Working Papers
Credit Risk & Derivatives
Working papers
The role of CDS spreads in explaining bond recovery rates with Barbagli, Matteo, François, Pascal and Gauthier, Geneviève (2024) - LFIN DP 2024/02
Business cycles and realized losses in the consumer credit industry with Roccazzella, Francesco and Distaso, Walter (2023) - LFIN DP 2023/07
On the optimal combination of naive and mean-variance portfolio strategies with Lassance, Nathan and Vanderveken, Rodolphe (2022) - LFIN DP 2022/06
A general firm-value model under partial information with Mbaye, Cheikh and Sagna, Abass (2022) - LFIN DP 2022/09
Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default with Barbagli, Matteo (2021)- LFIN DP 2021/09
Asymmetric short-rate model without lower bound with Wang, Linqi (2021) - LFIN DP 2021/06
Affine term-structure models: A time-changed approach with perfect fit to market curves with Mbaye, Cheikh (2019)
Machine Learning in Finance
Working papers
The role of CDS spreads in explaining bond recovery rates with Barbagli, Matteo, Gauthier, Geneviève and François, Pascal (2024) - LFIN DP 2024/02
Business cycles and realized losses in the consumer credit industry with Distaso, Walter and Roccazzella, Francesco (2023) - LFIN DP 2023/07
Meta-learning approaches for recovery rate prediction with Gambetti, Paolo and Roccazzella, Francesco (2020) - LFIN DP 2020/07
Optimal and robust combination of forecasts via constrained optimization and shrinkage wih Roccazzella, Francesco and Gambetti, Paolo (2020) - LFIN DP 2020/06
Portfolio strategies & investment
Working papers
Portfolio selection : a target distribution approach with Lassance, Nathan (2021) - LFIN DP 2021/05
Robust portfolio selection using sparse estimation of comoment tensors with Lassance, Nathan (2019)
Optimal Portfolio Diversification via Independent Component Analysis with DeMiguel, Victor and Lassance, Nathan (2021) - LFIN DP 2021/14