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Hugues E. Pirotte Speder

Personal Details

First Name:Hugues
Middle Name:E.
Last Name:Pirotte Speder
Suffix:
RePEc Short-ID:ppi128
[This author has chosen not to make the email address public]
http://www.solvay.edu/cours/pirotte
Terminal Degree:1999 Faculté des Hautes Études Commerciales (HEC); Université de Lausanne (from RePEc Genealogy)

Affiliation

Centre Emile Bernheim
Solvay Brussels School of Economics and Management
Université Libre de Bruxelles

Bruxelles, Belgium
http://www.solvay.edu/centre-emile-bernheim
RePEc:edi:cebulbe (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Marc Peters & Hugues Pirotte, 2014. "Unveiling Sovereign Effects in European Banks CDS Spreads Variations," Working Papers CEB 14-018, ULB -- Universite Libre de Bruxelles.
  2. Hugues Pirotte & Nils Tuchschmid, 2014. "Alpha or Not Alpha: The Case of the Hedge Fund Industry," ULB Institutional Repository 2013/191828, ULB -- Universite Libre de Bruxelles.
  3. Bruno Colmant & Etienne De Callataÿ & Xavier Dieux & Benoît Frydman & Jean-Marc Gollier & Alexandre Hublet & Caroline Lequesne Roth & Grégory Lewkowicz & Kim Oosterlinck & Hugues Pirotte & Arnaud Van , 2013. "Les agences de notation financière: Entre marchés et États," ULB Institutional Repository 2013/159103, ULB -- Universite Libre de Bruxelles.
  4. Benoît Dewaele & Iliya Markov & Hugues Pirotte & N. Tuchschmid, 2011. "Does manager offshore experience count in the alternative UCITS universe?," Working Papers CEB 11-060, ULB -- Universite Libre de Bruxelles.
  5. Benoît Dewaele & Hugues Pirotte & N. Tuchschmid & E. Wallerstein, 2011. "Assessing the Performance of Funds of Hedge Funds," Working Papers CEB 11-041, ULB -- Universite Libre de Bruxelles.
  6. Marc Hallin & Charles Mathias & Hugues Pirotte & David Veredas, 2011. "Market liquidity as dynamic factors," Working Papers ECARES 163, 42-50, ULB -- Universite Libre de Bruxelles.
  7. Hugues Pirotte, 2010. "Le rôle des produits dérivés face au risque systémique," ULB Institutional Repository 2013/184549, ULB -- Universite Libre de Bruxelles.
  8. Marc Peters & Hugues Pirotte, 2008. "Comment on the proposed CRD amendment on significant risk transfer," Working Papers CEB 08-021.RS, ULB -- Universite Libre de Bruxelles.
  9. André Farber & Marie-Paule Laurent & Kim Oosterlinck & Hugues Pirotte, 2008. "Synthèse de cours et exercices corrigés :Finance," ULB Institutional Repository 2013/142708, ULB -- Universite Libre de Bruxelles.
  10. Maximilian Vermorken & Ariane Szafarz & Hugues Pirotte, 2008. "Sector classification through non-Gaussian similarity," Working Papers CEB 08-032.RS, ULB -- Universite Libre de Bruxelles.
  11. Hugues Pirotte & Céline Vaessen, 2008. "Residual value risk in the leasing industry: A European case," ULB Institutional Repository 2013/14303, ULB -- Universite Libre de Bruxelles.
  12. Hugues Pirotte & Didier Cossin, 2005. "高级信用风险分析：评估，定价和管理信用风险的财务方法和数学模型 (Advanced Credit Risk Analysis): Simplified Chinese version," ULB Institutional Repository 2013/299265, ULB -- Universite Libre de Bruxelles.
  13. Hugues Pirotte & Georges Hübner & Pierre-Armand Michel & Guillaume SCHIER & Frédéric Ducoulombier, 2005. "Finance Corporate," ULB Institutional Repository 2013/191834, ULB -- Universite Libre de Bruxelles.
  14. Hugues Pirotte, 2004. "Credit risk appraisal: from the firm structural approach to modern probabilistic methodologies," ULB Institutional Repository 2013/14441, ULB -- Universite Libre de Bruxelles.
  15. Hugues Pirotte & Mathias Schmit & Céline Vaessen, 2004. "Credit risk mitigation evidence in auto leases: LGD and residual value risk," Working Papers CEB 04-008.RS, ULB -- Universite Libre de Bruxelles.
  16. Hugues Pirotte & Didier Cossin, 2000. "Advanced Credit Risk Analysis: Financial Approaches and Mathematical Models to Assess, Price, and Manage Credit Risk," ULB Institutional Repository 2013/191833, ULB -- Universite Libre de Bruxelles.
  17. Hugues Pirotte, 1999. "Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates," Working Papers CEB 99-001.RS, ULB -- Universite Libre de Bruxelles.
  18. Hugues Pirotte, 1999. "A Structural Model of the Term Structure of Credit Spreads with Stochastic Recovery and Contractual Design," Working Papers CEB 99-002.RS, ULB -- Universite Libre de Bruxelles.
  19. Hugues Pirotte & Didier Cossin, 1998. "How well do classical credit risk pricing models fit swap transaction data?," ULB Institutional Repository 2013/191829, ULB -- Universite Libre de Bruxelles.
  20. Hugues Pirotte & Didier Cossin, 1997. "Swap Credit Risk: An Empirical Investigation on Transaction Data," Working Papers CEB 97-001, ULB -- Universite Libre de Bruxelles.

Articles

  1. Afrae Hassouni & Hugues Pirotte, 2022. "Beyond mean–variance: assessing hedge fund performance in a non-parametric world," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(4), pages 473-488, December.
  2. Edouard Nouvellon & Hugues Pirotte, 2021. "Can an equity structure dominate the risk-return profile of corporate bonds?," Journal of Asset Management, Palgrave Macmillan, vol. 22(4), pages 277-290, July.
  3. Edouard Nouvellon & Hugues Pirotte, 2019. "Revisiting private equity performance computation for multi-asset investors," Journal of Asset Management, Palgrave Macmillan, vol. 20(6), pages 421-432, October.
  4. Oosterlinck, Kim & Pirotte, Hugues, 2018. "Stock exchange competition: the case of Geneva during the interwar period," Financial History Review, Cambridge University Press, vol. 25(2), pages 183-201, August.
  5. Hugues Pirotte & Nils S. Tuchschmid, 2014. "Alpha or not Alpha: The Case of the Hedge Fund Industry," Bankers, Markets & Investors, ESKA Publishing, issue 129, pages 4-16, March-Apr.
  6. Hallin, Marc & Mathias, Charles & Pirotte, Hugues & Veredas, David, 2011. "Market liquidity as dynamic factors," Journal of Econometrics, Elsevier, vol. 163(1), pages 42-50, July.
  7. Hugues Pirotte, 2010. "Le rôle des produits dérivés face au risque systémique," Reflets et perspectives de la vie économique, De Boeck Université, vol. 0(1), pages 11-22.
  8. Hugues Pirotte & Celine Vaessen, 2008. "Residual value risk in the leasing industry: A European case," The European Journal of Finance, Taylor & Francis Journals, vol. 14(2), pages 157-177.
  9. Cossin, Didier & Pirotte, Hugues, 1997. "Swap credit risk: An empirical investigation on transaction data," Journal of Banking & Finance, Elsevier, vol. 21(10), pages 1351-1373, October.

    RePEc:taf:apfiec:v:20:y:2010:i:11:p:861-878 is not listed on IDEAS

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Benoît Dewaele & Hugues Pirotte & N. Tuchschmid & E. Wallerstein, 2011. "Assessing the Performance of Funds of Hedge Funds," Working Papers CEB 11-041, ULB -- Universite Libre de Bruxelles.

    Mentioned in:

    1. Monkey see, monkey do
      by Tfoui in The Fount of Useless Information on 2012-01-30 18:00:00

Working papers

  1. Benoît Dewaele & Iliya Markov & Hugues Pirotte & N. Tuchschmid, 2011. "Does manager offshore experience count in the alternative UCITS universe?," Working Papers CEB 11-060, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Michael Busack & Wolfgang Drobetz & Jan Tille, 2017. "Can investors benefit from the performance of alternative UCITS funds?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(1), pages 69-111, February.

  2. Marc Hallin & Charles Mathias & Hugues Pirotte & David Veredas, 2011. "Market liquidity as dynamic factors," Working Papers ECARES 163, 42-50, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2015. "Dynamic factor models with infinite-dimensional factor spaces: One-sided representations," Journal of Econometrics, Elsevier, vol. 185(2), pages 359-371.
    2. Hagströmer, Björn & Anderson, Richard G. & Binner, Jane & Nilsson, Birger, 2009. "Dynamics in Systematic Liquidity," Working Papers 2009:7, Lund University, Department of Economics.
    3. Richard G. Anderson & Jane M. Binner & Björn Hagströmer & Birger Nilsson, 2013. "Does commonality in illiquidity matter to investors?," Working Papers 2013-020, Federal Reserve Bank of St. Louis.
    4. Ergemen, Yunus Emre & Rodríguez-Caballero, C. Vladimir, 2023. "Estimation of a dynamic multi-level factor model with possible long-range dependence," International Journal of Forecasting, Elsevier, vol. 39(1), pages 405-430.
    5. Priyanka Naik & Y. V. Reddy, 2021. "Stock Market Liquidity: A Literature Review," SAGE Open, , vol. 11(1), pages 21582440209, January.
    6. Matteo Barigozzi & Marc Hallin & Matteo Luciani & Paolo Zaffaroni, 2021. "Inferential Theory for Generalized Dynamic Factor Models," Working Papers ECARES 2021-20, ULB -- Universite Libre de Bruxelles.
    7. Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Papers 2310.17278, arXiv.org, revised Jan 2024.
    8. Forni, Mario & Cavicchioli, Maddalena & Lippi, Marco & Zaffaroni, Paolo, 2016. "Eigenvalue Ratio Estimators for the Number of Common Factors," CEPR Discussion Papers 11440, C.E.P.R. Discussion Papers.
    9. Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011. "One-Sided Representations of Generalized Dynamic Factor Models," Working Papers ECARES ECARES 2011-019, ULB -- Universite Libre de Bruxelles.
    10. Chang, Ya-Ting & Gau, Yin-Feng & Hsu, Chih-Chiang, 2017. "Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 172-192.
    11. Ergemen, Yunus Emre, 2023. "Parametric estimation of long memory in factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1483-1499.
    12. Yunus Emre Ergemen, 2022. "Parametric Estimation of Long Memory in Factor Models," CREATES Research Papers 2022-10, Department of Economics and Business Economics, Aarhus University.
    13. Hallin, Marc & Liska, Roman, 2011. "Dynamic factors in the presence of blocks," Journal of Econometrics, Elsevier, vol. 163(1), pages 29-41, July.
    14. Rubia, Antonio & Sanchis-Marco, Lidia, 2013. "On downside risk predictability through liquidity and trading activity: A dynamic quantile approach," International Journal of Forecasting, Elsevier, vol. 29(1), pages 202-219.
    15. Lübbers, Johannes & Posch, Peter N., 2016. "Commodities' common factor: An empirical assessment of the markets' drivers," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 28-40.

  3. Maximilian Vermorken & Ariane Szafarz & Hugues Pirotte, 2008. "Sector classification through non-Gaussian similarity," Working Papers CEB 08-032.RS, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Marie Briere & Ariane Szafarz, 2015. "Factor-Based v. Industry-Based Asset Allocation: The Contest," Working Papers CEB 15-035, ULB -- Universite Libre de Bruxelles.
    2. Bruzda, Joanna, 2017. "Real and complex wavelets in asset classification: An application to the US stock market," Finance Research Letters, Elsevier, vol. 21(C), pages 115-125.
    3. Waqas Nawaz & Muammer Koç, 2019. "Exploring Organizational Sustainability: Themes, Functional Areas, and Best Practices," Sustainability, MDPI, vol. 11(16), pages 1-36, August.
    4. Marie Briere & Ariane Szafarz, 2021. "When it Rains, it Pours: Multifactor Asset Management in Good and Bad Times," Working Papers CEB 21-002, ULB -- Universite Libre de Bruxelles.
    5. Marie Briere & Ariane Szafarz, 2018. "Factors and Sectors in Asset Allocation: Stronger Together?," Working Papers CEB 18-016, ULB -- Universite Libre de Bruxelles.

  4. Hugues Pirotte & Céline Vaessen, 2008. "Residual value risk in the leasing industry: A European case," ULB Institutional Repository 2013/14303, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Florian Kaposty & Philipp Klein & Matthias Löderbusch & Andreas Pfingsten, 2022. "Loss given default in SME leasing," Review of Managerial Science, Springer, vol. 16(5), pages 1561-1597, July.
    2. E. Petrova A. & Е. Петрова А., 2014. "Оценка Риска Остаточной Стоимости Секьюритизированного Пула Активов Оперативного Лизинга // A Securitized Pool Of Operating Lease Assets And Its Residual Value Risk Evaluation," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, issue 3, pages 127-138.
    3. Петрова Екатерина Александровна, 2014. "Оценка Риска Остаточной Стоимости Секьюритизированного Пула Активов Оперативного Лизинга," Вестник Финансового университета, CyberLeninka;Федеральное государственное образовательное бюджетное учреждение высшего профессионального образования «Финансовый университет при Правительстве Российской Федерации» (Финансовый университет), issue 3, pages 127-138.
    4. Hartmann-Wendels, Thomas & Elbracht, Hans Christian, 2010. "Ermittlung und Schätzung des Loss Given Default im Leasing: Die Verlustquote als Mischverteilung," Leasing - Wissenschaft & Praxis, Universität zu Köln, Forschungsinstitut für Leasing, vol. 8(1), pages 67-80.
    5. Ju, Yonghan & Jeon, Song Yi & Sohn, So Young, 2015. "Behavioral technology credit scoring model with time-dependent covariates for stress test," European Journal of Operational Research, Elsevier, vol. 242(3), pages 910-919.

  5. Hugues Pirotte & Mathias Schmit & Céline Vaessen, 2004. "Credit risk mitigation evidence in auto leases: LGD and residual value risk," Working Papers CEB 04-008.RS, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Sylvain Prado, 2009. "Hedging residual value risk using derivatives," Working Papers hal-04140859, HAL.

  6. Hugues Pirotte & Didier Cossin, 2000. "Advanced Credit Risk Analysis: Financial Approaches and Mathematical Models to Assess, Price, and Manage Credit Risk," ULB Institutional Repository 2013/191833, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Tien Foo Sing & Seow Eng Ong & Gang-Zhi Fan & Kian Guan Lim, 2005. "Pricing Credit Risk Of Asset-Backed Securitization Bonds In Singapore," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 321-338.
    2. Gang-Zhi Fan & Tien Sing & Seow Ong, 2012. "Default Clustering Risks in Commercial Mortgage-Backed Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 110-127, June.
    3. Gumersindo Ruiz & Ramón Trías, 2011. "Financial Crisis and Risk Measurement: The Historical Perspective and a New Methodology," Chapters, in: Óscar Dejuán & Eladio Febrero & Maria Cristina Marcuzzo (ed.), The First Great Recession of the 21st Century, chapter 4, Edward Elgar Publishing.
    4. Vilimir Yordanov, 2012. "The Bulgarian Foreign and Domestic Debt ??? A No-Arbitrage Macrofinancial View," William Davidson Institute Working Papers Series wp1032, William Davidson Institute at the University of Michigan.

  7. Hugues Pirotte, 1999. "A Structural Model of the Term Structure of Credit Spreads with Stochastic Recovery and Contractual Design," Working Papers CEB 99-002.RS, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Hugues Pirotte, 1999. "Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates," Working Papers CEB 99-001.RS, ULB -- Universite Libre de Bruxelles.
    2. Marc Peters & Hugues Pirotte, 2014. "Unveiling Sovereign Effects in European Banks CDS Spreads Variations," Working Papers CEB 14-018, ULB -- Universite Libre de Bruxelles.

  8. Hugues Pirotte & Didier Cossin, 1998. "How well do classical credit risk pricing models fit swap transaction data?," ULB Institutional Repository 2013/191829, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Didier Cossin & Tomas Hricko & Daniel Aunon-Nerin & Zhijiang Huang, 2002. "Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?," FAME Research Paper Series rp65, International Center for Financial Asset Management and Engineering.
    2. Hugues Pirotte, 1999. "Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates," Working Papers CEB 99-001.RS, ULB -- Universite Libre de Bruxelles.
    3. Manfred Frühwirth & Paul Schneider & Leopold Sögner, 2010. "The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market," European Financial Management, European Financial Management Association, vol. 16(4), pages 658-685, September.

  9. Hugues Pirotte & Didier Cossin, 1997. "Swap Credit Risk: An Empirical Investigation on Transaction Data," Working Papers CEB 97-001, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Niffikeer, Cindy I. & Hewins, Robin D. & Flavell, Richard B., 2000. "A synthetic factor approach to the estimation of value-at-risk of a portfolio of interest rate swaps," Journal of Banking & Finance, Elsevier, vol. 24(12), pages 1903-1932, December.
    2. Hubner, Georges, 2001. "The analytic pricing of asymmetric defaultable swaps," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 295-316, February.
    3. Avouyi-Dovi, S. & Jondeau, E., 1999. "Modelling the French Swap Spread," Working papers 65, Banque de France.
    4. Schröder, Thomas & Dunbar, Kwamie, 2010. "Effectively Hedging the Interest Rate Risk of Wide Floating Rate Coupon Spreads," Working Papers 2010001, Sacred Heart University, John F. Welch College of Business.
    5. Didier Cossin & Tomas Hricko & Daniel Aunon-Nerin & Zhijiang Huang, 2002. "Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?," FAME Research Paper Series rp65, International Center for Financial Asset Management and Engineering.
    6. Li, Gang & Zhang, Chu, 2019. "Counterparty credit risk and derivatives pricing," Journal of Financial Economics, Elsevier, vol. 134(3), pages 647-668.
    7. SOLNIK, Bruno & COLLIN-DUFRESNE, Pierre, 2000. "On the term structure of default premia in the Swap and Libor markets," HEC Research Papers Series 704, HEC Paris.
    8. Steve Y. Yang & Esen Onur, 2018. "Interest Rate Swap Market Complexity and Its Risk Management Implications," Complexity, Hindawi, vol. 2018, pages 1-20, October.
    9. Hugues Pirotte, 1999. "Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates," Working Papers CEB 99-001.RS, ULB -- Universite Libre de Bruxelles.
    10. David-Pur, Lior & Galil, Koresh & Rosenboim, Mosi, 2020. "The dynamics of sovereign yields over swap rates in the Eurozone market," International Review of Financial Analysis, Elsevier, vol. 72(C).

Articles

  1. Afrae Hassouni & Hugues Pirotte, 2022. "Beyond mean–variance: assessing hedge fund performance in a non-parametric world," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(4), pages 473-488, December.

    Cited by:

    1. Jin Yuan & Xianghui Yuan, 2023. "A Comprehensive Method for Ranking Mutual Fund Performance," SAGE Open, , vol. 13(2), pages 21582440231, May.

  2. Hallin, Marc & Mathias, Charles & Pirotte, Hugues & Veredas, David, 2011. "Market liquidity as dynamic factors," Journal of Econometrics, Elsevier, vol. 163(1), pages 42-50, July.
    See citations under working paper version above.
  3. Hugues Pirotte & Celine Vaessen, 2008. "Residual value risk in the leasing industry: A European case," The European Journal of Finance, Taylor & Francis Journals, vol. 14(2), pages 157-177.
    See citations under working paper version above.
  4. Cossin, Didier & Pirotte, Hugues, 1997. "Swap credit risk: An empirical investigation on transaction data," Journal of Banking & Finance, Elsevier, vol. 21(10), pages 1351-1373, October.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-BAN: Banking (1) 2014-08-25
  2. NEP-ECM: Econometrics (1) 2008-10-28
  3. NEP-FMK: Financial Markets (1) 2011-10-01
  4. NEP-REG: Regulation (1) 2008-06-27
  5. NEP-RMG: Risk Management (1) 2008-10-28

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