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Thierry Roncalli

Personal Details

First Name:Thierry
Middle Name:
Last Name:Roncalli
Suffix:
RePEc Short-ID:pro660
[This author has chosen not to make the email address public]
http://www.thierry-roncalli.com
Terminal Degree:1998 Laboratoire d'Analyse et de Recherche Économiques et Finance Internationales (LAREFI); Université de Bordeaux (from RePEc Genealogy)

Affiliation

Centre for Economics at Paris-Saclay (CEPS)
Graduate School of Economics and Management
Université Paris-Saclay

Saint-Aubin, France
https://www.ceps-paris-saclay.fr/
RePEc:edi:epevrfr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Thierry Roncalli, 2024. "Handbook of Sustainable Finance," Working Papers hal-04370824, HAL.
  2. Benjamin Bruder & Nazar Kostyuchyk & Thierry Roncalli, 2022. "Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia," Papers 2202.10721, arXiv.org.
  3. Thierry Roncalli, 2021. "Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk," Papers 2110.01302, arXiv.org.
  4. Th'eo Roncalli & Th'eo Le Guenedal & Fr'ed'eric Lepetit & Thierry Roncalli & Takaya Sekine, 2021. "The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio," Papers 2101.10635, arXiv.org.
  5. Thierry Roncalli & Amina Cherief & Fatma Karray-Meziou & Margaux Regnault, 2021. "Liquidity Stress Testing in Asset Management -- Part 2. Modeling the Asset Liquidity Risk," Papers 2105.08377, arXiv.org.
  6. Thierry Roncalli & Fatma Karray-Meziou & Franc{c}ois Pan & Margaux Regnault, 2021. "Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk," Papers 2101.02110, arXiv.org.
  7. Raphael Semet & Thierry Roncalli & Lauren Stagnol, 2021. "ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies?," Papers 2110.06617, arXiv.org.
  8. Th'eo Roncalli & Th'eo Le Guenedal & Fr'ed'eric Lepetit & Thierry Roncalli & Takaya Sekine, 2020. "Measuring and Managing Carbon Risk in Investment Portfolios," Papers 2008.13198, arXiv.org.
  9. Pierre Chen & Edmond Lezmi & Thierry Roncalli & Jiali Xu, 2020. "A Note on Portfolio Optimization with Quadratic Transaction Costs," Papers 2001.01612, arXiv.org.
  10. Edmond Lezmi & Jules Roche & Thierry Roncalli & Jiali Xu, 2020. "Improving the Robustness of Trading Strategy Backtesting with Boltzmann Machines and Generative Adversarial Networks," Papers 2007.04838, arXiv.org.
  11. Jean-Charles Richard & Thierry Roncalli, 2019. "Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles," Papers 1902.05710, arXiv.org.
  12. Thibault Bourgeron & Edmond Lezmi & Thierry Roncalli, 2019. "Robust Asset Allocation for Robo-Advisors," Papers 1902.07449, arXiv.org.
  13. Joan Gonzalvez & Edmond Lezmi & Thierry Roncalli & Jiali Xu, 2019. "Financial Applications of Gaussian Processes and Bayesian Optimization," Papers 1903.04841, arXiv.org.
  14. Sarah Perrin & Thierry Roncalli, 2019. "Machine Learning Optimization Algorithms & Portfolio Allocation," Papers 1909.10233, arXiv.org.
  15. Thierry Roncalli, 2014. "Introduction to Risk Parity and Budgeting," Papers 1403.1889, arXiv.org.
  16. Hassine, Marlène & Roncalli, Thierry, 2013. "Measuring Performance of Exchange Traded Funds," MPRA Paper 44298, University Library of Munich, Germany.
  17. Th'eophile Griveau-Billion & Jean-Charles Richard & Thierry Roncalli, 2013. "A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios," Papers 1311.4057, arXiv.org.
  18. Cazalet, Zelia & Grison, Pierre & Roncalli, Thierry, 2013. "The Smart Beta Indexing Puzzle," MPRA Paper 48823, University Library of Munich, Germany.
  19. Roncalli, Thierry, 2013. "Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation," MPRA Paper 49821, University Library of Munich, Germany.
  20. Bruder, Benjamin & Roncalli, Thierry, 2012. "Managing risk exposures using the risk budgeting approach," MPRA Paper 37246, University Library of Munich, Germany.
  21. Roncalli, Thierry & Weisang, Guillaume, 2012. "Risk Parity Portfolios with Risk Factors," MPRA Paper 44017, University Library of Munich, Germany.
  22. Louis, Rodolphe & Roncalli, Thierry, 2012. "On the market portfolio for multi-asset classes," MPRA Paper 39087, University Library of Munich, Germany.
  23. Bruder, Benjamin & Hereil, Pierre & Roncalli, Thierry, 2011. "Managing sovereign credit risk in bond portfolios," MPRA Paper 36673, University Library of Munich, Germany.
  24. Roncalli, Thierry, 2010. "Understanding the Impact of Weights Constraints in Portfolio Theory," MPRA Paper 36753, University Library of Munich, Germany.
  25. Clauss, Pierre & Roncalli, Thierry & Weisang, Guillaume, 2009. "Risk Management Lessons from Madoff Fraud," MPRA Paper 36754, University Library of Munich, Germany.
  26. Roncalli, Thierry & Weisang, Guillaume, 2008. "Tracking problems, hedge fund replication and alternative beta," MPRA Paper 37358, University Library of Munich, Germany.
  27. Frachot, Antoine & Roncalli, Thierry & Salomon, Eric, 2004. "The Correlation Problem in Operational Risk," MPRA Paper 38052, University Library of Munich, Germany.
  28. Bouye, Eric & Durlleman, Valdo & Nikeghbali, Ashkan & Riboulet, Gaël & Roncalli, Thierry, 2000. "Copulas for finance," MPRA Paper 37359, University Library of Munich, Germany.

Articles

  1. Thierry Roncalli, 2018. "Keep up the momentum," Journal of Asset Management, Palgrave Macmillan, vol. 19(5), pages 351-361, September.
  2. T. Roncalli & G. Weisang, 2016. "Risk parity portfolios with risk factors," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 377-388, March.
  3. Thierry Roncalli, 2015. "Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation," Bankers, Markets & Investors, ESKA Publishing, issue 138, pages 18-28, September.
  4. Roncalli, Thierry & Weisang, Guillaume, 2011. "Tracking Problems, Hedge Fund Replication, and Alternative Beta," Journal of Financial Transformation, Capco Institute, vol. 31, pages 19-29.
  5. Roncalli, Thierry & Teiletche, Jérôme, 2008. "An Alternative Approach to Alternative Beta," Journal of Financial Transformation, Capco Institute, vol. 24, pages 43-52.
  6. Jean-Sébastien Pentecôte & Thierry Roncalli, 1996. "Retour à la moyenne dans les cours du change du mécanisme de change européen : 1987-1995," Économie et Prévision, Programme National Persée, vol. 123(2), pages 189-205.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 20 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (14) 2012-03-21 2013-02-03 2013-06-24 2013-09-24 2013-09-24 2013-11-22 2014-03-15 2019-02-25 2020-09-07 2020-09-14 2021-01-18 2021-06-28 2021-10-11 2022-03-28. Author is listed
  2. NEP-CMP: Computational Economics (6) 2013-09-24 2013-11-22 2019-02-25 2019-03-18 2019-10-07 2020-09-07. Author is listed
  3. NEP-BIG: Big Data (4) 2019-02-25 2019-03-18 2019-10-07 2020-09-07
  4. NEP-ENV: Environmental Economics (4) 2020-09-14 2021-02-15 2021-10-18 2024-02-05
  5. NEP-CWA: Central and Western Asia (3) 2021-01-18 2021-06-28 2022-03-28
  6. NEP-BAN: Banking (2) 2021-10-11 2024-02-05
  7. NEP-FMK: Financial Markets (2) 2019-10-07 2021-10-18
  8. NEP-AGR: Agricultural Economics (1) 2021-02-15
  9. NEP-CBA: Central Banking (1) 2021-10-11
  10. NEP-CFN: Corporate Finance (1) 2021-06-28
  11. NEP-ECM: Econometrics (1) 2019-03-18
  12. NEP-ENE: Energy Economics (1) 2021-02-15
  13. NEP-FDG: Financial Development and Growth (1) 2021-10-18
  14. NEP-ORE: Operations Research (1) 2013-09-24
  15. NEP-PAY: Payment Systems and Financial Technology (1) 2019-02-25
  16. NEP-UPT: Utility Models and Prospect Theory (1) 2022-03-28

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