References of "Hübner, Georges"
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See detailModeling Operational Risk Based on Multiple Experts’ Opinion
Peters, Jean-Philippe; Hübner, Georges ULg

in Gregoriou, Greg (Ed.) Operational Risk Towards Basel III (2009)

While the Basel II accord has now gone live in most parts of the world, many discrepancies still remain on advanced modeling techniques for operational risk among large international banks. The two major ... [more ▼]

While the Basel II accord has now gone live in most parts of the world, many discrepancies still remain on advanced modeling techniques for operational risk among large international banks. The two major families of models include the loss distribution approaches (LDAs) that focus on observed past internal and external loss events and the scenario-based techniques that use subjective opinions from experts as the starting point to determine the regulatory capital charge to cover operational risk. A major methodological challenge is the combination of both techniques so as to fulfill Basel II requirements. In this chapter we discuss and investigate the use of various alternatives to model expert opinion in a sound statistical way so as to allow for subsequent integration with loss distributions fitted on internal and/or external data. A numerical example supports the analysis and shows that solutions exist to merge information arising from both sources. [less ▲]

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See detailHow Stable are the Major Performance Measures?
Bodson, Laurent ULg; Coën, Alain ULg; Hübner, Georges ULg

in Journal of Performance Measurement (2008), (Fall), 21-30

In this paper, the authors compare three usual performance measures of actively managed portfolios: Jensen’s Alpha, the Information Ratio (IR), and the newly proposed Generalized Treynor Ratio (GTR ... [more ▼]

In this paper, the authors compare three usual performance measures of actively managed portfolios: Jensen’s Alpha, the Information Ratio (IR), and the newly proposed Generalized Treynor Ratio (GTR) introduced by Hübner (2005). They focus on model specification, sensitivity, and persistence for a large sample of mutual funds from January 1996 to December 2006. Their results reveal that fund classification made with the GTR displays a higher stability while the IR exhibits a greater capacity to reveal persistence in performance. The value of alpha is clearly contingent on model specifications and thus needs to be considered with greater caution to perform ranking of portfolio managers. [less ▲]

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See detailDynamic Hedge Fund Style Analysis with Errors-in-Variables
Bodson, Laurent ULg; Hübner, Georges ULg; Coën, Alain

Conference (2008, July)

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

This paper revisits the traditional return-based style analysis (RBSA) in presence of time-varying exposures and errors-in-variables (EIV). We first apply a selection algorithm using the Kalman filter to identify the more appropriate benchmarks for the analyzed fund return. Then, we compute their corresponding higher moment estimated errors-in-variables, i.e. the measurement error series introducing the (cross) moments of order three and four. We adjust the selected benchmarks by subtracting their higher moments estimated EIV from the initial return series, to obtain an estimate of the true uncontaminated benchmarks. We finally run the Kalman filter on these adjusted regressors. Analyzing 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 hedge fund strategy. [less ▲]

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See detailDynamic Hedge Fund Style Analysis with Errors-in-Variables
Bodson, Laurent ULg; Coën, Alain ULg; Hübner, Georges ULg

Conference (2008, July)

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

This paper revisits the traditional return-based style analysis (RBSA) in presence of time-varying exposures and errors-in-variables (EIV). We first apply a selection algorithm using the Kalman filter to identify the more appropriate benchmarks for the analyzed fund return. Then, we compute their corresponding higher moment estimated errors-in-variables, i.e. the measurement error series introducing the (cross) moments of order three and four. We adjust the selected benchmarks by subtracting their higher moments estimated EIV from the initial return series, to obtain an estimate of the true uncontaminated benchmarks. We finally run the Kalman filter on these adjusted regressors. Analyzing 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 hedge fund strategy. [less ▲]

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See detailDynamic Hedge Fund Style Analysis with Errors-in-Variables
Bodson, Laurent ULg; Hübner, Georges ULg; Coën, Alain

Conference (2008, June)

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

This paper revisits the traditional return-based style analysis (RBSA) in presence of time-varying exposures and errors-in-variables (EIV). We first apply a selection algorithm using the Kalman filter to identify the more appropriate benchmarks for the analyzed fund return. Then, we compute their corresponding higher moment estimated errors-in-variables, i.e. the measurement error series introducing the (cross) moments of order three and four. We adjust the selected benchmarks by subtracting their higher moments estimated EIV from the initial return series, to obtain an estimate of the true uncontaminated benchmarks. We finally run the Kalman filter on these adjusted regressors. Analyzing 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 hedge fund strategy. [less ▲]

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See detailDynamic Hedge Fund Style Analysis with Errors-in-Variables
Bodson, Laurent ULg; Hübner, Georges ULg; Coën, Alain

Conference (2008, April)

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

This paper revisits the traditional return-based style analysis (RBSA) in presence of time-varying exposures and errors-in-variables (EIV). We first apply a selection algorithm using the Kalman filter to identify the more appropriate benchmarks for the analyzed fund return. Then, we compute their corresponding higher moment estimated errors-in-variables, i.e. the measurement error series introducing the (cross) moments of order three and four. We adjust the selected benchmarks by subtracting their higher moments estimated EIV from the initial return series, to obtain an estimate of the true uncontaminated benchmarks. We finally run the Kalman filter on these adjusted regressors. Analyzing 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 hedge fund strategy. [less ▲]

Detailed reference viewed: 60 (16 ULg)
See detailAlternative alphas
Hübner, Georges ULg

in Gregoriou, Greg (Ed.) Encyclopedia of Alternative Investments (2008)

Detailed reference viewed: 18 (5 ULg)
See detailCapital Structure Arbitrage
Hübner, Georges ULg

in Gregoriou, Greg (Ed.) Encyclopedia of Alternative Investments (2008)

Detailed reference viewed: 41 (4 ULg)
See detailAsset Dynamics Estimation and Its Impact on CDS Pricing
François, Pascal; Hübner, Georges ULg

in Ali, Paul; Gregoriou, Greg (Eds.) Credit Derivatives Handbook (2008)

Detailed reference viewed: 11 (3 ULg)
See detailAlternative betas
Hübner, Georges ULg

in Gregoriou, Greg (Ed.) Encyclopedia of Alternative Investments (2008)

Detailed reference viewed: 14 (4 ULg)
See detailGeneralized Treynor Ratio
Hübner, Georges ULg

in Gregoriou, Greg (Ed.) Encyclopedia of Alternative Investments (2008)

Detailed reference viewed: 20 (9 ULg)
See detailPre-money valuation
Hübner, Georges ULg

in Gregoriou, Greg (Ed.) Encyclopedia of Alternative Investments (2008)

Detailed reference viewed: 9 (3 ULg)
See detailCDO Prices and Risk Management: A Comparative Study of Alternative Approaches for pricing iTraxx
Bourdoux, Jean-Michel; Hübner, Georges ULg; Sibille, Jean-Roch ULg

in Wagner, Niklas (Ed.) Credit Risk - Models, Derivatives and Management (2008)

Detailed reference viewed: 51 (7 ULg)
See detailPost-money valuation
Hübner, Georges ULg

in Gregoriou, Greg (Ed.) Encyclopedia of Alternative Investments (2008)

Detailed reference viewed: 14 (4 ULg)
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See detailInternational Corporate Diversification and the Cost of Equity: European Evidence
Joliet, Robert ULg; Hübner, Georges ULg

in Journal of International Money & Finance (2008), 27(1), 102-123

This paper analyzes the impact of corporate international diversification (CID) on domestic and world betas through the notion of psychic distance between countries. Using a large European sample of 598 ... [more ▼]

This paper analyzes the impact of corporate international diversification (CID) on domestic and world betas through the notion of psychic distance between countries. Using a large European sample of 598 firms, our findings indicate that this dimension significantly influences corporate risk exposure. By isolating three additive components of the Foreign Sales Ratio (FSR), we obtain the most significant results by geographically partitioning the sample, provided that firms are further classified by sector. Our framework sheds new light on how the CID of firms belonging to Sweden and the United Kingdom, as well as the Consumer Cyclical, Consumer Non-Cyclical and Information Technology sectors, sometimes can reduce and sometimes increase firm betas. [less ▲]

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See detailMean-Variance versus Mean-VaR and Mean-Utility Spanning
Bodson, Laurent ULg; Hübner, Georges ULg

in Gregoriou, Greg N. (Ed.) Stock Market Volatility Book (2008)

In this chapter, we contrast the optimal spanning properties of portfolios built under the traditional mean-variance (VAR) or mean-modified value-at-risk (MVaR) approaches with those created with the ... [more ▼]

In this chapter, we contrast the optimal spanning properties of portfolios built under the traditional mean-variance (VAR) or mean-modified value-at-risk (MVaR) approaches with those created with the linear-exponential (linex) utility function. Unlike asset allocation procedures that build on volatility or MVaR as a measure of risk and a single risk aversion parameter that characterizes investors, the use of linex utility introduces risk differentiation amongst investors and the risk-return relation of the optimal portfolio trades off between mean, variance, skewness and kurtosis. We identify efficient portfolios under the three competing frameworks and analyze their optimal allocations. [less ▲]

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See detailA Comparison between Optimal Allocations Based on the Modified VaR and on a Utility-Based Risk Measure
Bodson, Laurent ULg; Coën, Alain ULg; Hübner, Georges ULg

in Gregoriou, Greg N. (Ed.) The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and Portfolio Management Book (2008)

Many empirical analyses have demonstrated that some financial asset returns like those of hedge funds depart from the normal distribution. From this observation, several new risk measures have been ... [more ▼]

Many empirical analyses have demonstrated that some financial asset returns like those of hedge funds depart from the normal distribution. From this observation, several new risk measures have been created to take into consideration the skewness and the kurtosis of the return distributions. We propose in this chapter to present the impact of higher moments on the optimal portfolio allocation comparing two four-moment risk measures, namely a utility-based risk measure with the preference-free modified VaR (MVaR). [less ▲]

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See detailPractical methods for measuring and managing operational risk in the financial sector: A clinical study
Chapelle, Ariane; Crama, Yves ULg; Hübner, Georges ULg et al

in Journal of Banking and Finance (2008), 32

This paper analyzes the implications of the Advanced Measurement Approach (AMA) for the assessment of operational risk. Through a clinical case study on a matrix of two selected business lines and two ... [more ▼]

This paper analyzes the implications of the Advanced Measurement Approach (AMA) for the assessment of operational risk. Through a clinical case study on a matrix of two selected business lines and two event types of a large financial institution, we develop a procedure that addresses the major issues faced by banks in the implementation of the AMA. For each cell, we calibrate two truncated distributions functions, one for “normal” losses and the other for the “extreme” losses. In addition, we propose a method to include external data in the framework. We then estimate the impact of operational risk management on bank profitability, through an adapted measure of RAROC. The results suggest that substantial savings can be achieved through active management techniques. [less ▲]

Detailed reference viewed: 175 (17 ULg)
See detailThe determinants of CDS prices: an industry-based investigation
Sougné, Danielle ULg; Heuchenne, Cédric ULg; Hübner, Georges ULg

in Wagner, Niklas (Ed.) Credit Risk: Models, Derivatives and Management. Empirical Studies and Analysis. Financial Mathematics Series. (2008)

Detailed reference viewed: 153 (43 ULg)
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See detailLinearizing Option Returns for Portfolio and Risk Management
Bodson, Laurent ULg; Hübner, Georges ULg

Conference (2007, October 18)

This paper proposes a method to deduce the first four moments and the co-moments (with any other asset) of an option return. We consider the dynamics of an option-replicating portfolio of four basic ... [more ▼]

This paper proposes a method to deduce the first four moments and the co-moments (with any other asset) of an option return. We consider the dynamics of an option-replicating portfolio of four basic assets: the underlying, two long-term options and a zero coupon bond. This approach allows us to capture the moments up to order four of the underlying and to linearize the option return. A numerical example illustrates some of the features and applications of this model. [less ▲]

Detailed reference viewed: 44 (11 ULg)