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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
The Journal of Portfolio Management 36 (4), 60-70, 2010
7442010
Copulas for finance-a reading guide and some applications
E Bouyé, V Durrleman, A Nikeghbali, G Riboulet, T Roncalli
Available at SSRN 1032533, 2000
6662000
Introduction to risk parity and budgeting
T Roncalli
CRC Press, 2013
2622013
Which copula is the right one?
V Durrleman, A Nikeghbali, T Roncalli
Available at SSRN 1032545, 2000
2562000
Loss distribution approach for operational risk
A Frachot, P Georges, T Roncalli
Available at SSRN 1032523, 2001
2492001
Loss distribution approach in practice
A Frachot, O Moudoulaud, T Roncalli
Risk Books, 2004
2082004
Multivariate survival modelling: a unified approach with copulas
P Georges, AG Lamy, E Nicolas, G Quibel, T Roncalli
Available at SSRN 1032559, 2001
1202001
The correlation problem in operational risk
A Frachot, T Roncalli, E Salomon
OperationalRisk Risk's Newsletter, 2004
1192004
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
1032002
Risk parity portfolios with risk factors
T Roncalli, G Weisang
Quantitative Finance 16 (3), 377-388, 2016
1012016
Managing risk exposures using the risk budgeting approach
B Bruder, T Roncalli
Available at SSRN 2009778, 2012
902012
La gestion des risques financiers
T Roncalli
Economica, 2009
862009
Revisiting the dependence between financial markets with copulas
A Costinot, T Roncalli, J Teiletche
Available at SSRN 1032535, 2000
812000
Mixing internal and external data for managing operational risk
A Frachot, T Roncalli
Available at SSRN 1032525, 2007
752007
Maximum likelihood estimate of default correlations
P Demey, JF Jouanin, C Roget, T Roncalli
Available at SSRN 1032590, 2004
70*2004
Risk-based indexation
P Demey, S Maillard, T Roncalli
Available at SSRN 1582998, 2010
642010
Copulas: an open field for risk management
E Bouyé, V Durrleman, A Nikeghbali, G Riboulet, T Roncalli
Available at SSRN 1032557, 2001
632001
An alternative approach to alternative beta
T Roncalli, J Teiletche
Available at SSRN 1035521, 2007
572007
Risk management lessons from Madoff fraud
P Clauss, T Roncalli, G Weisang
Credit, Currency, or Derivatives: Instruments of Global Financial Stability …, 2009
562009
A simple transformation of copulas
V Durrleman, A Nikeghbali, T Roncalli
Available at SSRN 1032543, 2000
532000
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