64 citations · 204 across the 26 of their papers we have counts for
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q-fin.RM2023
Propagation of a carbon price in a credit portfolio through macroeconomic factors
Géraldine Bouveret, Jean-François Chassagneux, Smail Ibbou +2
We study how the climate transition through a low-carbon economy, implemented by carbon pricing, propagates in a credit portfolio and precisely describe how carbon price dynamics a…
q-fin.RM2021
Market regime classification with signatures
Paul Bilokon, Antoine Jacquier, Conor McIndoe
We provide a data-driven algorithm to classify market regimes for time series. We utilise the path signature, encoding time series into easy-to-describe objects, and provide a metr…