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Handbook of Asset and Liability Management: From models to optimal return strategies by Alexandre Adam

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Bibliography

Un livre défendu est unfeu sur lequel on veut marcher, et qui jette au nez des étincelles. (Voltaire)

In English:

Acerbi, C. (2002) Spectral measures of risk: a coherent representation of subjective risk aversion, working paper, Abaxbank.

Acerbi, C. and Tasche, D. (2001) On the coherence of Expected Shortfall, working paper, Technische Universität München.

Acerbi, C., Nordio, C. and Sirtori, C. (2001) Expected Shortfall as a tool for risk management, working paper, Abaxbank.

Adam, A. (2003) Hot electron bolometers for Far Infrared detection using Low or High Temperature Superconductors, PhD Thesis, Supelec.

Adam, A. and Chouillou, A. (2005) From loss to value: economic capital in retail banking, GARP Risk Review.

Adam, A., Laurent, J.-P. and Rebérioux, C. (2004) How should we hedge deposit accounts?, Banque et Marchés.

Adam, A., Chouillou, A. and Scaillet, O. (2005) Implementing Basel II in retail banking: a simple statistical approach, Default risk.

Adam, A., Houkari, M. and Laurent, J.-P. (2006) New Frontiers of Asset Management, working paper.

Andersen, L. and Sidenius, J. (2004) Extensions to Gaussian copula: random recovery and random factor loadings, working paper, Bank of America.

Ang, A. and Piazzesi, M. (2003) A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables, Journal of Monetary Economics 50, 745–87.

Artzner, P., Delbaen, F., Eber, J.-M. and Heath, D. (1997) Thinking coherently, RISK 10 (11), 68–71. ...

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