Christophe Laforge

Bank for International Settlements (BIS)

Aeschenplatz, 1

Basel, 4002

Switzerland

SCHOLARLY PAPERS

3

DOWNLOADS

768

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Construction of Multivariate Copulas and the Compatibility Problem

Number of pages: 8 Posted: 10 Jan 2007
Christophe Laforge
Bank for International Settlements (BIS)
Downloads 581 (57,800)
Citation 1

Abstract:

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Multivariate distribution, copula, Risk Management

2.

M-Pivot Copulas: Multivariate Copulas Defined on Their 2-Margins

Number of pages: 5 Posted: 06 Apr 2007
Christophe Laforge
Bank for International Settlements (BIS)
Downloads 151 (237,974)

Abstract:

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copula, multivariate distribution function, value-at-risk

3.

Time-based Fixed Income Performance Attribution

Number of pages: 11 Posted: 17 Sep 2019
Christophe Laforge
Bank for International Settlements (BIS)
Downloads 36 (532,005)

Abstract:

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performance attribution, fixed income, profit and loss