Advanced Search
MyIDEAS: Login

Thierry Roncalli

Contents:

This is information that was supplied by Thierry Roncalli in registering through RePEc. If you are Thierry Roncalli , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Thierry
Middle Name:
Last Name: Roncalli
Suffix:

RePEc Short-ID: pro660

Email: [This author has chosen not to make the email address public]
Homepage: http://www.thierry-roncalli.com
Postal Address:
Phone:

Affiliation

Centre d'Études des Politiques Économiques (EPEE)
Université d'Évry Val d'Essonne
Location: Évry, France
Homepage: http://www.univ-evry.fr/fr/recherche/les_laboratoires/centre_d_etudes_des_politiques_economiques_de_l_universite_d_evry.html
Email:
Phone: +33 1 69 47 71 77
Fax: +33 1 69 47 70 50
Postal: 4, bld Francois Mitterand, 91025 Evry Cedex
Handle: RePEc:edi:epevrfr (more details at EDIRC)

Works

as in new window

Working papers

  1. Thierry Roncalli, 2014. "Introduction to Risk Parity and Budgeting," Papers 1403.1889, arXiv.org.
  2. Roncalli, Thierry, 2013. "Introduction to Risk Parity and Budgeting," MPRA Paper 47679, University Library of Munich, Germany.
  3. Hassine, Marlène & Roncalli, Thierry, 2013. "Measuring Performance of Exchange Traded Funds," MPRA Paper 44298, University Library of Munich, Germany.
  4. Griveau-Billion, Théophile & Richard, Jean-Charles & Roncalli, Thierry, 2013. "A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios," MPRA Paper 49822, University Library of Munich, Germany.
  5. Cazalet, Zelia & Grison, Pierre & Roncalli, Thierry, 2013. "The Smart Beta Indexing Puzzle," MPRA Paper 48823, University Library of Munich, Germany.
  6. Roncalli, Thierry, 2013. "Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation," MPRA Paper 49821, University Library of Munich, Germany.
  7. Bruder, Benjamin & Roncalli, Thierry, 2012. "Managing risk exposures using the risk budgeting approach," MPRA Paper 37246, University Library of Munich, Germany.
  8. Louis, Rodolphe & Roncalli, Thierry, 2012. "On the market portfolio for multi-asset classes," MPRA Paper 39087, University Library of Munich, Germany.
  9. Roncalli, Thierry & Weisang, Guillaume, 2012. "Risk Parity Portfolios with Risk Factors," MPRA Paper 44017, University Library of Munich, Germany.
  10. Bruder, Benjamin & Hereil, Pierre & Roncalli, Thierry, 2011. "Managing sovereign credit risk in bond portfolios," MPRA Paper 36673, University Library of Munich, Germany.
  11. Roncalli, Thierry, 2010. "Understanding the Impact of Weights Constraints in Portfolio Theory," MPRA Paper 36753, University Library of Munich, Germany.
  12. Teiletche, Jérôme & Roncalli, Thierry & Maillard, Sébastien, 2010. "The properties of equally-weighted risk contributions portfolios," Economics Papers from University Paris Dauphine 123456789/4688, Paris Dauphine University.
  13. Clauss, Pierre & Roncalli, Thierry & Weisang, Guillaume, 2009. "Risk Management Lessons from Madoff Fraud," MPRA Paper 36754, University Library of Munich, Germany.
  14. Roncalli, Thierry & Weisang, Guillaume, 2008. "Tracking problems, hedge fund replication and alternative beta," MPRA Paper 37358, University Library of Munich, Germany.
  15. Teiletche, Jérôme & Roncalli, Thierry, 2008. "An alternative approach to alternative beta," Economics Papers from University Paris Dauphine 123456789/812, Paris Dauphine University.
  16. Frachot, Antoine & Roncalli, Thierry & Salomon, Eric, 2004. "The Correlation Problem in Operational Risk," MPRA Paper 38052, University Library of Munich, Germany.
  17. Thierry Roncalli & Gael Riboulet & Ashkan Nikeghbali & Vado Durrleman & Erick Bouy?, 2001. "Copulas: an Open Field for Risk Management," Working Papers wp01-01, Warwick Business School, Finance Group.
  18. Bouye, Eric & Durlleman, Valdo & Nikeghbali, Ashkan & Riboulet, Gaël & Roncalli, Thierry, 2000. "Copulas for finance," MPRA Paper 37359, University Library of Munich, Germany.

Articles

  1. Benjamin Bruder & Pierre Hereil & Thierry Roncalli, 2012. "Managing Sovereign Credit Risk In Bond Portfolios1," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 0(1), pages 5-26, June.
  2. Roncalli, Thierry & Weisang, Guillaume, 2011. "Tracking Problems, Hedge Fund Replication, and Alternative Beta," Journal of Financial Transformation, Capco Institute, vol. 31, pages 19-29.
  3. Roncalli, Thierry & Teiletche, Jérôme, 2008. "An Alternative Approach to Alternative Beta," Journal of Financial Transformation, Capco Institute, vol. 24, pages 43-52.
  4. Thierry Roncalli & Jean-Sébastien Pentecôte, 1996. "Retour à la moyenne dans les cours du change du mécanisme de change européen : 1987-1995," Économie et Prévision, Programme National Persée, vol. 123(2), pages 189-205.

NEP Fields

11 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CMP: Computational Economics (2) 2013-09-24 2013-11-22
  2. NEP-ORE: Operations Research (1) 2013-09-24
  3. NEP-RMG: Risk Management (7) 2012-03-21 2013-02-03 2013-06-24 2013-09-24 2013-09-24 2013-11-22 2014-03-15. Author is listed

Statistics

Most cited item

Most downloaded item (past 12 months)

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Thierry Roncalli should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.