Didier Rullière
An extension of Davis and Lo's contagion model.
Tue, 02/02/2010 - 16:02 — SomNambulAuthors: Didier Rullière, Diana Dorobantu, Areski Cousin
Subjects: Risk Management
AbstractThe present paper provides a multi-period contagion model in the credit risk
field. Our model is an extension of Davis and Lo's infectious default model. We
consider an economy of n firms which may default directly or may be infected by
other defaulting firms (a domino effect being also possible). The spontaneous
default without external influence and the infections are described by not
necessarily independent Bernoulli-type random variables. Moreover, several
contaminations could be required to infect another firm.Les G\'en\'erateurs de Sc\'enarios \'Economiques : quelle utilisation en assurance?.
Thu, 11/19/2009 - 16:01 — SomNambulAuthors: Alaeddine Faleh, Frédéric Planchet, Didier Rullière
Subjects: Risk Management
AbstractIn this paper, we present the principal components of an economic scenario
generator (ESG), both for the theoretical design and for practical
implementation. The choice of these components should be linked to the ultimate
vocation of the economic scenario generator, which can be either a tool for
pricing financial products or a tool for projection and risk management. We
then develop a study on some performance measure indicators of the ESG as an
input for the decision-making process, namely the indicators of stability and
bias absence.
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