Articles de journaux |
Vivien Brunel Operational risk modelled analytically II: classification invariance Article de journal Risk Magazine, on line, 2016. BibTeX @article{BrunelRisk2,
title = {Operational risk modelled analytically II: classification invariance},
author = {Vivien Brunel},
year = {2016},
date = {2016-09-15},
journal = {Risk Magazine, on line},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
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Vivien Brunel Loan Classification under IFRS9 Article de journal Risk Magazine, on line, 2016. BibTeX @article{BrunelRisk1,
title = {Loan Classification under IFRS9},
author = {Vivien Brunel},
year = {2016},
date = {2016-05-10},
journal = {Risk Magazine, on line},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Vivien Brunel; Stéphane Crépey; Monique Jeanblanc Expected Credit Loss vs Credit Value Adjustment: a comparative Analysis Article de journal Bankers Markets Investors, (141), p. 6-18, 2016. BibTeX @article{Brunel2016,
title = {Expected Credit Loss vs Credit Value Adjustment: a comparative Analysis},
author = {Vivien Brunel and Stéphane Crépey and Monique Jeanblanc},
year = {2016},
date = {2016-04-13},
journal = {Bankers Markets Investors},
number = {141},
pages = {6-18},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Vivien Brunel Operational risk modelled analytically Article de journal Risk magazine, 2014. Résumé | Liens | BibTeX @article{Brunel,
title = {Operational risk modelled analytically},
author = { Vivien Brunel},
url = {http://vivienbrunel.free.fr/PublishedPapers/Risk_0714_brunel.pdf},
year = {2014},
date = {2014-06-26},
journal = {Risk magazine},
abstract = {Regulators require banks to use an internal model to compute a capital charge for operational risk, which is thought to be sensitive to assumptions on dependence between losses that still remain a matter of debate. Vivien Brunel proposes an analytical way to quantify this risk, and shows that uniform correlation is a robust assumption for measuring capital charges.},
keywords = {},
pubstate = {published},
tppubtype = {article}
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Regulators require banks to use an internal model to compute a capital charge for operational risk, which is thought to be sensitive to assumptions on dependence between losses that still remain a matter of debate. Vivien Brunel proposes an analytical way to quantify this risk, and shows that uniform correlation is a robust assumption for measuring capital charges. |
Vivien Brunel Consistent capital charges with uncertain default probabilities Article de journal CreditFlux, 2012. BibTeX @article{Brunelbb,
title = {Consistent capital charges with uncertain default probabilities},
author = { Vivien Brunel},
year = {2012},
date = {2012-01-01},
journal = {CreditFlux},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Vivien Brunel Dealing with seller’s risk Article de journal Risk magazine, 2006. Résumé | Liens | BibTeX @article{Brunelbb,
title = {Dealing with seller’s risk},
author = { Vivien Brunel},
url = {http://vivienbrunel.free.fr/PublishedPapers/Seller%20risk.pdf},
year = {2006},
date = {2006-10-01},
journal = {Risk magazine},
abstract = {The risk of trade receivables securitisations comes from both the pool of assets and the seller of the assets. Vivien Brunel develops a model for securitisation exposures that deals with both risks, and analyses in detail the interplay between debtors' risk and seller's risk In contrast with collateralised debt obligations (CDOs), which are now considered as vanilla products, asset securitisations exhibit a large variety of structures and underlying assets.},
keywords = {},
pubstate = {published},
tppubtype = {article}
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The risk of trade receivables securitisations comes from both the pool of assets and the seller of the assets. Vivien Brunel develops a model for securitisation exposures that deals with both risks, and analyses in detail the interplay between debtors' risk and seller's risk In contrast with collateralised debt obligations (CDOs), which are now considered as vanilla products, asset securitisations exhibit a large variety of structures and underlying assets. |
Vivien Brunel Pricing credit derivatives with uncertain default probabilities Article de journal Wilmott Magazine, 2006. Résumé | Liens | BibTeX @article{Brunelbb,
title = {Pricing credit derivatives with uncertain default probabilities},
author = { Vivien Brunel},
url = {http://www.wilmott.com/pdfs/110815_brunel.pdf},
year = {2006},
date = {2006-01-01},
journal = {Wilmott Magazine},
abstract = {One main problem of credit models, as in stochastic volatility models for instance, is that the range of arbitrage prices of risky bonds and credit derivatives is generally very wide. In this article, we present a model for pricing credit spread options in an environment where the rating transition probabilities are uncertain parameters. The transition intensities are assumed to lie between two bounds which can be easily interpreted in the light of the rating agencies’ transition matrices. These bounds are a confidence interval of the rating transition intensities. We show that the bounds of arbitrage prices are solutions of a non-linear partial differential equation. In particular, when using realistic values for the rating transition (default) probabilities, the arbitrage range of credit derivatives prices remains narrow.},
keywords = {},
pubstate = {published},
tppubtype = {article}
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One main problem of credit models, as in stochastic volatility models for instance, is that the range of arbitrage prices of risky bonds and credit derivatives is generally very wide. In this article, we present a model for pricing credit spread options in an environment where the rating transition probabilities are uncertain parameters. The transition intensities are assumed to lie between two bounds which can be easily interpreted in the light of the rating agencies’ transition matrices. These bounds are a confidence interval of the rating transition intensities. We show that the bounds of arbitrage prices are solutions of a non-linear partial differential equation. In particular, when using realistic values for the rating transition (default) probabilities, the arbitrage range of credit derivatives prices remains narrow. |
Vivien Brunel Super-replication problem in a jumping financial market Article de journal Finance : revue de l'Association Française de Finance, 23.2002 (Hors-série), p. 29-45, 2002, ISSN: 0752-6180. Résumé | Liens | BibTeX @article{Brunelbb,
title = {Super-replication problem in a jumping financial market},
author = { Vivien Brunel},
editor = {Presses Universitaires de Grenoble},
url = {http://vivienbrunel.free.fr/PublishedPapers/Jumps.pdf},
issn = {0752-6180},
year = {2002},
date = {2002-09-11},
journal = {Finance : revue de l'Association Française de Finance},
volume = {23.2002},
number = {Hors-série},
pages = {29-45},
abstract = {Incomplete markets are known to worry theoricians because not every contingent claim is replicable ; however, if one can afford it, it is possible to super-replicate. This paper deals with the super-replication problem of any European contingent claim when stock prices and/or volatilities may jump at random dates. We explore a subset of all the equivalent martingale measures that correspond to markovian changes of probability. On this subset, we show that the maximum price for a contingent claim is the viscosity solution of some non linear Hamilton-Jacobi-Bellman equation that can be solved in most cases and we obtain non trivial bounds of the super-replication price in the other cases.},
keywords = {},
pubstate = {published},
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Incomplete markets are known to worry theoricians because not every contingent claim is replicable ; however, if one can afford it, it is possible to super-replicate. This paper deals with the super-replication problem of any European contingent claim when stock prices and/or volatilities may jump at random dates. We explore a subset of all the equivalent martingale measures that correspond to markovian changes of probability. On this subset, we show that the maximum price for a contingent claim is the viscosity solution of some non linear Hamilton-Jacobi-Bellman equation that can be solved in most cases and we obtain non trivial bounds of the super-replication price in the other cases. |
Vivien Brunel; Jérôme Legras On the Optimal growth rate strategy: Long term investment strategies legras brunel Article de journal Banque & Marchés, mars-avril (57), 2002. Résumé | Liens | BibTeX @article{Brunelbb,
title = {On the Optimal growth rate strategy: Long term investment strategies legras brunel},
author = { Vivien Brunel and Jérôme Legras},
url = {http://vivienbrunel.free.fr/PublishedPapers/LongTerm.pdf},
year = {2002},
date = {2002-03-01},
journal = {Banque & Marchés},
volume = {mars-avril},
number = {57},
abstract = {This paper investigates in depth the optimal growth rate strategy as an optimal long-term investment strategy. Following Kelly (1956), we show that it is possible, for an arbitrary probability distribution of stock returns, to choose the optimal equity proportion of a long-term portfolio independently of the investor’s preferences. The resulting portfolio is the optimal growth rate portfolio. We discuss the validity of the asymptotic results when the horizon is finite and show that the suggested criterion performs well. We then examine the risk associated with such a portfolio. We argue that traditional risk measures are ill-suited for long term investment problems and propose to use another measure, the drawdown from maximum, which quantifies the risk that an investment has to be ended prematurely while the market conditions are poor. We then present some empirical investigations on the American stock markets.},
keywords = {},
pubstate = {published},
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This paper investigates in depth the optimal growth rate strategy as an optimal long-term investment strategy. Following Kelly (1956), we show that it is possible, for an arbitrary probability distribution of stock returns, to choose the optimal equity proportion of a long-term portfolio independently of the investor’s preferences. The resulting portfolio is the optimal growth rate portfolio. We discuss the validity of the asymptotic results when the horizon is finite and show that the suggested criterion performs well. We then examine the risk associated with such a portfolio. We argue that traditional risk measures are ill-suited for long term investment problems and propose to use another measure, the drawdown from maximum, which quantifies the risk that an investment has to be ended prematurely while the market conditions are poor. We then present some empirical investigations on the American stock markets. |
Vivien Brunel; Pierre de La Noue Les dérivés de crédit : quelle utilisation ? Article de journal Quants, (40), 2001. Résumé | Liens | BibTeX @article{Brunelbb,
title = {Les dérivés de crédit : quelle utilisation ?},
author = { Vivien Brunel and Pierre de La Noue},
url = {http://vivienbrunel.free.fr/PublishedPapers/QuantsFrench.pdf},
year = {2001},
date = {2001-11-01},
journal = {Quants},
number = {40},
abstract = {La récente prise de conscience de la gestion des risques de crédit a conduit au développement des produits dérivés de crédit, qui permettent de diminuer, partiellement ou totalement, le risque de crédit supporté par une institution financière. La typologie des dérivés de crédit est aujourd’hui très riche, chaque produit étant structuré dans un but bien précis. Ce marché éprouve certaines difficultés à franchir un cap, difficultés liées à la nature même du sous-jacent, à la définition juridique des événements de crédit, et à la complexité de la modélisation. A un moment où la problématique du crédit suscite un grand intérêt avec la réforme du ratio Cooke, ce numéro de Quants a pour but de comprendre, au travers de la diversité des produits, les enjeux du marché des dérivés de crédit, et au travers de ses imperfections, le rôle que peuvent jouer les modèles d’évaluation.},
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pubstate = {published},
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La récente prise de conscience de la gestion des risques de crédit a conduit au développement des produits dérivés de crédit, qui permettent de diminuer, partiellement ou totalement, le risque de crédit supporté par une institution financière. La typologie des dérivés de crédit est aujourd’hui très riche, chaque produit étant structuré dans un but bien précis. Ce marché éprouve certaines difficultés à franchir un cap, difficultés liées à la nature même du sous-jacent, à la définition juridique des événements de crédit, et à la complexité de la modélisation. A un moment où la problématique du crédit suscite un grand intérêt avec la réforme du ratio Cooke, ce numéro de Quants a pour but de comprendre, au travers de la diversité des produits, les enjeux du marché des dérivés de crédit, et au travers de ses imperfections, le rôle que peuvent jouer les modèles d’évaluation. |
Livres |
Vivien Brunel; Roger Benoit Le risque de crédit : des modèles au pilotage de la banque Livre Economica, Paris, France, 2014, ISBN: 978-2-7178-6727-5. Résumé | Liens | BibTeX @book{Brunelb,
title = {Le risque de crédit : des modèles au pilotage de la banque},
author = { Vivien Brunel and Roger Benoit},
url = {http://www.amazon.fr/Risque-Cr%C3%A9dit-Mod%C3%A8les-Pilotage-Banque/dp/2717867279},
isbn = {978-2-7178-6727-5},
year = {2014},
date = {2014-09-01},
publisher = {Economica},
address = {Paris, France},
abstract = {Cet ouvrage présente un état de l art sur les instruments de financement et les méthodes de mesure et de pilotage des risques de crédit dans les banques. Analysant les changements de l environnement suite aux crises survenues entre 2007 et 2012 (crise des subprimes, crise financière, crise des dettes souveraines), il mêle harmonieusement la théorie, la pratique et le contexte économique et réglementaire. La première partie décrit les instruments de dette, les dérivés de crédit et les produits structurés, ainsi que les modèles d évaluation du risque de crédit. La deuxième partie aborde les risques de crédit qu engendre l activité de la banque. Enfin, la troisième partie est consacrée aux outils dont dispose la banque pour piloter son profil de risque et sa rentabilité. Ce livre s adresse aussi bien à un public du monde académique (mastères, écoles de commerce, écoles d ingénieurs) qu au monde professionnel (risk managers, front-office, directions financières...).},
keywords = {},
pubstate = {published},
tppubtype = {book}
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Cet ouvrage présente un état de l art sur les instruments de financement et les méthodes de mesure et de pilotage des risques de crédit dans les banques. Analysant les changements de l environnement suite aux crises survenues entre 2007 et 2012 (crise des subprimes, crise financière, crise des dettes souveraines), il mêle harmonieusement la théorie, la pratique et le contexte économique et réglementaire. La première partie décrit les instruments de dette, les dérivés de crédit et les produits structurés, ainsi que les modèles d évaluation du risque de crédit. La deuxième partie aborde les risques de crédit qu engendre l activité de la banque. Enfin, la troisième partie est consacrée aux outils dont dispose la banque pour piloter son profil de risque et sa rentabilité. Ce livre s adresse aussi bien à un public du monde académique (mastères, écoles de commerce, écoles d ingénieurs) qu au monde professionnel (risk managers, front-office, directions financières...). |
