Bel-20 Index (Brussels)

in Wankel, Charles (Ed.) Encyclopedia of Business in Today's World (2008)

International Securities Identification Numbering (ISIN)

in Wankel, Charles (Ed.) Encyclopedia of Business in Today's World (2008)

An X Ray of Money Market Fund Risks

in Treasury Management International Magazine (2008)

Dynamic Style Analysis with Errors in Variables

Master of advanced studies dissertation (2007)

This paper revisits the traditional return-based style analysis (RBSA) in presence of time-varying exposures and errors in variables. We apply a selection algorithm using the Kalman filter to identify the ... [more ▼]

This paper revisits the traditional return-based style analysis (RBSA) in presence of time-varying exposures and errors in variables. We apply a selection algorithm using the Kalman filter to identify the more appropriate benchmarks and we compute their corresponding higher moment estimators (HME), i.e. the measurement error series introducing the (cross) moments of order three and four. Then, we retain the most significant HME and we add them to the selected benchmarks. Therefore, we obtain the most relevant benchmarks with none, some or all their HME as benchmarks explaining the analyzed fund return. We finally run the Kalman filter on the principal components of this set of selected benchmarks to avoid multicollinearity problems. Analysing EDHEC alternative indexes styles, we show that this technique improves the factor loadings and permits to identify more precisely the return sources of the considered fund. [less ▲]

Analyse de l’intégration de produits dérivés dans un référentiel rendement-risque

Master's dissertation (2006)

We present a model which aims at integrating derivatives into a portfolio management tool, taking into account the first four moments of the distributions of the assets it analyzes. We propose a new ... [more ▼]

We present a model which aims at integrating derivatives into a portfolio management tool, taking into account the first four moments of the distributions of the assets it analyzes. We propose a new approach by regarding any optional asset as a portfolio made up of four basic assets which duplicates perfectly its payments. In order to preserve the first four moments of the distributions of the basic assets, we build the quadrinomial trees of their future evolution. In addition to the tree of the underlying asset calibrated on its historical values and the tree of the riskless asset, we build the quadrinomial trees of two European-style puts to fill out our market (Ross, 1976). We force the risk-neutral probabilities to be nonnegative in order to correct the trees of the two additional options and exclude arbitrage opportunities created by their valuation using the Black and Scholes formula (1973). We build the quadrinomial tree of the optional asset according to these risk-neutral probabilities. We determine, starting from the trees produced, the sensitivities (deltas) of the optional asset with respect to each one of its basic assets over the first period of the tree. These values allow us to deduct the weight of each basic asset in the replication portfolio. We then obtain a linear function between the optional asset’s return and the returns of its basic assets. We calculate the moments and co-moments of the historical returns of each basic asset to establish the moments of the optional asset, and in addition its co-moments with the market. We then present a concrete implementation of the model and three of its potential applications: the calculation of the VaR of an optional asset, the creation of a portfolio with guaranteed capital and the integration of an optional asset into an unspecified portfolio. [less ▲]