Romain Deguest

IESEG School of Management

Associate Professor

3 rue de la Digue

Lille, 59000

France

http://sites.google.com/view/romaindeguest

SCHOLARLY PAPERS

8

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10,765

SSRN CITATIONS
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SSRN RANKINGS

Top 13,806

in Total Papers Citations

52

CROSSREF CITATIONS

33

Scholarly Papers (8)

1.

Risk Budgeting and Diversification Based on Optimized Uncorrelated Factors

Number of pages: 18 Posted: 11 Aug 2013 Last Revised: 11 Nov 2015
Attilio Meucci, Alberto Santangelo and Romain Deguest
ARPM - Advanced Risk and Portfolio Management, FinScience and IESEG School of Management
Downloads 7,061 (1,214)
Citation 30

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Effective Number of Bets, PCA, Diversification Distribution, Marginal Risk Contributions, Procrustes Problem

2.

Robustness and Sensitivity Analysis of Risk Measurement Procedures

Columbia University Center for Financial Engineering, Financial Engineering Report No. 2007-06
Number of pages: 33 Posted: 24 Jan 2008 Last Revised: 19 Apr 2010
Rama Cont, Romain Deguest and Giacomo Scandolo
University of Oxford, IESEG School of Management and University of Verona - Department of Economics
Downloads 1,012 (28,937)
Citation 41

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risk measure, Value at Risk, statistical estimation, robustness

3.

Default Intensities implied by CDO Spreads: Inversion Formula and Model Calibration

Number of pages: 39 Posted: 13 Aug 2009 Last Revised: 14 Nov 2012
Rama Cont, Romain Deguest and Yu Hang (Gabriel) Kan
University of Oxford, IESEG School of Management and Bloomberg Tradebook
Downloads 820 (38,802)
Citation 6

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Portfolio credit derivatives, collateralized debt obligation, inverse problem, local intensity, default intensity, expected tranche notionals, calibration, CDO tranche

Equity Correlations Implied by Index Options: Estimation and Model Uncertainty Analysis

Number of pages: 35 Posted: 19 Apr 2010
Rama Cont and Romain Deguest
University of Oxford and IESEG School of Management
Downloads 774 (41,410)
Citation 2

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Correlation matrix, basket options, model calibration, inverse problems, Monte Carlo simulations, model uncertainty, Bayesian model averaging, convex duality

Equity Correlations Implied by Index Options: Estimation and Model Uncertainty Analysis

Mathematical Finance, Vol. 23, Issue 3, pp. 496-530, 2013
Number of pages: 35 Posted: 09 Jun 2013
Rama Cont and Romain Deguest
University of Oxford and IESEG School of Management
Downloads 0
Citation 2
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correlation matrix, basket options, model calibration, inverse problems, Monte Carlo simulations, model uncertainty, Bayesian model averaging, convex duality

5.

Loss-Based Risk Measures

Number of pages: 29 Posted: 08 Oct 2011
Rama Cont, Romain Deguest and Xue Dong He
University of Oxford, IESEG School of Management and The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management
Downloads 625 (55,771)
Citation 4

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risk measures, robustness, loss-based risk measures, quantile estimation

6.

Predictive Regressions: A Machine Learning Perspective

Number of pages: 46 Posted: 10 Nov 2020 Last Revised: 11 Nov 2020
Guillaume Coqueret and Romain Deguest
EMLYON Business School and IESEG School of Management
Downloads 288 (137,755)

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Asset Pricing, Predictive Regression, Machine Learning, Estimator Efficiency

7.

Blockchain Adoption and Optimal Reinsurance Design

Number of pages: 34 Posted: 01 Sep 2021 Last Revised: 02 Sep 2021
Georgia State University, IESEG School of Management, SKEMA Business School - Univ Cote d'Azur and Cornell University
Downloads 185 (211,656)

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Blockchain, Nash Equilibrium, Insurance-Reinsurance, Technology Adoption, FinTech

8.

Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions

Posted: 18 Nov 2013
Romain Deguest, Lionel Martellini and Attilio Meucci
IESEG School of Management, EDHEC Business School and ARPM - Advanced Risk and Portfolio Management

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portfolio choice, risk parity, diversification, concentration, principal component analysis