, T Le Guenedal, F Lepetit, V Mortier, T Roncalli, T Sekine
Available at SSRN 3683469, 2019
632019
How ESG investing has impacted the asset pricing in the equity market
L Bennani, T Le Guenedal, F Lepetit, L Ly, V Mortier, T Roncalli, T Sekine
Available at SSRN 3316862, 2018
622018
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