Essec\Faculty\Model\Profile {#2216
#_id: "B00006589"
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"bid" => "B00006589"
"academId" => "2085"
"slug" => "roncoroni-andrea"
"fullName" => "Andrea RONCORONI"
"lastName" => "RONCORONI"
"firstName" => "Andrea"
"title" => array:2 [
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]
"email" => "roncoroni@essec.edu"
"status" => "ACTIF"
"campus" => "Campus de Cergy"
"departments" => []
"phone" => "+33 (0)1 34 43 32 39"
"sites" => []
"facNumber" => "2085"
"externalCvUrl" => "https://sites.google.com/view/andrearoncoroni"
"googleScholarUrl" => null
"facOrcId" => "https://orcid.org/0000-0002-4867-7681"
"career" => array:7 [
0 => Essec\Faculty\Model\CareerItem {#2233
#_index: null
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"en" => "Assistant Professor"
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"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
1 => Essec\Faculty\Model\CareerItem {#2234
#_index: null
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]
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]
]
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}
2 => Essec\Faculty\Model\CareerItem {#2235
#_index: null
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}
3 => Essec\Faculty\Model\CareerItem {#2236
#_index: null
#_id: null
#_source: array:7 [
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]
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}
4 => Essec\Faculty\Model\CareerItem {#2237
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"label" => array:2 [
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]
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}
5 => Essec\Faculty\Model\CareerItem {#2238
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#_source: array:7 [
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]
]
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}
6 => Essec\Faculty\Model\CareerItem {#2239
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0 => Essec\Faculty\Model\Diplome {#2218
#_index: null
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#_source: array:6 [
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]
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]
]
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}
1 => Essec\Faculty\Model\Diplome {#2220
#_index: null
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"fr" => "Université Paris-Dauphine, PSL"
"en" => "Université Paris-Dauphine, PSL"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
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+"parent": Essec\Faculty\Model\Profile {#2216}
}
2 => Essec\Faculty\Model\Diplome {#2217
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "DIPLOMA"
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]
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"en" => "United States of America"
]
]
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+"parent": Essec\Faculty\Model\Profile {#2216}
}
3 => Essec\Faculty\Model\Diplome {#2221
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "DIPLOMA"
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]
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]
]
+lang: "en"
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}
4 => Essec\Faculty\Model\Diplome {#2215
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "CERT"
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]
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]
]
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}
]
"bio" => array:2 [
"fr" => "<p><a href="https://sites.google.com/view/andrearoncoroni/home" target="_blank">Academic Webpage</a></p>"
"en" => """
<p> </p>\n
\n
<p><a href="http://sites.google.com/view/andrearoncoroni/home" target="_blank">Academic Webpage</a></p>
"""
]
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]
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"en" => "Professional Services: Consulting, Legal, Accounting - Insurance - Capital Markets"
]
"researchFields" => array:2 [
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"en" => "Energy & Commodity Markets - Risk Modelling & Actuarial Science - Financial Markets & Institutions - Operations Research"
]
"teachingFields" => array:2 [
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"distinctions" => []
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0 => Essec\Faculty\Model\TeachingItem {#2230
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]
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}
1 => Essec\Faculty\Model\TeachingItem {#2229
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}
2 => Essec\Faculty\Model\TeachingItem {#2231
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}
3 => Essec\Faculty\Model\TeachingItem {#2232
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0 => Essec\Faculty\Model\ExtraActivity {#2219
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1 => Essec\Faculty\Model\ExtraActivity {#2222
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2 => Essec\Faculty\Model\ExtraActivity {#2223
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3 => Essec\Faculty\Model\ExtraActivity {#2224
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4 => Essec\Faculty\Model\ExtraActivity {#2225
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5 => Essec\Faculty\Model\ExtraActivity {#2226
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6 => Essec\Faculty\Model\ExtraActivity {#2227
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7 => Essec\Faculty\Model\ExtraActivity {#2228
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0 => Essec\Faculty\Model\These {#2240
#_index: null
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1 => Essec\Faculty\Model\These {#2241
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}
2 => Essec\Faculty\Model\These {#2242
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"student" => "PAGLIARDI G."
"firstJob" => "Associate Professor - BI Norwegian Business School"
"label" => array:2 [
"fr" => "Financial markets, political variables and extreme events"
"en" => "Financial markets, political variables and extreme events"
]
"role" => array:2 [
"fr" => "Co-directeur de thèse"
"en" => "Thesis co-director"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
3 => Essec\Faculty\Model\These {#2243
#_index: null
#_id: null
#_source: array:9 [
"year" => "2011"
"startDate" => null
"endDate" => "2011"
"student" => "Pantoja Javier"
"firstJob" => ""
"label" => array:2 [
"fr" => "Three Essays on Risk Management in Electricity Markerts"
"en" => "Three Essays on Risk Management in Electricity Markerts"
]
"role" => array:2 [
"fr" => "Directeur de thèse"
"en" => "Thesis director"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2216}
}
]
"indexedAt" => "2024-11-21T08:21:22.000Z"
"contributions" => array:55 [
0 => Essec\Faculty\Model\Contribution {#2245
#_index: "academ_contributions"
#_id: "1308"
#_source: array:18 [
"id" => "1308"
"slug" => "hedging-size-risk-theory-and-application-to-the-us-gas-market"
"yearMonth" => "2017-05"
"year" => "2017"
"title" => "Hedging Size Risk: Theory and Application to the US Gas Market"
"description" => "RONCORONI, A. et ID BRIK, R. (2017). Hedging Size Risk: Theory and Application to the US Gas Market. <i>Energy Economics</i>, 64, pp. 415-437."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "ID BRIK R."
]
]
"ouvrage" => ""
"keywords" => array:3 [
0 => "Corporate Risk Management"
1 => "Commodity Risk"
2 => "Contract Design"
]
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2790350"
"publicationInfo" => array:3 [
"pages" => "415-437"
"volume" => "64"
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "De nombreux engagements de sociétés présentent une exposition financière combinée à la fois aux prix du marché et aux composantes de taille idiosyncrasique (par exemple, le volume, la charge ou le chiffre d'affaires). Nous concevons un contrat personnalisé pour atténuer de manière optimale le risque de fluctuations conjointes des prix et des tailles. La couverture est recherchée parmi les créances conditionnelles inscrites sur le cours et tout indice coté qui est statistiquement dépendant de la taille de l'engagement. Les solutions fermées sont dérivées de l'optimisation des couvertures de couverture et de la répartition des actifs de deux stratégies de marché, l'une basée sur les contrats à prix fixes et l'autre sur les contrats à prix et indexés. Les haies analytiques sont obtenues en utilisant un modèle de marché lognormal stylisé. Une statique comparative détaillée fournit une analyse approfondie des fonctions optimales de couverture de couverture. L'évaluation de la performance est effectuée dans le contexte du marché américain du gaz et d'une région urbaine prototype. Les résultats suggèrent que la couverture par des créances personnalisées sur le cours et un indice additionnel surperforme de façon significative les alternatives de couverture standard basées sur les prix ainsi que sur les contrats mixtes. Notre couverture personnalisée optimale pourrait être adoptée comme point de repère pour l'évaluation relative de toute solution de gestion des risques."
"en" => "Many corporate commitments exhibit a combined financial exposure to both market prices and idiosyncratic size components (e.g., volume, load, or business turnover). We design a customized contract to optimally mitigate the risk of joint fluctuations in price and size terms. The hedge is sought out among contingent claims written on price and any quoted index that is statistically dependent on commitment size. Closed-form solutions are derived for the optimal custom hedge pay-off and for the asset holdings of two market strategies, one based on price-linked forwards, the other based on price-linked and index-linked forwards. Analytical hedges are obtained using a stylized lognormal market model. Detailed comparative statics provide a thorough analysis of optimal hedging pay-off functions. Performance assessment is conducted in the context of the US gas market and a prototypical urban region. Results suggest that hedging through suitable custom claims written on price and an additional index significantly outperforms standard price-based as well as mixed price-index forward hedging alternatives. Our optimal custom hedge could be adopted as a benchmark for the relative assessment of any risk management solution."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
1 => Essec\Faculty\Model\Contribution {#2247
#_index: "academ_contributions"
#_id: "5573"
#_source: array:18 [
"id" => "5573"
"slug" => "combined-custom-hedging-optimal-design-non-insurable-exposure-and-operational-risk-management"
"yearMonth" => "2019-06"
"year" => "2019"
"title" => "Combined Custom Hedging: Optimal Design, Non Insurable Exposure, and Operational Risk Management"
"description" => "RONCORONI, A. et GUIOTTO, P. (2019). Combined Custom Hedging: Optimal Design, Non Insurable Exposure, and Operational Risk Management. Dans: 2019 Mostly OM Workshop."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "GUIOTTO P."
]
]
"ouvrage" => "2019 Mostly OM Workshop"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
2 => Essec\Faculty\Model\Contribution {#2249
#_index: "academ_contributions"
#_id: "5841"
#_source: array:18 [
"id" => "5841"
"slug" => "electricity-forward-curves-with-thin-granularity"
"yearMonth" => "2016-03"
"year" => "2016"
"title" => "Electricity Forward Curves with Thin Granularity"
"description" => "CALDANA, R., FUSAI, G. et RONCORONI, A. (2016). Electricity Forward Curves with Thin Granularity. Dans: 4th International Symposium on Energy and Finance Issues (ISEFI2016)."
"authors" => array:3 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "CALDANA R."
]
2 => array:1 [
"name" => "FUSAI G."
]
]
"ouvrage" => "4th International Symposium on Energy and Finance Issues (ISEFI2016)"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
3 => Essec\Faculty\Model\Contribution {#2246
#_index: "academ_contributions"
#_id: "5842"
#_source: array:18 [
"id" => "5842"
"slug" => "electricity-forward-curves-with-thin-granularity-theory-and-empirical-evidence-in-the-hourly-epex-spot-market"
"yearMonth" => "2016-12"
"year" => "2016"
"title" => "Electricity Forward Curves with Thin Granularity: Theory and Empirical Evidence in the Hourly EPEX Spot Market"
"description" => "CALDANA, R., FUSAI, G. et RONCORONI, A. (2016). Electricity Forward Curves with Thin Granularity: Theory and Empirical Evidence in the Hourly EPEX Spot Market. Dans: Energy Finance Christmas Workshop (EFC16)."
"authors" => array:3 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "CALDANA R."
]
2 => array:1 [
"name" => "FUSAI G."
]
]
"ouvrage" => "Energy Finance Christmas Workshop (EFC16)"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
4 => Essec\Faculty\Model\Contribution {#2250
#_index: "academ_contributions"
#_id: "6096"
#_source: array:18 [
"id" => "6096"
"slug" => "hedging-size-risk-theory-and-application-to-the-us-gas-market"
"yearMonth" => "2016-06"
"year" => "2016"
"title" => "Hedging Size Risk: Theory and Application to the US Gas Market"
"description" => "RONCORONI, A. et ID BRIK, R. (2016). Hedging Size Risk: Theory and Application to the US Gas Market. Dans: 2016 Commodity Markets Conference."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "ID BRIK R."
]
]
"ouvrage" => "2016 Commodity Markets Conference"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
5 => Essec\Faculty\Model\Contribution {#2244
#_index: "academ_contributions"
#_id: "6097"
#_source: array:18 [
"id" => "6097"
"slug" => "hedging-size-risk-theory-and-application-to-the-us-gas-market"
"yearMonth" => "2016-11"
"year" => "2016"
"title" => "Hedging Size Risk: Theory and Application to the US Gas Market"
"description" => "RONCORONI, A. et ID BRIK, R. (2016). Hedging Size Risk: Theory and Application to the US Gas Market. Dans: 2016 Tepper School of Business Seminar."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "ID BRIK R."
]
]
"ouvrage" => "2016 Tepper School of Business Seminar"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
6 => Essec\Faculty\Model\Contribution {#2248
#_index: "academ_contributions"
#_id: "6779"
#_source: array:18 [
"id" => "6779"
"slug" => "on-the-general-structure-of-arbitrage-pricing-models-for-commodity-prices"
"yearMonth" => "2015-09"
"year" => "2015"
"title" => "On the General Structure of Arbitrage Pricing Models for Commodity Prices"
"description" => "RONCORONI, A. et ID BRIK, R. (2015). On the General Structure of Arbitrage Pricing Models for Commodity Prices. Dans: Energy Finance Conference 2015."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "ID BRIK R."
]
]
"ouvrage" => "Energy Finance Conference 2015"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
7 => Essec\Faculty\Model\Contribution {#2251
#_index: "academ_contributions"
#_id: "6780"
#_source: array:18 [
"id" => "6780"
"slug" => "on-the-general-structure-of-arbitrage-pricing-models-for-commodity-prices"
"yearMonth" => "2015-03"
"year" => "2015"
"title" => "On the General Structure of Arbitrage Pricing Models for Commodity Prices"
"description" => "RONCORONI, A. et ID BRIK, R. (2015). On the General Structure of Arbitrage Pricing Models for Commodity Prices. Dans: 32nd International Conference of the French Finance Association 2015 (AFFI 2015)."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "ID BRIK R."
]
]
"ouvrage" => "32nd International Conference of the French Finance Association 2015 (AFFI 2015)"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
8 => Essec\Faculty\Model\Contribution {#2252
#_index: "academ_contributions"
#_id: "505"
#_source: array:18 [
"id" => "505"
"slug" => "optimal-positioning-in-the-derivative-market-review-foundations-and-trends"
"yearMonth" => "2019-03"
"year" => "2019"
"title" => "Optimal Positioning in the Derivative Market: Review, Foundations, and Trends"
"description" => "GUIOTTO, P. et RONCORONI, A. (2019). Optimal Positioning in the Derivative Market: Review, Foundations, and Trends. <i>Foundations and Trends in Technology, Information and Operations Management</i>, 12(2-3), pp. 254-279."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "GUIOTTO P."
]
]
"ouvrage" => ""
"keywords" => array:5 [
0 => "G32 Financial Risk and Risk Management"
1 => """
M11 Production management \n
Risk management
"""
2 => "Hedging"
3 => "Operational risk"
4 => "Supply chain finance"
]
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://nowpublishers.com/article/Details/TOM-085"
"publicationInfo" => array:3 [
"pages" => "254-279"
"volume" => "12"
"number" => "2-3"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We review the theoretical development of optimal positioning in financial derivatives for managing corporate exposure. Our primary focus is on one-period integrated financial- operational policies featuring a bespoke financial contingent claim (or portfolio of claims) and an operational control variable. We develop a unifying theoretical framework which (a) encompasses all of existing solutions in a static set-up across the areas of portfolio insurance, agricultural economics, and integrated financial-operational management, (b) provides researchers with a solid ground to either fill in gaps in the current literature and move forward towards a general theory of contingent claim origination. We also put forward pathways for future development, one based on current research problem, the other focusing on new methodological issue."
"en" => "We review the theoretical development of optimal positioning in financial derivatives for managing corporate exposure. Our primary focus is on one-period integrated financial- operational policies featuring a bespoke financial contingent claim (or portfolio of claims) and an operational control variable. We develop a unifying theoretical framework which (a) encompasses all of existing solutions in a static set-up across the areas of portfolio insurance, agricultural economics, and integrated financial-operational management, (b) provides researchers with a solid ground to either fill in gaps in the current literature and move forward towards a general theory of contingent claim origination. We also put forward pathways for future development, one based on current research problem, the other focusing on new methodological issue."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
9 => Essec\Faculty\Model\Contribution {#2253
#_index: "academ_contributions"
#_id: "563"
#_source: array:18 [
"id" => "563"
"slug" => "a-new-measure-of-cross-sectional-risk-and-its-empirical-implications-for-portfolio-risk-management"
"yearMonth" => "2006-08"
"year" => "2006"
"title" => "A New Measure of Cross-sectional Risk and its Empirical Implications for Portfolio Risk Management"
"description" => "GALLUCIO, S. et RONCORONI, A. (2006). A New Measure of Cross-sectional Risk and its Empirical Implications for Portfolio Risk Management. <i>Journal of Banking & Finance</i>, pp. 2387."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "GALLUCIO S."
]
]
"ouvrage" => ""
"keywords" => array:5 [
0 => "Analyse factorielle"
1 => "Gestion des risques"
2 => "Risk Management"
3 => "Risk Measures"
4 => "Taux d'intérêt"
]
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "2387"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Nous proposons une nouvelle mesure de risque qui vise à quantifier le lien entre la forme des structures par terme et le risque de marché. Nous comparons notre mesure de risque à la covariance entre rendements par rapport à leur performance relative. Une analyse empirique a été conduite dans le marché des taux d'intérêt US. Elle montre que: 1) les facteurs "cross-shape" dépassent la performance obtenue par le biais des facteurs de risque "cross-yield" (notamment, le niveau, la pente et la convexité de la courbe des taux) par rapport au pouvoir explicatif du risque dynamique de la courbe de rendements, 2) la couverture des passivités multiples contre le risque "cross-shape" offre des stratégies de négociation supérieures à celles qui dérivent de la gestion du risque "cross-yield"."
"en" => "We introduce a new risk measure quantifying the link between cross-sectional shape and market risk. We compare our risk measure to the traditional cross-yield covariance according to their relative performance. Empirical investigation in the US interest rate market shows that 1) cross-shape risk factors outperform cross-yield risk factors (i.e., yield curve level, slope, and convexity) in explaining the market risk of yield curve dynamics, 2) hedging multiple liabilities against cross-shape risk delivers superior trading strategies compared to those stemming from cross-yield risk management."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
10 => Essec\Faculty\Model\Contribution {#2254
#_index: "academ_contributions"
#_id: "651"
#_source: array:18 [
"id" => "651"
"slug" => "analytical-pricing-of-discretely-monitored-asian-style-options-theory-and-application-to-commodity-markets"
"yearMonth" => "2008-10"
"year" => "2008"
"title" => "Analytical Pricing of Discretely Monitored Asian-style Options: Theory and Application to Commodity Markets"
"description" => "FUSAI, G., MARENA, M. et RONCORONI, A. (2008). Analytical Pricing of Discretely Monitored Asian-style Options: Theory and Application to Commodity Markets. <i>Journal of Banking & Finance</i>, 32(10), pp. 2033-2045."
"authors" => array:3 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "FUSAI G."
]
2 => array:1 [
"name" => "MARENA M."
]
]
"ouvrage" => ""
"keywords" => array:6 [
0 => "Fourier transform"
1 => "Laplace transfom"
2 => "Marchés de commodités"
3 => "Marchés de l'energie"
4 => "Options asiatiques"
5 => "Temps discret"
]
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "2033-2045"
"volume" => "32"
"number" => "10"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Nous dérivons une expression analytique pour la fonction génératrice des moments du vecteur aléatoire composé du prix spot et d'une moyenne monitorée en temps discret pour une large classe des processus "square-root". Ce résultat, combiné avec la méthode d'évaluation par transformé de Fourier, tel que proposé par Carr et Madan [Carr, P., Madan D., 1999. Option valuation using the fast Fourier transform. Journal of Computational Finance 2(4), Summer, 61?73] nous permet de dériver une formule fermée pour la valeur équitable des options asiatiques monitorées en temps discret. Notre analyse comprend les cas de dynamiques de prix de commodités qui possèdent la propriété du retour à la moyenne et qui calibrent la courbe future cotée ainsi que la structure saisonnière de la volatilité du prix spot. Quatre tests ont été effectués afin de déterminer la performance relative des procédures d'évaluation conséquentes à l'utilisation de notre formule. Les résultats empiriques basés sur l'analyse des données du gaz (NYMEX) et du blé (CBOT) montrent une amélioration remarquable par rapport aux principales techniques alternatives développées en relation au modèle du marché fondé sur le mouvement Brownian géométrique."
"en" => "We compute an analytical expression for the moment generating function of the joint random vector consisting of a spot price and its discretely monitored average for a large class of square-root price dynamics. This result, combined with the Fourier transform pricing method proposed by Carr and Madan [Carr, P., Madan D., 1999. Option valuation using the fast Fourier transform. Journal of Computational Finance 2(4), Summer, 61?73] allows us to derive a closed-form formula for the fair value of discretely monitored Asian-style options. Our analysis encompasses the case of commodity price dynamics displaying mean reversion and jointly fitting a quoted futures curve and the seasonal structure of spot price volatility. Four tests are conducted to assess the relative performance of the pricing procedure stemming from our formulae. Empirical results based on natural gas data from NYMEX and corn data from CBOT show a remarkable improvement over the main alternative techniques developed for pricing Asian-style options within the market standard framework of geometric Brownian motion."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
11 => Essec\Faculty\Model\Contribution {#2255
#_index: "academ_contributions"
#_id: "3051"
#_source: array:18 [
"id" => "3051"
"slug" => "implementing-models-in-quantitative-finance-methods-and-cases"
"yearMonth" => "2008-01"
"year" => "2008"
"title" => "Implementing Models in Quantitative Finance: Methods and Cases"
"description" => "FUSAI, G. et RONCORONI, A. (2008). <i>Implementing Models in Quantitative Finance: Methods and Cases</i>. Springer, 607 pages."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "FUSAI G."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Livres"
"en" => "Books"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
12 => Essec\Faculty\Model\Contribution {#2256
#_index: "academ_contributions"
#_id: "1077"
#_source: array:18 [
"id" => "1077"
"slug" => "electricity-forward-curves-with-thin-granularity-theory-and-empirical-evidence-in-the-hourly-epex-spot-market"
"yearMonth" => "2017-09"
"year" => "2017"
"title" => "Electricity Forward Curves with Thin Granularity: Theory and Empirical Evidence in the Hourly EPEX Spot Market"
"description" => "CALDANA, R., FUSAI, G. et RONCORONI, A. (2017). Electricity Forward Curves with Thin Granularity: Theory and Empirical Evidence in the Hourly EPEX Spot Market. <i>European Journal of Operational Research</i>, 261(2), pp. 715-734."
"authors" => array:3 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "CALDANA R."
]
2 => array:1 [
"name" => "FUSAI G."
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Energy finance"
1 => "Forward pricing"
2 => "Electricity markets"
3 => "Forward curve construction"
]
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://www.sciencedirect.com/science/article/abs/pii/S0377221717301224"
"publicationInfo" => array:3 [
"pages" => "715-734"
"volume" => "261"
"number" => "2"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We propose a constructive definition of electricity forward price curve with cross-sectional timescales featuring hourly frequency on. The curve is jointly consistent with both risk-neutral market informa- tion represented by baseload and peakload futures quotes, and historical market information, as mirrored by periodical patterns exhibited by the time series of day-ahead prices. From a methodological stand- point, we combine nonparametric filtering with monotone convex interpolation such that the resulting forward curve is pathwise smooth and monotonic, cross-sectionally stable, and time local. From an em- pirical standpoint, we exhibit these features in the context of EPEX Spot and EEX Derivative markets. We perform a backtesting analysis to assess the relative quality of our forward curve estimate compared to the benchmark market model of Benth, Koekebakker, and Ollmar (2007)."
"en" => "We propose a constructive definition of electricity forward price curve with cross-sectional timescales featuring hourly frequency on. The curve is jointly consistent with both risk-neutral market informa- tion represented by baseload and peakload futures quotes, and historical market information, as mirrored by periodical patterns exhibited by the time series of day-ahead prices. From a methodological stand- point, we combine nonparametric filtering with monotone convex interpolation such that the resulting forward curve is pathwise smooth and monotonic, cross-sectionally stable, and time local. From an em- pirical standpoint, we exhibit these features in the context of EPEX Spot and EEX Derivative markets. We perform a backtesting analysis to assess the relative quality of our forward curve estimate compared to the benchmark market model of Benth, Koekebakker, and Ollmar (2007)."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
13 => Essec\Faculty\Model\Contribution {#2257
#_index: "academ_contributions"
#_id: "1234"
#_source: array:18 [
"id" => "1234"
"slug" => "flexible-rate-mortages"
"yearMonth" => "2006-01"
"year" => "2006"
"title" => "Flexible-rate Mortages"
"description" => "RONCORONI, A. et MORO, A. (2006). Flexible-rate Mortages. <i>International Journal of Business</i>, pp. 144-157."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "MORO A."
]
]
"ouvrage" => ""
"keywords" => array:1 [
0 => "Mortgages"
]
"updatedAt" => "2021-07-13 14:30:17"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "144-157"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We propose a model for the endogeneous determination of an optimal refinancing policy for mortgage loans under limited refinancing opportunities. Transaction costs are also included in the analysis. A detailed examination of the optimal exercise distributions sheds light on the impact of contract features on the average prepayment behavior in mortgage-backed securities."
"en" => "We propose a model for the endogeneous determination of an optimal refinancing policy for mortgage loans under limited refinancing opportunities. Transaction costs are also included in the analysis. A detailed examination of the optimal exercise distributions sheds light on the impact of contract features on the average prepayment behavior in mortgage-backed securities."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
14 => Essec\Faculty\Model\Contribution {#2258
#_index: "academ_contributions"
#_id: "5346"
#_source: array:18 [
"id" => "5346"
"slug" => "a-theory-of-corporate-hedge-design"
"yearMonth" => "2018-05"
"year" => "2018"
"title" => "A Theory of Corporate Hedge Design"
"description" => "RONCORONI, A. (2018). A Theory of Corporate Hedge Design. Dans: 2018 Supply Chain Finance & Risk Management Workshop."
"authors" => array:1 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
]
"ouvrage" => "2018 Supply Chain Finance & Risk Management Workshop"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
15 => Essec\Faculty\Model\Contribution {#2259
#_index: "academ_contributions"
#_id: "7866"
#_source: array:18 [
"id" => "7866"
"slug" => "a-family-of-reduced-form-models-for-electricity-prices"
"yearMonth" => "2003-06"
"year" => "2003"
"title" => "A Family of Reduced-form Models for Electricity Prices"
"description" => "GEMAN, H. et RONCORONI, A. (2003). <i>A Family of Reduced-form Models for Electricity Prices</i>. ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "GEMAN H."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "This paper presents a family of processes to model electricity spot prices in deregulated market. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in trajectories. We introduce a class of discontinuous processes exhibiting a "jump-reversion" component to properly represents these sharp upward moves shortly followed by drops of similar magnitude. Our approach allows to capture -for the first time to our knowledge- both the trajectorial and the statistical properties of electricity pool prices. The quality of the fitting is illustrated on a database of major US power markets."
"en" => "This paper presents a family of processes to model electricity spot prices in deregulated market. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in trajectories. We introduce a class of discontinuous processes exhibiting a "jump-reversion" component to properly represents these sharp upward moves shortly followed by drops of similar magnitude. Our approach allows to capture -for the first time to our knowledge- both the trajectorial and the statistical properties of electricity pool prices. The quality of the fitting is illustrated on a database of major US power markets."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
16 => Essec\Faculty\Model\Contribution {#2260
#_index: "academ_contributions"
#_id: "14435"
#_source: array:18 [
"id" => "14435"
"slug" => "theory-and-methodology-for-energy-and-commodity-markets"
"yearMonth" => "2023-07"
"year" => "2023"
"title" => "Theory and Methodology for Energy and Commodity Markets"
"description" => "IGNACIO PEÑA, J. et RONCORONI, A. (2023). Theory and Methodology for Energy and Commodity Markets. <i>Energy Economics</i>, In press."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "IGNACIO PEÑA Juan"
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Energy markets"
1 => "commodity markets"
2 => "energy economics"
3 => "financial theory"
]
"updatedAt" => "2024-10-31 13:51:19"
"publicationUrl" => "https://www.sciencedirect.com/journal/energy-economics/special-issue/102G49R40J1"
"publicationInfo" => array:3 [
"pages" => null
"volume" => "In press"
"number" => null
]
"type" => array:2 [
"fr" => "Editeur invité d'un numéro spécial"
"en" => "Guest editor of a journal special issue"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
17 => Essec\Faculty\Model\Contribution {#2261
#_index: "academ_contributions"
#_id: "14465"
#_source: array:18 [
"id" => "14465"
"slug" => "optimal-contingent-claim-under-disappointment-aversion"
"yearMonth" => "2023-05"
"year" => "2023"
"title" => "Optimal contingent claim under disappointment aversion"
"description" => "RONCORONI, A. et GUIOTTO, P. (2023). Optimal contingent claim under disappointment aversion. Dans: 67th Meeting of the Euro Working Group for Commodities and Financial Modelling (67th EWGCFM Meeting). Rome."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "GUIOTTO Paolo"
]
]
"ouvrage" => "67th Meeting of the Euro Working Group for Commodities and Financial Modelling (67th EWGCFM Meeting)"
"keywords" => []
"updatedAt" => "2024-04-10 09:55:02"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
18 => Essec\Faculty\Model\Contribution {#2262
#_index: "academ_contributions"
#_id: "8079"
#_source: array:18 [
"id" => "8079"
"slug" => "infinite-dimensional-hjm-dynamics-for-the-term-structure-of-interest-rates"
"yearMonth" => "1999-02"
"year" => "1999"
"title" => "Infinite Dimensional HJM Dynamics for the Term Structure of Interest Rates"
"description" => "GUIOTTO, P. et RONCORONI, A. (1999). <i>Infinite Dimensional HJM Dynamics for the Term Structure of Interest Rates</i>. ESSEC Business School."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "GUIOTTO P."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Ce papier traite de l'intégration de la méthode d'estimation de la gamme des taux dans une dynamique aléatoire sans arbitrage. Ce problème est résolu grâce à un modèle infini-dimensionnel qui incorpore et redéfinit les résultats de Heath, Jarrow, Morton et Musiela. Nous proposons une formule analytique d'évaluation d'un caplet, fondée sur la décomposition de la structure par terme. Une procédure de calibrage est aussi décrite."
"en" => "This paper deals with the integration of the yield curve estimation technology into an arbitrage free stochastic dynamic. This problem is solved by an infinite-dimensional model which incorporates and redefines previous results by Heath, Jarrow, Morton and Musiela. A closed-form caplet formula is provided in terms of the decomposed term structure. A calibration procedure is also described."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
19 => Essec\Faculty\Model\Contribution {#2263
#_index: "academ_contributions"
#_id: "14908"
#_source: array:18 [
"id" => "14908"
"slug" => "operational-resilience-anew"
"yearMonth" => "2024-05"
"year" => "2024"
"title" => "Operational Resilience Anew"
"description" => "RONCORONI, A. (2024). Operational Resilience Anew. Dans: 2024 Supply Chain Finance & Risk Management Workshop. Saint-Louis (Missouri)."
"authors" => array:1 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
]
"ouvrage" => "2024 Supply Chain Finance & Risk Management Workshop"
"keywords" => []
"updatedAt" => "2024-07-19 11:28:51"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
20 => Essec\Faculty\Model\Contribution {#2264
#_index: "academ_contributions"
#_id: "12574"
#_source: array:18 [
"id" => "12574"
"slug" => "a-new-integrated-risk-management-policy-for-the-newsvendor-position"
"yearMonth" => "2021-06"
"year" => "2021"
"title" => "A New Integrated Risk-Management Policy for the Newsvendor Position"
"description" => "RONCORONI, A. et GUIOTTO, P. (2021). A New Integrated Risk-Management Policy for the Newsvendor Position. Dans: 2021 Commodity and Energy Markets Association (CEMA) Annual Meeting. Online."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "GUIOTTO Paolo"
]
]
"ouvrage" => "2021 Commodity and Energy Markets Association (CEMA) Annual Meeting"
"keywords" => []
"updatedAt" => "2024-03-20 16:35:42"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
21 => Essec\Faculty\Model\Contribution {#2265
#_index: "academ_contributions"
#_id: "12693"
#_source: array:18 [
"id" => "12693"
"slug" => "a-new-framework-for-financial-risk-management"
"yearMonth" => "2021-07"
"year" => "2021"
"title" => "A New Framework for Financial Risk Management"
"description" => "RONCORONI, A. (2021). A New Framework for Financial Risk Management. <i>ESSEC Knowledge</i>."
"authors" => array:1 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-11-02 13:42:18"
"publicationUrl" => "https://knowledge.essec.edu/en/economy-finance/new-framework-financial-risk-management.html"
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Articles ou vidéos de vulgarisation"
"en" => "Press article, video or other popular media"
]
"support_type" => array:2 [
"fr" => "Presse"
"en" => "Press"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
22 => Essec\Faculty\Model\Contribution {#2266
#_index: "academ_contributions"
#_id: "6124"
#_source: array:18 [
"id" => "6124"
"slug" => "how-firms-should-hedge-non-tradable-risk"
"yearMonth" => "2016-11"
"year" => "2016"
"title" => "How Firms Should Hedge Non-Tradable Risk?"
"description" => "RONCORONI, A. (2016). How Firms Should Hedge Non-Tradable Risk? Dans: Seminar Talks in the Winter Term 16/17."
"authors" => array:1 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
]
"ouvrage" => "Seminar Talks in the Winter Term 16/17"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Corporate commitments often exhibit a combined financial exposure to both market prices and idiosyncratic non-tradable components (e.g., volume, load, or business turnover). We design customized contracts to optimally mitigate the risk of joint fluctuations in price and size terms. Hedges are sought out among contingent claims written on price and any quoted index that is statistically dependent on commitment size. Solutions are derived for optimal custom hedges for a variety of tradable claim universes, including price linear, price-index linear, price-index additive non-linear, and fully nonlinear derivatives, under increasingly complex dependence structures. Corresponding pay-off functions are computed either analytically or numerically by using Neumann series expansion of the associated Fredholm system solution. Empirical analysis based on data quoted on the EPEX SPOT power market and on the US gas markets show the performance or our custom hedge solutions in real contexts."
"en" => "Corporate commitments often exhibit a combined financial exposure to both market prices and idiosyncratic non-tradable components (e.g., volume, load, or business turnover). We design customized contracts to optimally mitigate the risk of joint fluctuations in price and size terms. Hedges are sought out among contingent claims written on price and any quoted index that is statistically dependent on commitment size. Solutions are derived for optimal custom hedges for a variety of tradable claim universes, including price linear, price-index linear, price-index additive non-linear, and fully nonlinear derivatives, under increasingly complex dependence structures. Corresponding pay-off functions are computed either analytically or numerically by using Neumann series expansion of the associated Fredholm system solution. Empirical analysis based on data quoted on the EPEX SPOT power market and on the US gas markets show the performance or our custom hedge solutions in real contexts."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
23 => Essec\Faculty\Model\Contribution {#2267
#_index: "academ_contributions"
#_id: "6135"
#_source: array:18 [
"id" => "6135"
"slug" => "how-should-commodity-funds-decisions-and-performance-react-to-size-driven-liquidity-frictions"
"yearMonth" => "2016-06"
"year" => "2016"
"title" => "How Should Commodity Funds Decisions and Performance React to Size-Driven Liquidity Frictions?"
"description" => "LECESNE, L. et RONCORONI, A. (2016). How Should Commodity Funds Decisions and Performance React to Size-Driven Liquidity Frictions? Dans: Energy & Commodity Finance Conference 2016 (Ecomfin)."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "LECESNE L."
]
]
"ouvrage" => "Energy & Commodity Finance Conference 2016 (Ecomfin)"
"keywords" => []
"updatedAt" => "2021-07-13 14:31:09"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "When commodity funds increase their size through incoming financial resources, portfolio managers may upscale the standing portfolio thus preserving portfolio weights. Alternatively, they may update portfolio composition, possibly tackling new investment opportunities, or implementing any combination of the two. These solutions all entail additional costs related to searching actions and liquidity issues affecting the assets. Whatever is the retained choice, it in principle has a varying impact on fund performance. We develop in this paper a model that incorporates liquidity frictions in performance measurement. This model recovers the stylized fact that funds performance usually decreases with size. Its main contribution is that it enables prescribing how funds portfolio managers should invest new incoming resources in order to maximize portfolio performance under liquidity constraints. We assess our model empirically on a dataset of commodity futures contract. One major result that we get is that the proportion of wealth invested in liquid commodity contracts should increase with fund wealth at the expense of less liquid contracts, whatever the return over volatility ratios of these assets."
"en" => "When commodity funds increase their size through incoming financial resources, portfolio managers may upscale the standing portfolio thus preserving portfolio weights. Alternatively, they may update portfolio composition, possibly tackling new investment opportunities, or implementing any combination of the two. These solutions all entail additional costs related to searching actions and liquidity issues affecting the assets. Whatever is the retained choice, it in principle has a varying impact on fund performance. We develop in this paper a model that incorporates liquidity frictions in performance measurement. This model recovers the stylized fact that funds performance usually decreases with size. Its main contribution is that it enables prescribing how funds portfolio managers should invest new incoming resources in order to maximize portfolio performance under liquidity constraints. We assess our model empirically on a dataset of commodity futures contract. One major result that we get is that the proportion of wealth invested in liquid commodity contracts should increase with fund wealth at the expense of less liquid contracts, whatever the return over volatility ratios of these assets."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
24 => Essec\Faculty\Model\Contribution {#2268
#_index: "academ_contributions"
#_id: "7700"
#_source: array:18 [
"id" => "7700"
"slug" => "handbook-of-multi-commodity-markets-and-products-structuring-trading-and-risk-management"
"yearMonth" => "2015-03"
"year" => "2015"
"title" => "Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management"
"description" => "RONCORONI, A., FUSAI, G. et CUMMINS, M. [Eds] (2015). <i>Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management</i>. Wiley, 1064 pages."
"authors" => array:3 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:2 [
"name" => "CUMMINS Matt"
"bid" => "B00791033"
]
2 => array:1 [
"name" => "FUSAI G."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-06 16:57:04"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Direction d'ouvrage"
"en" => "Book editor"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => """
Gradual deregulation and the resulting increase in diversity and activity have driven the evolution of the traditionally segmented market toward integration, raising important questions about opportunity identification and analysis in multi-commodity deals. This book helps professionals navigate the shift, providing in-depth information and practical advice.\n
As one of the only markets strong enough to boom during the credit crunch, the commodities markets are growing rapidly. Combined with increasing convergence, this transition presents potentially valuable opportunities for the development of a robust multi-commodity portfolio. For the professional seeking deeper understanding and a more effective strategy, the Handbook of Multi-Commodity Markets and Products offers complete information and expert guidance
"""
"en" => """
Gradual deregulation and the resulting increase in diversity and activity have driven the evolution of the traditionally segmented market toward integration, raising important questions about opportunity identification and analysis in multi-commodity deals. This book helps professionals navigate the shift, providing in-depth information and practical advice.\n
As one of the only markets strong enough to boom during the credit crunch, the commodities markets are growing rapidly. Combined with increasing convergence, this transition presents potentially valuable opportunities for the development of a robust multi-commodity portfolio. For the professional seeking deeper understanding and a more effective strategy, the Handbook of Multi-Commodity Markets and Products offers complete information and expert guidance
"""
]
"authors_fields" => array:2 [
"fr" => "Marketing"
"en" => "Marketing"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
25 => Essec\Faculty\Model\Contribution {#2269
#_index: "academ_contributions"
#_id: "4042"
#_source: array:18 [
"id" => "4042"
"slug" => "nonparametric-estimation-of-energy-and-commodity-price-processes"
"yearMonth" => "2015-03"
"year" => "2015"
"title" => "Nonparametric Estimation of Energy and Commodity Price Processes"
"description" => "FIGA TALAMANCA, G. et RONCORONI, A. (2015). Nonparametric Estimation of Energy and Commodity Price Processes. Dans: <i>Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management</i>. 1st ed. Wiley, pp. 659-672."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "FIGA TALAMANCA Gianna"
]
]
"ouvrage" => "Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management"
"keywords" => []
"updatedAt" => "2023-09-26 11:26:36"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "659-672"
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Chapitres"
"en" => "Book chapters"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "This chapter explains the testing of the consistency of the diffusion model with changes in the log-price of several commodities. It introduces the main issue of estimating diffusion processes by finite sample data and describes the estimation techniques to daily prices of crude oil, corn, copper and gold from May 2006 to March 2009. The chapter simultaneously detects whether daily time series of the price of such commodities are generated by a continuous diffusion model and identifies the functional forms in the dynamics of the corresponding log-price process. It reports the estimated values for the drift function, the diffusion function and the jump intensity function assuming that the dynamics of the log-prices is described by the diffusion model. The diffusion function is well represented by a linear decreasing function for all analysed commodities. It shows the highest variability across the analysed data sets."
"en" => "This chapter explains the testing of the consistency of the diffusion model with changes in the log-price of several commodities. It introduces the main issue of estimating diffusion processes by finite sample data and describes the estimation techniques to daily prices of crude oil, corn, copper and gold from May 2006 to March 2009. The chapter simultaneously detects whether daily time series of the price of such commodities are generated by a continuous diffusion model and identifies the functional forms in the dynamics of the corresponding log-price process. It reports the estimated values for the drift function, the diffusion function and the jump intensity function assuming that the dynamics of the log-prices is described by the diffusion model. The diffusion function is well represented by a linear decreasing function for all analysed commodities. It shows the highest variability across the analysed data sets."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
26 => Essec\Faculty\Model\Contribution {#2270
#_index: "academ_contributions"
#_id: "4242"
#_source: array:18 [
"id" => "4242"
"slug" => "theory-and-calibration-of-hjm-with-shape-factors"
"yearMonth" => "2001-11"
"year" => "2001"
"title" => "Theory and Calibration of HJM with Shape Factors"
"description" => "RONCORONI, A. et GUIOTTO, P. (2001). Theory and Calibration of HJM with Shape Factors. Dans: <i>Mathematical Finance. Bachelier Congress 2000</i>. 1st ed. Springer, pp. 407-426."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "GUIOTTO P."
]
]
"ouvrage" => "Mathematical Finance. Bachelier Congress 2000"
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "407-426"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Chapitres"
"en" => "Book chapters"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "On propose un modèle dynamique pour l'évolution de la structure par terme de taux d'intérêt en l'absence d'opportunité d'arbitrage, dirigé par un nombre infini de facteurs. Chaque facteur représente une forme de base pour la courbe de taux forward instantanée dans un marché donné. On examine le problème de cohérence entre l'espace infini dimensionnel de polynômes où la courbe est calculée jour par jour et l'équation d'évolution proposée. Le résultat principal réside dans une procédure hybride de calibrage historico-implicite pour le modèle factoriel infini-dimensionnel. Dans ce contexte, nous calculons aussi une formule explicite pour le prix d'un caplet."
"en" => "We construct arbitrage fee dynamics for the term structure of interest rates driven by infinitely many factors, each one representing a basic shape for the instantaneous forward rate curve in a given market. The consistency between a finite-dimensional space of polynomials where the curve is day-to-day recovered and the proposed evolution equation is investigated. The main result is the development of historical-implicit hybrid calibration procedure for our infinite-dimensional shape factor model. In this context, we also derive a pricing formula for caplets."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
27 => Essec\Faculty\Model\Contribution {#2271
#_index: "academ_contributions"
#_id: "10772"
#_source: array:18 [
"id" => "10772"
"slug" => "a-new-integrated-risk-management-policy-for-the-newsvendor-position"
"yearMonth" => "2019-12"
"year" => "2019"
"title" => "A New Integrated Risk-Management Policy for the Newsvendor Position"
"description" => "GUIOTTO, P. et RONCORONI, A. (2019). A New Integrated Risk-Management Policy for the Newsvendor Position. Dans: 2019 Energy Finance Christmas Workshop (EFC19)."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "GUIOTTO P."
]
]
"ouvrage" => "2019 Energy Finance Christmas Workshop (EFC19)"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
28 => Essec\Faculty\Model\Contribution {#2272
#_index: "academ_contributions"
#_id: "10825"
#_source: array:18 [
"id" => "10825"
"slug" => "a-new-integrated-risk-management-policy-for-the-newsvendor-position"
"yearMonth" => "2020-04"
"year" => "2020"
"title" => "A New Integrated Risk-Management Policy for the Newsvendor Position"
"description" => "RONCORONI, A. et GUIOTTO, P. (2020). A New Integrated Risk-Management Policy for the Newsvendor Position. Dans: 31st POMS Annual Conference 2020."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "GUIOTTO P."
]
]
"ouvrage" => "31st POMS Annual Conference 2020"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
29 => Essec\Faculty\Model\Contribution {#2273
#_index: "academ_contributions"
#_id: "10826"
#_source: array:18 [
"id" => "10826"
"slug" => "the-term-structure-of-optimal-operations-the-newsvendor-case"
"yearMonth" => "2020-05"
"year" => "2020"
"title" => "The Term Structure of Optimal Operations: the Newsvendor Case"
"description" => "GUIOTTO, P., RONCORONI, A. et TURCIC, D. (2020). The Term Structure of Optimal Operations: the Newsvendor Case. Dans: 2020 Supply Chain Finance & Risk Management Worskhop."
"authors" => array:3 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "GUIOTTO P."
]
2 => array:1 [
"name" => "TURCIC D."
]
]
"ouvrage" => "2020 Supply Chain Finance & Risk Management Worskhop"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
30 => Essec\Faculty\Model\Contribution {#2274
#_index: "academ_contributions"
#_id: "8342"
#_source: array:18 [
"id" => "8342"
"slug" => "pricing-illiquid-energy-contracts-using-raroc"
"yearMonth" => "2007-10"
"year" => "2007"
"title" => "Pricing Illiquid Energy Contracts Using RAROC"
"description" => "RONCORONI, A., FIORENZANI, S. et SAITA, F. (2007). <i>Pricing Illiquid Energy Contracts Using RAROC</i>. ESSEC Business School."
"authors" => array:3 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "FIORENZANI S."
]
2 => array:1 [
"name" => "SAITA F."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2020-12-17 21:00:33"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
31 => Essec\Faculty\Model\Contribution {#2275
#_index: "academ_contributions"
#_id: "8545"
#_source: array:18 [
"id" => "8545"
"slug" => "journal-of-banking-and-finance"
"yearMonth" => "2018-09"
"year" => "2018"
"title" => "Journal of Banking and Finance"
"description" => "RONCORONI, A., PROKOPCZUK, M. et RONN, E.I. (2018). Journal of Banking and Finance. <i>Journal of Banking & Finance</i>."
"authors" => array:3 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "PROKOPCZUK M."
]
2 => array:1 [
"name" => "RONN E. I."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Editeur invité d'un numéro spécial"
"en" => "Guest editor of a journal special issue"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
32 => Essec\Faculty\Model\Contribution {#2276
#_index: "academ_contributions"
#_id: "3608"
#_source: array:18 [
"id" => "3608"
"slug" => "estimating-commodity-term-structure-volatilities"
"yearMonth" => "2015-03"
"year" => "2015"
"title" => "Estimating Commodity Term Structure Volatilities"
"description" => "RONCORONI, A., ID BRIK, R. et CUMMINS, M. (2015). Estimating Commodity Term Structure Volatilities. Dans: <i>Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management</i>. 1st ed. Wiley, pp. 635-657."
"authors" => array:3 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:2 [
"name" => "CUMMINS Matt"
"bid" => "B00791033"
]
2 => array:1 [
"name" => "ID BRIK R."
]
]
"ouvrage" => "Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management"
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "635-657"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Chapitres"
"en" => "Book chapters"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "This chapter describes two methods commonly used in estimating the volatility term structure in energy and commodity markets. The first tool estimates the parameters of a spot price-convenience yield model using the Kalman filter. The chapter also describes the method on the Gibson-Schwartz model. An application is given for West Texas Intermediate (WTI) crude oil. The chapter presents a case study in which the volatility term structure generated by the model and the empirical term structure are shown to match closely. The second tool captures the risk factors of price movements using a data reduction technique. The methodology is based on Principal components analysis (PCA) and allows reducing the dimensionality of the data. This is achieved by transforming into new variables that are uncorrelated and ordered in terms of their contribution. A case study on WTI and Henry Hub futures is presented, showcasing the strength of this estimation tool."
"en" => "This chapter describes two methods commonly used in estimating the volatility term structure in energy and commodity markets. The first tool estimates the parameters of a spot price-convenience yield model using the Kalman filter. The chapter also describes the method on the Gibson-Schwartz model. An application is given for West Texas Intermediate (WTI) crude oil. The chapter presents a case study in which the volatility term structure generated by the model and the empirical term structure are shown to match closely. The second tool captures the risk factors of price movements using a data reduction technique. The methodology is based on Principal components analysis (PCA) and allows reducing the dimensionality of the data. This is achieved by transforming into new variables that are uncorrelated and ordered in terms of their contribution. A case study on WTI and Henry Hub futures is presented, showcasing the strength of this estimation tool."
]
"authors_fields" => array:2 [
"fr" => "Marketing"
"en" => "Marketing"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
33 => Essec\Faculty\Model\Contribution {#2277
#_index: "academ_contributions"
#_id: "9390"
#_source: array:18 [
"id" => "9390"
"slug" => "introduction-special-issue-on-commodity-and-energy-markets-in-the-journal-of-banking-and-finance"
"yearMonth" => "2018-09"
"year" => "2018"
"title" => "Introduction—Special Issue on Commodity and Energy Markets in the Journal of Banking and Finance"
"description" => "RONCORONI, A., PROKOPCZUK, M. et RONN, E.I. (2018). Introduction—Special Issue on Commodity and Energy Markets in the Journal of Banking and Finance. <i>Journal of Banking & Finance</i>, pp. 1-4."
"authors" => array:3 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "PROKOPCZUK M."
]
2 => array:1 [
"name" => "RONN E. I."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "1-4"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Préfaces / Introductions de revue"
"en" => "Prefaces of a journal"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
34 => Essec\Faculty\Model\Contribution {#2278
#_index: "academ_contributions"
#_id: "3706"
#_source: array:18 [
"id" => "3706"
"slug" => "how-to-build-electricity-forward-curves"
"yearMonth" => "2015-03"
"year" => "2015"
"title" => "How to Build Electricity Forward Curves"
"description" => "CALDANA, R., FUSAI, G. et RONCORONI, A. (2015). How to Build Electricity Forward Curves. Dans: <i>Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management</i>. 1st ed. Wiley, pp. 673-685."
"authors" => array:3 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "CALDANA R."
]
2 => array:1 [
"name" => "FUSAI G."
]
]
"ouvrage" => "Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management"
"keywords" => []
"updatedAt" => "2021-09-06 14:06:32"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "673-685"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Chapitres"
"en" => "Book chapters"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "This chapter illustrates a practical and effective algorithm to build an electricity forward curve (EFC) with daily granularity compatible with market quotes stemming from exchange-traded as well as over-the-counter (OTC) quotations. It briefly reviews the literature in the field, focusing on the elements lacking in existing methodologies for the purpose of accomplishing the task in hand. The chapter introduces the energy markets, focusing on the electricity segment, and describes the mechanics of electricity forward contracts. It delves into the core of the subject by explaining how to estimate a periodical price component and convey this piece of information into a quantitative assessment of a term structure forward price with daily granularity. EFCs are particularly useful for marking to market a standing portfolio of electricity-related positions of an industrial company or financial institution. The method of Benth et al. is described briefly in the chapter."
"en" => "This chapter illustrates a practical and effective algorithm to build an electricity forward curve (EFC) with daily granularity compatible with market quotes stemming from exchange-traded as well as over-the-counter (OTC) quotations. It briefly reviews the literature in the field, focusing on the elements lacking in existing methodologies for the purpose of accomplishing the task in hand. The chapter introduces the energy markets, focusing on the electricity segment, and describes the mechanics of electricity forward contracts. It delves into the core of the subject by explaining how to estimate a periodical price component and convey this piece of information into a quantitative assessment of a term structure forward price with daily granularity. EFCs are particularly useful for marking to market a standing portfolio of electricity-related positions of an industrial company or financial institution. The method of Benth et al. is described briefly in the chapter."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
35 => Essec\Faculty\Model\Contribution {#2279
#_index: "academ_contributions"
#_id: "6806"
#_source: array:18 [
"id" => "6806"
"slug" => "optimal-custom-hedge-of-quantity-risk"
"yearMonth" => "2017-10"
"year" => "2017"
"title" => "Optimal Custom Hedge of Quantity Risk"
"description" => "RONCORONI, A. (2017). Optimal Custom Hedge of Quantity Risk. Dans: 2017 Institute for Operations Research and the Management Sciences (INFORMS) Annual Meeting."
"authors" => array:1 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
]
"ouvrage" => "2017 Institute for Operations Research and the Management Sciences (INFORMS) Annual Meeting"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
36 => Essec\Faculty\Model\Contribution {#2280
#_index: "academ_contributions"
#_id: "6813"
#_source: array:18 [
"id" => "6813"
"slug" => "optimal-financial-hedging-of-nontradable-risk"
"yearMonth" => "2017-05"
"year" => "2017"
"title" => "Optimal Financial Hedging of Nontradable Risk"
"description" => "GUIOTTO, P. et RONCORONI, A. (2017). Optimal Financial Hedging of Nontradable Risk. Dans: 2017 International Symposium on Environment and Energy Finance Issues."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "GUIOTTO P."
]
]
"ouvrage" => "2017 International Symposium on Environment and Energy Finance Issues"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
37 => Essec\Faculty\Model\Contribution {#2281
#_index: "academ_contributions"
#_id: "6814"
#_source: array:18 [
"id" => "6814"
"slug" => "optimal-financial-hedging-of-nontradable-risk"
"yearMonth" => "2017-09"
"year" => "2017"
"title" => "Optimal Financial Hedging of Nontradable Risk"
"description" => "GUIOTTO, P. et RONCORONI, A. (2017). Optimal Financial Hedging of Nontradable Risk. Dans: 41st Annual Meeting of the Association for Mathematics Applied to Social and Economic Sciences (AMASES 2017)."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "GUIOTTO P."
]
]
"ouvrage" => "41st Annual Meeting of the Association for Mathematics Applied to Social and Economic Sciences (AMASES 2017)"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
38 => Essec\Faculty\Model\Contribution {#2282
#_index: "academ_contributions"
#_id: "6818"
#_source: array:18 [
"id" => "6818"
"slug" => "optimal-hedge-design"
"yearMonth" => "2016-11"
"year" => "2016"
"title" => "Optimal Hedge Design"
"description" => "RONCORONI, A. et ID BRIK, R. (2016). Optimal Hedge Design. Dans: SIAM Conference 2016 on Financial Mathematics and Engineering (FM16)."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "ID BRIK R."
]
]
"ouvrage" => "SIAM Conference 2016 on Financial Mathematics and Engineering (FM16)"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
39 => Essec\Faculty\Model\Contribution {#2283
#_index: "academ_contributions"
#_id: "6822"
#_source: array:18 [
"id" => "6822"
"slug" => "optimal-portfolio-insurance-and-allocation"
"yearMonth" => "2019-09"
"year" => "2019"
"title" => "Optimal Portfolio Insurance and Allocation"
"description" => "GUIOTTO, P., RONCORONI, A. et TÉDONGAP, R. (2019). Optimal Portfolio Insurance and Allocation. Dans: Nonstandard Investment Choice."
"authors" => array:3 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
2 => array:1 [
"name" => "GUIOTTO P."
]
]
"ouvrage" => "Nonstandard Investment Choice"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
40 => Essec\Faculty\Model\Contribution {#2284
#_index: "academ_contributions"
#_id: "6823"
#_source: array:18 [
"id" => "6823"
"slug" => "optimal-positioning-in-the-derivative-market-reviewfoundations-and-trends"
"yearMonth" => "2018-11"
"year" => "2018"
"title" => """
Optimal Positioning in the Derivative Market: Review,\n
Foundations, and Trends
"""
"description" => """
GUIOTTO, P. et RONCORONI, A. (2018). Optimal Positioning in the Derivative Market: Review,\n
Foundations, and Trends. Dans: 2018 Symposium on Energy and Finance.
"""
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "GUIOTTO P."
]
]
"ouvrage" => "2018 Symposium on Energy and Finance"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
41 => Essec\Faculty\Model\Contribution {#2285
#_index: "academ_contributions"
#_id: "2484"
#_source: array:18 [
"id" => "2484"
"slug" => "shape-factors-and-cross-sectional-risk"
"yearMonth" => "2010-11"
"year" => "2010"
"title" => "Shape factors and cross-sectional risk"
"description" => "RONCORONI, A., GALLUCCIO, S. et GUIOTTO, P. (2010). Shape factors and cross-sectional risk. <i>Journal of Economic Dynamics and Control</i>, 34(11), pp. 2320-2340."
"authors" => array:3 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "GALLUCCIO S."
]
2 => array:1 [
"name" => "GUIOTTO P."
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Risk measures"
1 => "Factor analysis"
2 => "Cross-sectional analysis"
3 => "Interest rates"
]
"updatedAt" => "2021-02-02 16:16:18"
"publicationUrl" => "https://doi.org/10.1016/j.jedc.2010.06.002"
"publicationInfo" => array:3 [
"pages" => "2320-2340"
"volume" => "34"
"number" => "11"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Galluccio and Roncoroni (2006) empirically demonstrate that cross-sectional data provide relevant information when assessing dynamic risk in fixed income markets. We put forward a theoretical framework supporting that finding based on a notion of "shape factors". We devise an econometric procedure to identify shape factors, propose a dynamic model for the yield curve, develop a corresponding arbitrage pricing theory, derive interest rate pricing formulae, and study the analytical properties exhibited by a finite factor restriction of rate dynamics that is cross-sectionally consistent with a family of exponentially weighed polynomials. We also conduct an empirical analysis of cross-sectional risk affecting US swap, Euro bond, and oil price data sets. Results support the conclusion whereby shape factors outperform the classical yield (resp., price) factors (i.e., level, slope, and convexity) in explaining the underlying fixed income (resp., commodity) market risk. The methodology can in principle be used for understanding the intertemporal dynamics of any cross-sectional data"
"en" => "Galluccio and Roncoroni (2006) empirically demonstrate that cross-sectional data provide relevant information when assessing dynamic risk in fixed income markets. We put forward a theoretical framework supporting that finding based on a notion of "shape factors". We devise an econometric procedure to identify shape factors, propose a dynamic model for the yield curve, develop a corresponding arbitrage pricing theory, derive interest rate pricing formulae, and study the analytical properties exhibited by a finite factor restriction of rate dynamics that is cross-sectionally consistent with a family of exponentially weighed polynomials. We also conduct an empirical analysis of cross-sectional risk affecting US swap, Euro bond, and oil price data sets. Results support the conclusion whereby shape factors outperform the classical yield (resp., price) factors (i.e., level, slope, and convexity) in explaining the underlying fixed income (resp., commodity) market risk. The methodology can in principle be used for understanding the intertemporal dynamics of any cross-sectional data"
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
42 => Essec\Faculty\Model\Contribution {#2286
#_index: "academ_contributions"
#_id: "2512"
#_source: array:18 [
"id" => "2512"
"slug" => "static-mitigation-of-volumetric-risk"
"yearMonth" => "2016-06"
"year" => "2016"
"title" => "Static Mitigation of Volumetric Risk"
"description" => "ID BRIK, R. et RONCORONI, A. (2016). Static Mitigation of Volumetric Risk. <i>Journal of Energy Markets</i>, 9(2), pp. 111-150."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "ID BRIK R."
]
]
"ouvrage" => ""
"keywords" => array:3 [
0 => "Gestion des risques d'entreprise"
1 => "Risque énergétique"
2 => "Risque volumétrique"
]
"updatedAt" => "2021-07-13 14:30:55"
"publicationUrl" => "https://www.researchgate.net/publication/303742922_Static_mitigation_of_volumetric_risk"
"publicationInfo" => array:3 [
"pages" => "111-150"
"volume" => "9"
"number" => "2"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We consider the problem of designing a financial instrument aimed at mitigating the joint exposure of energy-linked commitments to random price and volume delivery fluctuations. We formulate a functional optimization problem over a set of regular payoff functions: one is written on energy price, while the other is issued over any index exhibiting statistical correlation to volumetric load. On theoretical grounds, we derive closed-form expressions for both payoff structures under suitable conditions about the statistical properties of the underlying variables; we pursue analytical computations in the context of a lognormal market model and deliver explicit formulas for the optimal derivative instruments. On practical grounds, we first develop a comparative analysis of model output through simulation experiments; next, we perform an empirical study based on data quoted at EPEX SPOT power market. Our results suggest that combined price-volume hedging performance improves along with an increase of the correlation between load and index values. This outcome paves the way for a new class of effective strategies for managing volumetric risk upon extreme temperature waves."
"en" => "We consider the problem of designing a financial instrument aimed at mitigating the joint exposure of energy-linked commitments to random price and volume delivery fluctuations. We formulate a functional optimization problem over a set of regular payoff functions: one is written on energy price, while the other is issued over any index exhibiting statistical correlation to volumetric load. On theoretical grounds, we derive closed-form expressions for both payoff structures under suitable conditions about the statistical properties of the underlying variables; we pursue analytical computations in the context of a lognormal market model and deliver explicit formulas for the optimal derivative instruments. On practical grounds, we first develop a comparative analysis of model output through simulation experiments; next, we perform an empirical study based on data quoted at EPEX SPOT power market. Our results suggest that combined price-volume hedging performance improves along with an increase of the correlation between load and index values. This outcome paves the way for a new class of effective strategies for managing volumetric risk upon extreme temperature waves."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
43 => Essec\Faculty\Model\Contribution {#2287
#_index: "academ_contributions"
#_id: "7116"
#_source: array:18 [
"id" => "7116"
"slug" => "security-design-nontradable-risk-and-market-segmentation"
"yearMonth" => "2017-06"
"year" => "2017"
"title" => "Security Design, Nontradable Risk, and Market Segmentation"
"description" => "RONCORONI, A. (2017). Security Design, Nontradable Risk, and Market Segmentation. Dans: Commodity and Energy Markets Annual Meeting 2017."
"authors" => array:1 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
]
"ouvrage" => "Commodity and Energy Markets Annual Meeting 2017"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
44 => Essec\Faculty\Model\Contribution {#2288
#_index: "academ_contributions"
#_id: "7167"
#_source: array:18 [
"id" => "7167"
"slug" => "static-hedging-of-multiplicative-risk"
"yearMonth" => "2011-09"
"year" => "2011"
"title" => "Static Hedging of Multiplicative Risk"
"description" => "RONCORONI, A. et ID BRIK, R. (2011). Static Hedging of Multiplicative Risk. Dans: XXXV Convegno Annuale dell' AMASES."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "ID BRIK R."
]
]
"ouvrage" => "XXXV Convegno Annuale dell' AMASES"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
45 => Essec\Faculty\Model\Contribution {#2289
#_index: "academ_contributions"
#_id: "7168"
#_source: array:18 [
"id" => "7168"
"slug" => "static-hedging-of-quantity-risk"
"yearMonth" => "2016-06"
"year" => "2016"
"title" => "Static Hedging of Quantity Risk"
"description" => "RONCORONI, A. et ID BRIK, R. (2016). Static Hedging of Quantity Risk. Dans: 11th edition of the International Summer School on Risk Measurement and Control."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "ID BRIK R."
]
]
"ouvrage" => "11th edition of the International Summer School on Risk Measurement and Control"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
46 => Essec\Faculty\Model\Contribution {#2290
#_index: "academ_contributions"
#_id: "7169"
#_source: array:18 [
"id" => "7169"
"slug" => "static-mitigation-of-volumetric-risk"
"yearMonth" => "2015-03"
"year" => "2015"
"title" => "Static Mitigation of Volumetric Risk"
"description" => "ID BRIK, R. et RONCORONI, A. (2015). Static Mitigation of Volumetric Risk. Dans: 3rd 2015 International Symposium on Energy and Finance (ISEFI-2015)."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "ID BRIK R."
]
]
"ouvrage" => "3rd 2015 International Symposium on Energy and Finance (ISEFI-2015)"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
47 => Essec\Faculty\Model\Contribution {#2291
#_index: "academ_contributions"
#_id: "7455"
#_source: array:18 [
"id" => "7455"
"slug" => "the-term-structure-of-optimal-integrated-hedge"
"yearMonth" => "2019-05"
"year" => "2019"
"title" => "The Term Structure of Optimal Integrated Hedge"
"description" => "RONCORONI, A. (2019). The Term Structure of Optimal Integrated Hedge. Dans: 2019 Supply Chain Finance & Risk Management Workshop."
"authors" => array:1 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
]
"ouvrage" => "2019 Supply Chain Finance & Risk Management Workshop"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
48 => Essec\Faculty\Model\Contribution {#2292
#_index: "academ_contributions"
#_id: "2800"
#_source: array:18 [
"id" => "2800"
"slug" => "understanding-the-fine-structure-of-electricity-prices"
"yearMonth" => "2006-05"
"year" => "2006"
"title" => "Understanding the Fine Structure of Electricity Prices"
"description" => "GEMAN, H. et RONCORONI, A. (2006). Understanding the Fine Structure of Electricity Prices. <i>Journal of Business</i>, pp. 1225-1261."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "GEMAN H."
]
]
"ouvrage" => ""
"keywords" => array:1 [
0 => "Jump-diffusion"
]
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "1225-1261"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in trajectories. We introduce a class of discontinuous processes exhibiting a "jump-reversion" component to properly represent these sharp upward moves shortly followed by drops of similar magnitude. Our approach allows to capture -for the first time to our knowledge- both the trajectorial and the satistical properties of electricity pool prices. The quality of the fitting is illustrated on a database of major US power markets."
"en" => "This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in trajectories. We introduce a class of discontinuous processes exhibiting a "jump-reversion" component to properly represent these sharp upward moves shortly followed by drops of similar magnitude. Our approach allows to capture -for the first time to our knowledge- both the trajectorial and the satistical properties of electricity pool prices. The quality of the fitting is illustrated on a database of major US power markets."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
49 => Essec\Faculty\Model\Contribution {#2293
#_index: "academ_contributions"
#_id: "12312"
#_source: array:18 [
"id" => "12312"
"slug" => "the-term-structure-of-optimal-operations"
"yearMonth" => "2020-01"
"year" => "2020"
"title" => "The Term Structure of Optimal Operations"
"description" => "GUIOTTO, P., RONCORONI, A. et TURCIC, D. (2020). The Term Structure of Optimal Operations. <i>Foundations and Trends in Technology, Information and Operations Management</i>, 14(1–2), pp. 155-177."
"authors" => array:3 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "GUIOTTO Paolo"
]
2 => array:1 [
"name" => "TURCIC Danko"
]
]
"ouvrage" => ""
"keywords" => array:5 [
0 => "Supply chain management"
1 => "Stochastic Model "
2 => "Time series analysis"
3 => "Continuous time stochastic models"
4 => "Capacity Planning Models"
]
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "http://dx.doi.org/10.1561/0200000096-9"
"publicationInfo" => array:3 [
"pages" => "155-177"
"volume" => "14"
"number" => "1–2"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Inventory and capacity planning models generally take the time of sale as something that is exogenously given. For example, the story associated with the well-known newsvendor model is one of stocking for an upcoming selling season that will happen x units of time from now, where x is exogenous. In this paper, we re-visit the capacity planning decision by assuming that demand follows a stochastic process and study what happens when both the time of sale and capacity are decisions. When the selling price is fixed, our baseline case, we find that the optimal time to sell is either now or never. In contrast, when the selling price is stochastic, the optimal time to serve demand is somewhere between now and never. Thus, we link timing preference to two primary sources: uncertainty in demand and uncertainty in the selling price. Our results are useful whenever firms have considerable control over timing, such as in events when firms launch new products or in instances when there is no apparent selling season."
"en" => "Inventory and capacity planning models generally take the time of sale as something that is exogenously given. For example, the story associated with the well-known newsvendor model is one of stocking for an upcoming selling season that will happen x units of time from now, where x is exogenous. In this paper, we re-visit the capacity planning decision by assuming that demand follows a stochastic process and study what happens when both the time of sale and capacity are decisions. When the selling price is fixed, our baseline case, we find that the optimal time to sell is either now or never. In contrast, when the selling price is stochastic, the optimal time to serve demand is somewhere between now and never. Thus, we link timing preference to two primary sources: uncertainty in demand and uncertainty in the selling price. Our results are useful whenever firms have considerable control over timing, such as in events when firms launch new products or in instances when there is no apparent selling season."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
50 => Essec\Faculty\Model\Contribution {#2294
#_index: "academ_contributions"
#_id: "12421"
#_source: array:18 [
"id" => "12421"
"slug" => "combined-custom-hedging-optimal-design-noninsurable-exposure-and-operational-risk-management"
"yearMonth" => "2022-01"
"year" => "2022"
"title" => "Combined Custom Hedging: Optimal Design, Noninsurable Exposure, and Operational Risk Management"
"description" => "GUIOTTO, P. et RONCORONI, A. (2022). Combined Custom Hedging: Optimal Design, Noninsurable Exposure, and Operational Risk Management. <i>Operations Research</i>, 70(1), pp. 38–54."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "GUIOTTO Paolo"
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Integrated risk management"
1 => "Noninsurable risk"
2 => "Financial product design"
3 => "COVID-19 pandemic"
]
"updatedAt" => "2022-02-22 10:19:31"
"publicationUrl" => "https://pubsonline.informs.org/doi/10.1287/opre.2021.2133"
"publicationInfo" => array:3 [
"pages" => "38–54"
"volume" => "70"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We develop a normative framework for the optimal design, value assessment, and risk management integration of combined custom contingent claims. A risk-averse firm faces a mix of financially insurable and noninsurable risk. The firm seeks optimal positioning in a pair of custom claims, one written on the insurable term and another written on any listed index correlated to the noninsurable term. We prove that a unique optimum always exists unless the index is redundant and show that the optimal payoff schedules satisfy a design integral equation. We assess the firm’s incremental benefit in terms of both an indifference value and an efficiency rating; this benefit increases with the correlation of the index to the noninsurable term, and it decreases with the correlation of the index to the insurable term. Our hedge proves to be empirically relevant for a highly risk-averse firm facing a market shock (COVID-19 pandemic). In the context of a newsvendor model featuring random price and demand, we show that (i) integrating our optimal combined custom hedge with the corresponding optimal procurement policy allows the firm to obtain a significant improvement in both risk and return, and (ii) this gain may be traded off for a substantial enhancement in operational flexibility."
"en" => "We develop a normative framework for the optimal design, value assessment, and risk management integration of combined custom contingent claims. A risk-averse firm faces a mix of financially insurable and noninsurable risk. The firm seeks optimal positioning in a pair of custom claims, one written on the insurable term and another written on any listed index correlated to the noninsurable term. We prove that a unique optimum always exists unless the index is redundant and show that the optimal payoff schedules satisfy a design integral equation. We assess the firm’s incremental benefit in terms of both an indifference value and an efficiency rating; this benefit increases with the correlation of the index to the noninsurable term, and it decreases with the correlation of the index to the insurable term. Our hedge proves to be empirically relevant for a highly risk-averse firm facing a market shock (COVID-19 pandemic). In the context of a newsvendor model featuring random price and demand, we show that (i) integrating our optimal combined custom hedge with the corresponding optimal procurement policy allows the firm to obtain a significant improvement in both risk and return, and (ii) this gain may be traded off for a substantial enhancement in operational flexibility."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
51 => Essec\Faculty\Model\Contribution {#2295
#_index: "academ_contributions"
#_id: "13367"
#_source: array:18 [
"id" => "13367"
"slug" => "operations-revenue-insurance"
"yearMonth" => "2022-09"
"year" => "2022"
"title" => "Operations Revenue Insurance"
"description" => "GUIOTTO, P., RONCORONI, A. et TÉDONGAP, R. (2022). Operations Revenue Insurance. <i>Foundations and Trends in Technology, Information and Operations Management</i>, 15(3), pp. 225-246."
"authors" => array:3 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
2 => array:1 [
"name" => "GUIOTTO Paolo"
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Supply Chain Management"
1 => " Derivatives: Financial Engineering"
2 => "Financial Markets: Security Issuance"
3 => " Risk Analysis"
]
"updatedAt" => "2022-11-17 11:42:14"
"publicationUrl" => "http://dx.doi.org/10.1561/0200000102-1"
"publicationInfo" => array:3 [
"pages" => "225-246"
"volume" => "15"
"number" => "3"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We propose a new framework for the optimal design of a financial instrument to hedge nonclaimable (e.g., background, operational, and nontradable) risk embedded by business and operating revenues. Our method leverages the ability of financial markets to securitize nonfinancial assets and contingent claims written on the related notes. A new array of integrated operational and financial risk management policies is identified and an explicit solution is provided for a class of project allocation decisions."
"en" => "We propose a new framework for the optimal design of a financial instrument to hedge nonclaimable (e.g., background, operational, and nontradable) risk embedded by business and operating revenues. Our method leverages the ability of financial markets to securitize nonfinancial assets and contingent claims written on the related notes. A new array of integrated operational and financial risk management policies is identified and an explicit solution is provided for a class of project allocation decisions."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
52 => Essec\Faculty\Model\Contribution {#2296
#_index: "academ_contributions"
#_id: "14366"
#_source: array:18 [
"id" => "14366"
"slug" => "all-weather-hedging-reshoring-decision-makingand-integrated-risk-management"
"yearMonth" => "2023-10"
"year" => "2023"
"title" => """
All-Weather Hedging, Reshoring Decision Making,\n
and Integrated Risk Management
"""
"description" => """
FIGA-TALAMANCA, G., GUIOTTO, P. et RONCORONI, A. (2023). All-Weather Hedging, Reshoring Decision Making,\n
and Integrated Risk Management. Dans: 2023 Institute for Operations Research and the Management Sciences (INFORMS) Annual Meeting. Phoenix.
"""
"authors" => array:3 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "FIGA-TALAMANCA Gianna"
]
2 => array:1 [
"name" => "GUIOTTO Paolo"
]
]
"ouvrage" => "2023 Institute for Operations Research and the Management Sciences (INFORMS) Annual Meeting"
"keywords" => []
"updatedAt" => "2023-09-27 10:25:44"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-11-21T08:21:48.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 5.5977783
+"parent": null
}
53 => Essec\Faculty\Model\Contribution {#2297
#_index: "academ_contributions"
#_id: "14434"
#_source: array:18 [
"id" => "14434"
"slug" => "optimal-newsvendor-irm-with-downside-risk"
"yearMonth" => "2023-07"
"year" => "2023"
"title" => "Optimal Newsvendor IRM with Downside Risk"
"description" => "GUIOTTO, P. et RONCORONI, A. (2023). Optimal Newsvendor IRM with Downside Risk. <i>Foundations and Trends in Technology, Information and Operations Management</i>, 16(3–4), pp. 193-213."
"authors" => array:2 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
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1 => array:1 [
"name" => "GUIOTTO Paolo"
]
]
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"keywords" => array:5 [
0 => "Supply Chain Management"
1 => " Capacity Planning"
2 => " Information Systems Development: Risk Management"
3 => " Derivatives: Financial Engineering"
4 => " Financial markets: Portfolio Theory"
]
"updatedAt" => "2023-09-28 01:00:43"
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"fr" => "We analyze the way behavioral preferences featuring downside risk aversion influence the optimal integrated risk management (IRM) of newsvendor revenues. Under the stylized assumption of perfectly correlated demand with financial hedge’s underlying, we show two remarkable facts. First, the simultaneous presence of a standard and a downside risk aversion blurs the relevance of an integrated approach to risk management under a conventional expected utility framework. Second, a generalized disappointment aversion utility represents an appropriate decision making setup for devising IRM strategies whose financial hedging component exhibits a relevant effect on the operational handling term."
"en" => "We analyze the way behavioral preferences featuring downside risk aversion influence the optimal integrated risk management (IRM) of newsvendor revenues. Under the stylized assumption of perfectly correlated demand with financial hedge’s underlying, we show two remarkable facts. First, the simultaneous presence of a standard and a downside risk aversion blurs the relevance of an integrated approach to risk management under a conventional expected utility framework. Second, a generalized disappointment aversion utility represents an appropriate decision making setup for devising IRM strategies whose financial hedging component exhibits a relevant effect on the operational handling term."
]
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"fr" => "Finance"
"en" => "Finance"
]
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]
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}
54 => Essec\Faculty\Model\Contribution {#2298
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"slug" => "optimal-contingent-decision-under-disappointment-aversion-theory-and-application-to-integrated-risk-management"
"yearMonth" => "2022-05"
"year" => "2022"
"title" => "Optimal Contingent Decision under Disappointment Aversion: Theory and Application to Integrated Risk Management"
"description" => "RONCORONI, A. et GUIOTTO, P. (2022). Optimal Contingent Decision under Disappointment Aversion: Theory and Application to Integrated Risk Management. Dans: 2022 Supply Chain Finance & Risk Management Workshop. St. Louis."
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"keywords" => []
"updatedAt" => "2023-09-27 13:35:11"
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"indexedAt" => "2024-11-21T08:21:48.000Z"
]
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}
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"docTitle" => "Andrea RONCORONI"
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"docType" => "cv"
"docPreview" => "<img src="https://faculty.essec.edu/wp-content/uploads/avatars/B00006589.jpg"><span><span>Andrea RONCORONI</span><span>B00006589</span></span>"
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#_index: "academ_cv"
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