A note on the risk management of CDOs

The purpose of this note is to describe a risk management procedure applicable to options on large credit portfolios such as CDO tranches on iTraxx or CDX. Credit spread risk is dynamically hedged using single name defaultable claims such as CDS while default risk is kept under control thanks to diversification. The proposed risk management approach mixes ideas from finance and insurance and departs from standard approaches used in incomplete markets such as mean-variance hedging or expected utility maximisation. In order to ease the analysis and the exposure, default dates follow a multivariate Cox process.CDOs; default risk; credit spread risk; dynamic hedging; diversification, large portfolios; incomplete markets; Cox process; doubly stochastic Poisson process

French connection.

This item has no abstract.

North by Northwest: What's Wrong with the French Model and How Can the Nordic Model Help. The Nordic Model: Solutions for Continental Europe’s Problems?”, Center for European Studies, Harvard University, May 9-10, 2008..

In this paper, we try to point out some important weaknesses of the contemporary French socialeconomic model, focusing on relevant elements of comparison with Nordic countries. In doing so, we rely on the idea that large and small countries differ in terms of growth and governance strategies. Hence, while the “Nordic model” can be a good revelatory of some of France’s major problems, it is also an ambiguous template for reform. The paper starts by examining the question of growth strategy (macroeconomic management and structural reforms), then goes on to investigate governance strategy (trust, confidence, governance quality) and finally explores the issues of diversity and integration policy.

Electrochemistry of thorium in LiCl-KCl eutectic melts

This work presents a study of the electrochemical properties of Th chloride ions dissolved in a molten LiCl-KCl eutectic, in a temperature range of 693-823 K. Transient electrochemical techniques such as cyclic voltammetry and chronopotentiommetry have been used in order to investigate the reduction mechanism on a tungsten electrode and the diffusion coefficient of dissolved Th ions. All techniques showed that only one valence state was stable in the melt. The reduction into Th metal was found to occur according to a one-step mechanism, through an irreversible reaction controlled by a nucleation process which requires an overpotential of several 100 mV. At 723 K, the diffusion coefficient is DTh(723K) = 3.7 ± 0.2·10-5 cm2.s-1. EMF measurements indicated that, at 723 K, the standard apparent potential is *0ThCl4 /Th) E (723 K) = - 2.582 V vs. Cl2/Cl-, and the activity coefficient γThCl4(723 K) = 8·10-3 on the mole fraction scale (based on a pure liquid reference state)

Investigation of electrorefining of metallic alloy fuel onto solid Al cathodes

This work concerned the electrorefining of UZr and UPuZr alloys on a solid aluminium cathode, in the LiCl-KCl eutectic melt containing U3+, Pu3+, Np3+, Zr2+ or Zr 4+, Am3+, Nd3+, Y3+, Ce3+ and Gd3+ chlorides. During constant current electrolyses, the use of a cathodic cut-off potential (-1.25 V vs. Ag/AgCl) allowed to selectively deposit actinides (mainly U), while lanthanides remainedin the salt. The aim was to determine the maximal load achievable on a single aluminium electrode. The total exchange charge was 4300 C, which represents the deposition of 3.72 g of actinides in 4.17 g Al, yielding a composition of 44.6 wt% An in Al. It was shown that the melting of the cathode contributed to increase the total amount of actinides deposited on the aluminium

Interface tactile pour la saisie de règles dans un système expert flou

International audienceDans de nombreux logiciels d'intelligence artificielle, comme par exemple les systèmes experts, il est nécessaire qu'un utilisateur saisisse des connaissances sous différentes formes. En particulier, dans les systèmes experts flous, il s'agit de règles de la forme SI...ALORS... manipulant des concepts linguistiques plutôt que des opérateurs mathématiques. Nous présentons dans cet article une interface graphique moderne permettant la saisie des règles dans un système expert flou s'appuyant sur l'usage naturel du glisser-déposer sur des surfaces tactiles comme des tablettes

A Bootstrap approach to the price uncertainty of weather derivatives

http://www.actuaries.org/ASTIN/Colloquia/Bergen/Roustant_Laurent_Bay_Carraro.pdfInternational audienceThis paper investigates price uncertainties in weather derivatives contracts through a bootstrap approach. Futures prices are computed under a periodic ARMA model in an actuarial framework for two different locations, Paris and Chicago. We show that statistical errors may lead to substantial uncertainties on futures prices with confidence intervals up to 10% of the assessed prices

Union monétaire et modèle social en Europe : chronique d'une incohérence institutionnelle. Travail décent, politique sociale et développement. Conférence de recherche de l'Institut international d'études sociales, 29 novembre-1er décembre 2006.

Nous examinons dans ce papier la question de la cohérence institutionnelle entre union monétaire et « modèle social» en Europe, c'est-à-dire entre monnaie unique européenne et « modèle bismarckien ». Après avoir rappelé que le traité CEE prévoyait la coexistence de l’intégration économique et des souverainetés sociales, nous montrons que cet équilibre est devenu asymétrique avec la réalisation partielle des « quatre libertés » de circulation du marché unique au cours des années 1990. Les conditions monétaires de la réalisation de l’euro et la politique de change suivie depuis 2000 ont encore accentué la déstabilisation par la monnaie du « modèle bismarckien », en particulier dans les trois « grands » pays continentaux (Allemagne, France et Italie), sous la forme de l’aggravation du chômage de masse et du développement de la concurrence sociale. La monnaie continue aujourd’hui de jouer contre le modèle social dans la zone euro. Nous suggérons donc finalement de sortir de cette incohérence institutionnelle en instituant un véritable contrôle démocratique de la monnaie européenne.