Details about Michel Dacorogna

Access statistics for papers by Michel Dacorogna.

Last updated 2025-03-16. Update your information in the RePEc Author Service.

Short-id: pda56

Working Papers

2024

1. Allocating Capital to Time: Introducing Credit Migration for Measuring Time-Related Risks
   MPRA Paper, University Library of Munich, Germany
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2024)

2019

2. Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source
   Papers, arXiv.org View citations (3)

2018

3. Predicting risk with risk measures: an empirical study
   Working Papers, HAL View citations (2)
   Also in ESSEC Working Papers, ESSEC Research Center, ESSEC Business School (2018)

2017

4. Approaches and Techniques to Validate Internal Model Results
   MPRA Paper, University Library of Munich, Germany View citations (1)
5. On the diversification benefit of reinsurance portfolios
   MPRA Paper, University Library of Munich, Germany

2016

6. A General framework for modelling mortality to better estimate its relationship with interest rate risks
   MPRA Paper, University Library of Munich, Germany View citations (6)
7. Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study
   Working Papers, HAL
   Also in ESSEC Working Papers, ESSEC Research Center, ESSEC Business School (2016)
8. Risk neutral versus real-world distribution on puclicly listed bank corporations
   Working Papers, HAL
9. The Price of Being a Systemically Important Financial Institution (SIFI)
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article The Price of Being a Systemically Important Financial Institution (SIFI), International Review of Finance, International Review of Finance Ltd. (2017) View citations (1) (2017)

2015

10. Explicit diversification benefit for dependent risks
    Working Papers, HAL View citations (1)
    Also in ESSEC Working Papers, ESSEC Research Center, ESSEC Business School (2015) View citations (1)
11. Living in a Stochastic World and Managing Complex Risks
    MPRA Paper, University Library of Munich, Germany View citations (4)
    Also in ESSEC Working Papers, ESSEC Research Center, ESSEC Business School (2015) View citations (4)

2013

12. The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School View citations (2)
    Also in Papers, arXiv.org (2013) View citations (2)
    Working Papers, HAL (2013) View citations (2)
    See also Journal Article The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio, Risks, MDPI (2014) View citations (5) (2014)

2010

13. Estimating the risk-adjusted capital is an affair in the tails
    MPRA Paper, University Library of Munich, Germany

2008

14. Risk aggregation, dependence structure and diversification benefit
    MPRA Paper, University Library of Munich, Germany View citations (5)

2005

15. From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices
    Finance, University Library of Munich, Germany
    See also Journal Article From default probabilities to credit spreads: Credit risk models do explain market prices, Finance Research Letters, Elsevier (2006) View citations (8) (2006)
16. Is the gamma risk of options insurable?
    MPRA Paper, University Library of Munich, Germany
17. Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development
    Econometrics, University Library of Munich, Germany View citations (200)
    Also in Papers, arXiv.org (2004) View citations (3)
    See also Journal Article Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development, Journal of Banking & Finance, Elsevier (2005) View citations (203) (2005)

2004

18. Bootstrapping the economy -- a non-parametric method of generating consistent future scenarios
    MPRA Paper, University Library of Munich, Germany
19. Consistent high-precision volatility from high-frequency data
    Finance, University Library of Munich, Germany View citations (22)
    See also Journal Article Consistent High-precision Volatility from High-frequency Data, Economic Notes, Banca Monte dei Paschi di Siena SpA (2001) View citations (35) (2001)
20. Introducing a scale of market shocks
    Finance, University Library of Munich, Germany
21. Using the Scaling Analysis to Characterize Financial Markets
    Finance, University Library of Munich, Germany View citations (2)
    Also in Papers, arXiv.org (2003) View citations (1)

2003

22. Credit Risk Models - Do They Deliver Their Promises? A Quantitative Assessment
    Risk and Insurance, University Library of Munich, Germany View citations (17)
23. Dynamic Financial Analysis - Understanding Risk and Value Creation in Insurance
    Risk and Insurance, University Library of Munich, Germany View citations (1)
24. Extreme Moves in Foreign Exchange Rates and Risk Limit Setting
    Risk and Insurance, University Library of Munich, Germany View citations (1)
25. How Much Reinsurance Do You Really Need? A Case Study
    Risk and Insurance, University Library of Munich, Germany
26. Performance and Risk Measurement Challenges For Hedge Funds: Empirical Considerations
    Risk and Insurance, University Library of Munich, Germany View citations (1)

2001

27. Multivariate extremes, aggregation and risk estimation
    CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations (21)
    See also Journal Article Multivariate extremes, aggregation and risk estimation, Quantitative Finance, Taylor & Francis Journals (2001) View citations (19) (2001)

1996

28. Heavy tails in high-frequency financial data
    Working Papers, Olsen and Associates View citations (11)
29. Hill, Bootstrap and Jackknife Estimators for Heavy Tails
    Working Papers, Olsen and Associates View citations (17)

Undated

30. A Measure of the Trading Model Performance with a Risk Component
    Working Papers, Olsen and Associates
31. Fractals and Intrinsic Time - a Challenge to Econometricians
    Working Papers, Olsen and Associates View citations (8)
32. Genetic Algorithms with collective sharing for Robust Optimization in Financial Applications
    Working Papers, Olsen and Associates View citations (1)
33. Going Back to the Basics - Rethinking Market Efficiency
    Working Papers, Olsen and Associates View citations (4)
34. How heavy are the the tails of a stationary HARCH(k) process? - A study of the moments
    Working Papers, Olsen and Associates
35. On the intra-daily performance of GARCH processes
    Working Papers, Olsen and Associates View citations (9)
36. The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets
    Working Papers, Olsen and Associates View citations (12)
37. The Error of Statistical Volatility of Intra-daily Quoted Price Changes Observed over a Time Interval
    Working Papers, Olsen and Associates
38. The Main Ingredients of Simple Trading Models for Use in Genetic Algorithm Optimization
    Working Papers, Olsen and Associates
39. Unveiling Non Linearities Through Time Scale Transformations
    Working Papers, Olsen and Associates

Journal Articles

2023

1. Building up cyber resilience by better grasping cyber risk via a new algorithm for modelling heavy-tailed data
   European Journal of Operational Research, 2023, 311, (2), 708-729 View citations (4)
2. How to Gain Confidence in the Results of Internal Risk Models? Approaches and Techniques for Validation
   Risks, 2023, 11, (5), 1-20 View citations (1)
3. Managing cyber risk, a science in the making
   Scandinavian Actuarial Journal, 2023, 2023, (10), 1000-1021 View citations (3)
4. Pro‐cyclicality beyond business cycle
   Mathematical Finance, 2023, 33, (2), 308-341

2022

5. Special Issue “Cyber Risk and Security”
   Risks, 2022, 10, (6), 1-4 View citations (1)

2020

6. High Frequency Trading, a Boon or a Threat?
   BANCARIA, 2020, 1, 89-96

2019

7. Improving the Forecast of Longevity by Combining Models
   North American Actuarial Journal, 2019, 23, (2), 298-319 View citations (1)

2018

8. A change of paradigm for the insurance industry
   Annals of Actuarial Science, 2018, 12, (2), 211-232 View citations (2)
9. One-Year Change Methodologies for Fixed-Sum Insurance Contracts
   Risks, 2018, 6, (3), 1-29 View citations (2)
10. Validation of aggregated risks models
    Annals of Actuarial Science, 2018, 12, (2), 433-454 View citations (2)

2017

11. The Price of Being a Systemically Important Financial Institution (SIFI)
    International Review of Finance, 2017, 17, (4), 611-616 View citations (1)
    See also Working Paper The Price of Being a Systemically Important Financial Institution (SIFI), MPRA Paper (2016) View citations (1) (2016)

2015

12. Un changement de paradigme pour l’assurance
    Revue d'économie financière, 2015, n° 118, (2), 205-230

2014

13. The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio
    Risks, 2014, 2, (3), 1-17 View citations (5)
    See also Working Paper The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio, ESSEC Working Papers (2013) View citations (2) (2013)

2010

14. Robust Estimation of Reserve Risk
    ASTIN Bulletin, 2010, 40, (2), 453-489 View citations (5)

2009

15. How Much Capital Does a Reinsurance Need&quest
    The Geneva Papers on Risk and Insurance - Issues and Practice, 2009, 34, (2), 159-174 View citations (5)

2006

16. From default probabilities to credit spreads: Credit risk models do explain market prices
    Finance Research Letters, 2006, 3, (2), 79-95 View citations (8)
    See also Working Paper From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices, Finance (2005) (2005)

2005

17. Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development
    Journal of Banking & Finance, 2005, 29, (4), 827-851 View citations (203)
    See also Working Paper Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development, Econometrics (2005) View citations (200) (2005)

2003

18. An Introduction to High-Frequency Finance: Michael M. Dacorogna, Ramazan Gencay, Ulrich Muller, Richard B. Olsen, and Olivier V. Pictet. San Diego, CA: Academic Press, 2001. 383 pp., $79.95, ISBN: 0-12-279671-3
    International Review of Economics & Finance, 2003, 12, (4), 525-529
19. Foreign exchange trading models and market behavior
    Journal of Economic Dynamics and Control, 2003, 27, (6), 909-935 View citations (22)
20. Reflections on risk
    Quantitative Finance, 2003, 3, (2), 22-23
21. Scaling behaviors in differently developed markets
    Physica A: Statistical Mechanics and its Applications, 2003, 324, (1), 183-188 View citations (128)

2002

22. Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates
    International Economic Review, 2002, 43, (2), 463-492 View citations (27)

2001

23. Consistent High-precision Volatility from High-frequency Data
    Economic Notes, 2001, 30, (2), 183-204 View citations (35)
    See also Working Paper Consistent high-precision volatility from high-frequency data, Finance (2004) View citations (22) (2004)
24. Defining efficiency in heterogeneous markets
    Quantitative Finance, 2001, 1, (2), 198-201 View citations (17)
25. Effective return, risk aversion and drawdowns
    Physica A: Statistical Mechanics and its Applications, 2001, 289, (1), 229-248 View citations (12)
26. Multivariate extremes, aggregation and risk estimation
    Quantitative Finance, 2001, 1, (1), 79-95 View citations (19)
    See also Working Paper Multivariate extremes, aggregation and risk estimation, CeNDEF Workshop Papers, January 2001 (2001) View citations (21) (2001)
27. Time-to-Expiry Seasonalities in Eurofutures
    Studies in Nonlinear Dynamics & Econometrics, 2001, 4, (4), 6 View citations (1)

2000

28. MEASURING SHOCK IN FINANCIAL MARKETS
    International Journal of Theoretical and Applied Finance (IJTAF), 2000, 03, (03), 347-355 View citations (4)

1999

29. The intraday multivariate structure of the Eurofutures markets
    Journal of Empirical Finance, 1999, 6, (5), 479-513 View citations (8)

1997

30. From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*)
    Finance and Stochastics, 1997, 1, (2), 95-129 View citations (164)
31. Volatilities of different time resolutions -- Analyzing the dynamics of market components
    Journal of Empirical Finance, 1997, 4, (2-3), 213-239 View citations (354)

1995

32. Heterogeneous real-time trading strategies in the foreign exchange market
    The European Journal of Finance, 1995, 1, (4), 383-403 View citations (29)

1993

33. A geographical model for the daily and weekly seasonal volatility in the foreign exchange market
    Journal of International Money and Finance, 1993, 12, (4), 413-438 View citations (283)

1990

34. Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis
    Journal of Banking & Finance, 1990, 14, (6), 1189-1208 View citations (194)

Books

2001

1. An Introduction to High-Frequency Finance
   Elsevier Monographs, Elsevier View citations (502)