Jean-David Fermanian

Ensae-Crest

Professor of Finance and Statistics

92245 Malakoff Cedex

France

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 15,197

SSRN RANKINGS

Top 15,197

in Total Papers Downloads

4,340

SSRN CITATIONS
Rank 21,728

SSRN RANKINGS

Top 21,728

in Total Papers Citations

32

CROSSREF CITATIONS

14

Scholarly Papers (14)

1.

Nonparametric Estimation of Copulas for Time Series

FAME Research Paper No. 57
Number of pages: 37 Posted: 12 Mar 2003
O. Scaillet and Jean-David Fermanian
Swiss Finance Institute - University of Geneva and Ensae-Crest
Downloads 1,342 (19,191)
Citation 20

Abstract:

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2.

Some Statistical Pitfalls in Copula Modeling for Financial Applications

FAME Working Paper No. 108
Number of pages: 24 Posted: 28 Jun 2004
Jean-David Fermanian and O. Scaillet
Ensae-Crest and Swiss Finance Institute - University of Geneva
Downloads 991 (29,935)
Citation 10

Abstract:

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Copulas, dependence measures, risk management

3.

A Top-Down Approach for MBS, ABS and CDO of ABS: A Consistent Way to Manage Prepayment, Default and Interest Rate Risks

Number of pages: 39 Posted: 18 Aug 2008 Last Revised: 27 Sep 2010
Jean-David Fermanian
Ensae-Crest
Downloads 726 (46,028)
Citation 2

Abstract:

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Asset-backed securities, top-down models, default

4.

Sensitivity Analysis of VAR Expected Shortfall for Portfolios Under Netting Agreements

FAME Research Working Paper No. 89
Number of pages: 40 Posted: 17 Sep 2003
Jean-David Fermanian and O. Scaillet
Ensae-Crest and Swiss Finance Institute - University of Geneva
Downloads 397 (97,319)
Citation 1

Abstract:

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Value at Risk, Expected Shortfall, Sensitivity, Risk Management, Credit Risk, Netting

5.

Volatility Strategies for Global and Country Specific European Investors

Number of pages: 25 Posted: 19 Oct 2011 Last Revised: 27 Oct 2011
Marie Briere, Jean-David Fermanian, Hassan Malongo and Ombretta Signori
Amundi Asset Management, Ensae-Crest, Amundi Asset Management and AXA Investment Managers
Downloads 319 (124,252)
Citation 1

Abstract:

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Investment strategy, Portfolio choice, Conditional Value-at-Risk, Implied volatility, Hedging

6.

On Break-Even Correlation: The Way to Price Structured Credit Derivatives by Replication

Number of pages: 71 Posted: 22 Jun 2009
Olivier Vigneron and Jean-David Fermanian
UBM and Ensae-Crest
Downloads 195 (201,975)
Citation 1

Abstract:

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CDO, replication, delta hedging, structural models.

An Overview of the Goodness-of-Fit Test Problem for Copulas

Number of pages: 29 Posted: 27 Sep 2013
Jean-David Fermanian
Ensae-Crest
Downloads 67 (435,768)
Citation 8

Abstract:

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Copulas, Goodness-of-fit

An Overview of the Goodness-of-Fit Test Problem for Copulas

Number of pages: 29 Posted: 19 Nov 2012
Jean-David Fermanian
Ensae-Crest
Downloads 41 (545,875)

Abstract:

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copulas, goodness-of-fit, bootstrap

8.

Dynamic Asset Correlations Based on Vines

Number of pages: 57 Posted: 07 Feb 2015 Last Revised: 10 Nov 2016
Benjamin Poignard and Jean-David Fermanian
ENSAE-CREST and Ensae-Crest
Downloads 93 (356,017)
Citation 1

Abstract:

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Dynamic Conditional Correlations, Multivariate GARCH, Partial Correlations, Quasi Maximum Likelihood Estimator, Regular vine

9.

The Limits of Granularity Adjustments

Number of pages: 29 Posted: 21 Mar 2013
Jean-David Fermanian
Ensae-Crest
Downloads 89 (366,001)
Citation 1

Abstract:

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credit portfolio model, granularity adjustment, Value-at-Risk, Fourier Transform

10.

On the Dependence Between Default Risk and Recovery Rates in Structural Models

Number of pages: 47 Posted: 10 Oct 2020
Jean-David Fermanian
Ensae-Crest
Downloads 37 (554,593)

Abstract:

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default probabilities, recovery rates, dependence

11.

On the Stationarity of Dynamic Conditional Correlation Models

Number of pages: 34 Posted: 28 May 2014
Jean-David Fermanian and Hassan Malongo
Ensae-Crest and Amundi Asset Management
Downloads 27 (611,688)
Citation 3

Abstract:

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Multivariate dynamic models, conditional correlations, stationarity, DCC

12.

Fair learning with bagging

Number of pages: 51 Posted: 23 Nov 2021
Jean-David Fermanian and Dominique Guegan
Ensae-Crest and Université Paris I Panthéon-Sorbonne
Downloads 16 (689,393)

Abstract:

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fairness, nonparametric regression, classification, accuracy.

13.

Multifactor Granularity Adjustments for Market and Counterparty Risks

Journal of Risk, Forthcoming
Number of pages: 27 Posted: 26 Jul 2018
Jean-David Fermanian and Clement Florentin
Ensae-Crest and affiliation not provided to SSRN
Downloads 0 (832,182)
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Abstract:

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granularity adjustments (GA), value-at-risk (VaR), counterparty risk, market risk, elliptical distributions.

14.

A Top-Down Approach for Asset-Backed Securities: A Consistent Way of Managing Prepayment, Default and Interest Rate Risks

Journal of Real Estate Finance and Economics, Vol. 46, No. 3, 2013
Posted: 16 Feb 2013
Jean-David Fermanian
Ensae-Crest

Abstract:

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asset-backed securities, top-down models, default risk, prepayment