231 citations · 447 across the 35 of their papers we have counts for
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q-fin.CP2020
Computation of Expected Shortfall by fast detection of worst scenarios
Bruno Bouchard, Adil Reghai, Benjamin Virrion
We consider a multi-step algorithm for the computation of the historical expected shortfall such as defined by the Basel Minimum Capital Requirements for Market Risk. At each step…
q-fin.CP2010★ 14 cited
No-arbitrage of second kind in countable markets with proportional transaction costs
Bruno Bouchard, Erik Taflin
Motivated by applications to bond markets, we propose a multivariate framework for discrete time financial markets with proportional transaction costs and a countable infinite numb…