Essec\Faculty\Model\Contribution {#2216 ▼
#_index: "academ_contributions"
#_id: "563"
#_source: array:26 [
"id" => "563"
"slug" => "563-a-new-measure-of-cross-sectional-risk-and-its-empirical-implications-for-portfolio-risk-management 
563-a-new-measure-of-cross-sectional-risk-and-its-empirical-implications-for-portfolio-risk-manageme "
"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. GALLUCIO, S. et RONCORONI, A. (2006). A New Measure of Cross-sectional Risk and its Empirical Implic "
"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". Nous proposons une nouvelle mesure de risque qui vise à quantifier le lien entre la forme des struct "
"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. We introduce a new risk measure quantifying the link between cross-sectional shape and market risk. "
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2025-03-14T20:21:40.000Z"
"docTitle" => "A New Measure of Cross-sectional Risk and its Empirical Implications for Portfolio Risk Management"
"docSurtitle" => "Journal articles"
"authorNames" => "<a href="/cv/roncoroni-andrea">RONCORONI Andrea</a>, GALLUCIO S."
"docDescription" => "<span class="document-property-authors">RONCORONI Andrea, GALLUCIO S.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2006</span> <span class="document-property-authors">RONCORONI Andrea, GALLUCIO S.</span><br><span class="documen "
"keywordList" => "<a href="#">Analyse factorielle</a>, <a href="#">Gestion des risques</a>, <a href="#">Risk Management</a>, <a href="#">Risk Measures</a>, <a href="#">Taux d'intérêt</a> <a href="#">Analyse factorielle</a>, <a href="#">Gestion des risques</a>, <a href="#">Risk Managemen "
"docPreview" => "<b>A New Measure of Cross-sectional Risk and its Empirical Implications for Portfolio Risk Management</b><br><span>2006-08 | Journal articles </span> <b>A New Measure of Cross-sectional Risk and its Empirical Implications for Portfolio Risk Managemen "
"docType" => "research"
"publicationLink" => "<a href="#" target="_blank">A New Measure of Cross-sectional Risk and its Empirical Implications for Portfolio Risk Management</a> <a href="#" target="_blank">A New Measure of Cross-sectional Risk and its Empirical Implications for "
]
+lang: "en"
+"_type": "_doc"
+"_score": 9.230796
+"parent": null
}
