Eric Bouyé

World Bank

1818 H Street, NW

Washington, DC 20433

United States

SCHOLARLY PAPERS

9

DOWNLOADS
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Top 5,411

in Total Papers Downloads

10,172

SSRN CITATIONS
Rank 16,741

SSRN RANKINGS

Top 16,741

in Total Papers Citations

9

CROSSREF CITATIONS

57

Scholarly Papers (9)

1.

Copulas for Finance - A Reading Guide and Some Applications

Number of pages: 69 Posted: 26 Nov 2007 Last Revised: 03 Apr 2009
World Bank, Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN, Natixis and Amundi Asset Management
Downloads 5,214 (1,989)
Citation 144

Abstract:

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Multivariate distribution, dependence structure, concordance measures, scoring, Markov processes, risk management, extreme value theory, stress testing, operational risk, market risk, credit risk

2.

Portfolio Insurance: A Short Introduction

Number of pages: 22 Posted: 11 Jun 2009 Last Revised: 11 Aug 2009
Eric Bouyé
World Bank
Downloads 2,133 (9,038)
Citation 3

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Portfolio Insurance, CPPI, OBPI, constant-mix, buy-and-hold, options, path-dependent strategy, history of finance, Brady Report, 1987 crisis

3.

Copulas: An Open Field for Risk Management

Number of pages: 8 Posted: 26 Nov 2007
World Bank, Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN, Natixis and Amundi Asset Management
Downloads 951 (31,137)
Citation 12

Abstract:

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Copulas, market risk, credit risk, operational risk

4.

Dynamic Copula Quantile Regressions and Tail Area Dynamic Dependence in Forex Markets

Number of pages: 43 Posted: 21 May 2008
Mark Salmon and Eric Bouyé
University of Cambridge - Faculty of Economics and Politics and World Bank
Downloads 524 (68,669)
Citation 3

Abstract:

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FX market, Efficiency, Copula, Quantile Regression

5.

The Convergence of Sovereign Environmental, Social and Governance Ratings

Number of pages: 40 Posted: 28 Apr 2020 Last Revised: 19 Mar 2021
Eric Bouyé and Diane Menville
World Bank and World Bank
Downloads 326 (119,243)

Abstract:

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ESG, sovereign bonds, ratings

6.

Multivariate Extremes at Work for Portfolio Risk Measurement

Finance, Vol. 23, No. 2, pp. 125-144, 2002
Number of pages: 25 Posted: 23 Sep 2008
Eric Bouyé
World Bank
Downloads 300 (130,312)

Abstract:

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Finance

7.

Measuring the Dependence between Non-Gaussian Financial Assets Using Copulae: Risk Management, Option Pricing and Default Risk

Number of pages: 38 Posted: 23 Sep 2008
Eric Bouyé and Mark Salmon
World Bank and University of Cambridge - Faculty of Economics and Politics
Downloads 297 (131,720)
Citation 1

Abstract:

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Finance

8.

Investing Dynamic Dependence Using Copulae

Number of pages: 31 Posted: 23 Sep 2008
Eric Bouyé, Mark Salmon and Nicolas Gaussel
World Bank, University of Cambridge - Faculty of Economics and Politics and Metori Capital Management
Downloads 243 (161,469)
Citation 6

Abstract:

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Finance, Financial Econumetrics, Copula, Time Series, Non Linear

9.

Why Should We Buy Options? A Graphical Presentation

Number of pages: 16 Posted: 23 May 2009 Last Revised: 23 Jan 2011
Eric Bouyé and Jérôme Ternat
World Bank and affiliation not provided to SSRN
Downloads 184 (209,089)

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options, call, put, call spread, put spread, asian call, path-dependent, anticipations