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Ecole Nationale des Ponts et Chaussées (ENPC)
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asset and liability management (ALM), interest rate risk, market consistent embedded value (MCEV), duration, convexity, duration gap, convexity gap, key-rate duration, key-rate convexity, immunization, dedication, half-way approach, target duration, convexity impact, stochastic ALM, DFA
bond pricing, stochastic credit spreads, enhanced Jarrow, Lando and Turnbull model, risk-neutral valuation, Markov chain, arbitrage-free condition, European embedded value, time value of options and guarantees
credit spreads, liquidity premium, credit default swap, Black-Karasinski, jum process, predictive model for volatility, non-positive definite correlation matrix, marginal spread risk factor contribution, Quasi Monte Carlo sequence
credit risk, credit default risk, credit migration risk, credit portfolio modeling, CreditRisk, Markov process, Merton model, transition matrix model, Value-at-Risk, Expected Shortfall, Value-at-Risk contribution, Panjer recursion, Fourier transform, operational risk
solvency capital requirements, SCR, solvency II, analytical formula, economic capital, partial internal model
Hedge Funds, random walk model, Blundell-Ward model, Getmansky, Lo and Markarov model, serial correlation, smoothing, illiquidity, volatility forecasting, EWMA, ”square root of time” relationship, Markov-switching model, conditional serial correlation
option pricing, enhanced model, European call, jump, Poisson-driven process, Black-Scholes, Merton, implied volatility, volatility smile, closed-form solution, Newton-Raphson recursive algorithm
