NONPARAMETRIC ESTIMATION OF COMPETING RISKS MODELS WITH COVARIATES
Nowadays, it is well known that default and recovery risks are related to each other. For instance, Carey and Gordy (2004) wrote
arXiv:1405.6905v2 [q-fin.MF] 29 Mar 2016
Monthly default rates, as provided by our model and empirically... | Download Scientific Diagram
Agents' Behavior on Multi-Dealer- to-Client Bond Trading Platforms By Jean-David Fermanian, Oliver Gueant, and Arnaud Rachez Discussant: Zvi Wiener The. - ppt download
Cette semaine, Jean-David FERMANIAN, professeur de finance à l'ENSAE Paris et chercheur au CREST, vous présente l'ingénieur data scientist financier : un... | By ENSAE Paris | Facebook
Jean-David FERMANIAN (Adm, 1994)
arXiv:1204.2251v1 [q-fin.PR] 10 Apr 2012
Cette semaine, Jean-David FERMANIAN, professeur de finance à l'ENSAE Paris et chercheur au CREST, vous présente l'ingénieur data scientist financier : un... | By ENSAE Paris | Facebook
Cette semaine, Jean-David FERMANIAN, professeur de finance à l'ENSAE Paris et chercheur au CREST, vous présente l'ingénieur data scientist financier : un... | By ENSAE Paris | Facebook
Recent Developments in Copula Models
About tests of the “simplifying” assumption for conditional copulas
ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS
Jean-David FERMANIAN | Professor (Full) | École Nationale de la Statistique et de l'Administration Économique, Malakoff | ENSAE | Department of Finance | Research profile
Jean-David Fermanian
A top-down approach for MBS, ABS and CDO of ABS: a consistent way to manage prepayment, default and interest rate risks.
![PDF] A Asymptotic Total Variation Test for Copulas | Semantic Scholar](https://d3i71xaburhd42.cloudfront.net/8ed649f48b046ae4f941d93309efded0794ebeba/13-Figure1-1.png "PDF] A Asymptotic Total Variation Test for Copulas | Semantic Scholar")
PDF] A Asymptotic Total Variation Test for Copulas | Semantic Scholar
CondCopulas: Estimation and Inference for Conditional Copula Models
Jean-David Fermanian | DeepAI
PDF) An empirical central limit theorem with applications to copulas under weak dependence
Agents' Behavior on Multi-Dealer- to-Client Bond Trading Platforms By Jean-David Fermanian, Oliver Gueant, and Arnaud Rachez Discussant: Zvi Wiener The. - ppt download
On kernel-based estimation of conditional Kendall's tau: nite-distance bounds and asymptotic behavior
Jean-David FERMANIAN | Professor (Full) | École Nationale de la Statistique et de l'Administration Économique, Malakoff | ENSAE | Department of Finance | Research profile
