From Monday to Wednesday, we have the Annual Meeting of the French Economic Association, in Rennes. Interesting people will be around, that will be fun. And Thursday, there is small workshop organized by Donatien, at ESC Rennes.
Gareth Peeters (UCL). Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
Abstract: In this talk we assume a multivariate risk model has been developed for a portfolio and its capital derived as a homogeneous risk measure. The Euler (or gradient) principle, then, states that the capital to be allocated to each component of the portfolio has to be calculated as an expectation conditional to a rare event, which can be challenging to evaluate in practice. We exploit the copula-dependence within the portfolio risks to design a Sequential Monte Carlo Samplers based estimate to the marginal conditional expectations involved in the problem, showing its efficiency through a series of computational examples.
Guillaume Bagnarosa (ESC Rennes). Non-synchronicity and risk neutral information.
Abstract: The pricing of numerous financial derivatives rests on the hypothesis of complete markets which relies in turn on the existence of the price information but also and more importantly on its quality. While industry and academics generally assume that the available asset bid-ask spread mid-price corresponds to the asset fair price, in this talk we will highlight several micro-structure sources of noise which lead undoubtedly to measurement errors. We will notably focus on one of them which is arising from the non-synchronicity of the information flows.
Arthur Charpentier (UQAM & Rennes I). Multivariate Archimax copulas.
Abstract: A multivariate extension of the bivariate class of Archimax copulas was recently proposed by Mesiar and Jágr (2013), who asked under which conditions it holds. This presentation will answer their question and provides a stochastic representation of multivariate Archimax copulas. A few basic properties of these copulas are explored, including their minimum and maximum domains of attraction. Several non-trivial examples of multivariate Archimax copulas will also be also provided.
Donatien Hainaut (ESC Rennes). A model for interest rates with clustering effects
Abstract: This paper proposes an extension of the Hull & White model for short term rates that is led by a self-exciting jump process. The purpose is to capture the clustering of shocks on euro interbank overnight rates (EONIA). The key element of this model is the feedback effect between the absolute value, and the intensity of these jumps. In this setting, we obtain a closed form solution for the characteristic function of interest rates and of their integral. The question of bonds and derivatives pricing is developed and a numerical algorithm is proposed to evaluate caplets. Finally, the model is fitted to EONIA rates from 2004 to 2014, by a “peaks over threshold” procedure.