Hedging tranches index products : illustration of model dependency

In this paper, index tranches'properties and several hedging strategies are discussed. Model risk and correlation risk are analysed through the study of the efficiency of several factor based copula models, like the Gaussian, the double-t and the double NIG using implied correlation and a particular NIG one factor model, using historical data in terms of hedging capabilities.CDO – Factor models – NIG distribution

Hedging tranches index products : illustration of model dependency

International audienceIn this paper, index tranches'properties and several hedging strategies are discussed. Model risk and correlation risk are analysed through the study of the efficiency of several factor based copula models, like the Gaussian, the double-t and the double NIG using implied correlation and a particular NIG one factor model, using historical data in terms of hedging capabilities

Synthetic CDO Squared Pricing Methodologies

International audienceWe propose two different methodologies for the pricing of CDO squared and by extension for the risk management of funds of CDO tranches. The first methodology is based on a drill-down approach whereas the second one is based on a "correlation of correlation" approach. Our purpose is to be consistent with the inner CDOs characteristics because of several issues that need to be addressed. The correlation "skew" of each underlying inner CDO must be reproduced. The outer correlation, the correlation of joint loss distributions, among the losses of the inner CDOs must be considered. The outer correlation, which can be interpreted as a global correlation "skew", depends on the overlapping characteristics, the spread level and recovery rate assumptions for each credit in the portfolio, and the correlation structure among the credits. We demonstrate that using these approaches we can obtain a very good proxy for complex structures prices in the correlation market. Nevertheless we have to mention some theoretical drawbacks. The drill-down methodology is consistent with the outer correlation but assumes that prices of the inner tranches are driven by the same market correlation "skew". The "correlation of correlation" approach is consistent with inner tranches pricing but not with the outer correlation. We also illustrate the fact that the pricing should be very sensitive to the level of outer correlation when we use the "correlation of correlation" methodology. We demonstrate that using these two methodologies we can now efficiently price CDO squared and risk manage funds of CDO tranches

Gamification and social comparison processes in electronic brainstorming

Gamification can be seen as the intentional use of game design elements in nongame tasks, in order to produce psychological outcomes likely to influence behaviour and/or performance. In this respect, we hypothesize that gamification would produce measurable effects on user performance, that this positive impact would be mediated by specific motivational and attentional processes such as flow and that gamification would moderate the social comparison process. In three experimental studies, we examine the effects of gamified electronic brainstorming interfaces on fluency, uniqueness and flow. The first study mainly focuses on time pressure, the second on performance standard and the third one introduces social comparison. The results highlight some effects of the gamified conditions on brainstormin

Actions speak louder than looks: The effects of avatar appearance and in-game actions on subsequent prosocial behavior

Several experimental studies in recent years have shown an effect of the appearance of embodied avatars in a digital environment on subsequent behaviors in unrelated context. However, such studies often focus exclusively on the appearance of avatars, and do not consider the nature of the behavior carried out in-game. This article presents an experiment exploring the combined effects of avatar appearance and in-game behavior on subsequent prosocial behavior in an unrelated task. 120 undergraduate students from a medical and health sciences course traversed a digital environment in a roleplaying game, battling opponents (“mobs”) along the way. Using a factorial design, participants embodied either a heroic or a villainous avatar, and battled good or evil mobs. Results show that mob appearance, but not avatar appearance, affected prosocial behavior in a subsequent unrelated task. Participants having battled negative-looking mobs tended to exhibit more prosocial behavior than those having battled positive-looking mobs. These results, highlighting the potential of avatar’s behavior to influence user’s subsequent behavior, are discussed in terms of self-perception, theoretical insight and research on the Proteus effect

Nanoélectrorhéologie

Rapport final ANR - ACI Nanosciences, Projet N° NR085. 40 page

Nanofluides électrorhéologiques: élaboration et caractérisation

Conférence Matériaux 2006 Dijon, Communication N° 1-0724, 9 pages

Etat d'avancement du projet Nanoélectrorhéologie (ACI NR 085)

Journées nationales nanosciences Besanço

Progrès récents en électrorhéologie : les fluides ER à base de nanoparticules

5ème Conférence de la Société Française d'Electrostatique Grenobl

De nouvelles perspectives pour les fluides électrorhéologiques : l'effet ER géant

International audienc