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Dominique Guégan

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Identifiants chercheurs

Présentation

Dominique Guégan is currently Emeritus Professor of Mathematics at the [University Paris1 Panthéon – Sorbonne](http://centredeconomiesorbonne.univ-paris1.fr/presentation/emerites/) inside the CNRS Research Laboratory CES (Centre d’Economie de la Sorbonne). Her domains of research are: Financial regulation – Fintech technology (Blockchain, big data, HFT) - non-linear econometrics modelling - Extreme value theory and risk measures in finance - pricing theory in incomplete markets- Deterministic dynamical systems. She belongs to the [LaBex ReFi](http://www.labex-refi.com/publications/working-papers/labex-refi-working-paper-series-2018/) (Financial regulation). She is an associate researcher to [University Ca’Foscari in Venezia](http://www.unive.it/pag/16868/). She has already supervised 37 PhD in economics and mathematics. She currently supervised 2 thesis. She has already published 11 books in statistics theory, time series and finance, participate for chapters in 30 books , and published more than130 academic papers . She is regularly invited in universities around the world to give seminars or lectures for long stays in Italy (Venezia , Firenze, Padova ), in Danemark (Arrhus), in The Netherlands (Rotterdam), in Belgium (Louvain), in Germany (Berlin ), in Great Britain (London, Warwick), in Russia (HCE Moscou), in Hong Kong University, in China (Shanghai , Beijing, Tianjin), in Manilla, in Japan (Tokyo), in India (Calcutta, New Delhi), in Australia (Sydney, Brisbane, Melbourne), in New Zealand, in Canada (Montreal), in Brazil ( Porto Alegre, Rio) . She also participates to several international projects supported by French government, or European Commission, or International institutions. These projects focus on the financial regulation, the measures of risks and the decisions of Basel committee in Europe, the Fintech industry, the development of long term risks and the way to take them into account both for bankers, insurance companies and individuals, the importance of systemic risks with the actual financial crisis and the globalization of the markets. These projects link the research and the works of several academic teams inside French universities, European universities, North American Universities, and also enterprises. She is nominated, since August 2018, Associated Editor in the [Journal ](http://www.frontiersin.org/people/DOMINIQUEGUEGAN/601907/activity)[Frontiers in Artificial Intelligence](http://www.frontiersin.org/people/DOMINIQUEGUEGAN/601907/activity) for the section Artificial Intelligence in Finance.

Publications

937147

More accurate measurement for enhanced controls: VaR vs ES?

Dominique Guegan , Bertrand K. Hassani
Journal of International Financial Markets, Institutions and Money, 2018, 54, pp.152-165. ⟨10.1016/j.intfin.2017.06.002⟩
Article dans une revue halshs-01917569v1
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Credit Risk Analysis Using Machine and Deep Learning Models

Dominique Guegan , Peter Martey Addo , Bertrand Hassani
Risks, 2018, Computational Methods for Risk Management in Economics and Finance, 6 (2), pp.38. ⟨10.3390/risks6020038⟩
Article dans une revue halshs-01835164v1

Regulatory learning: How to supervise machine learning models? An application to credit scoring

Dominique Guegan , Bertrand Hassani
The Journal of Finance and Data Science, 2018, 4 (3), pp.157-171. ⟨10.1016/j.jfds.2018.04.001⟩
Article dans une revue halshs-01835213v1

Measuring risks in the tail: The extreme VaR and its confidence interval

Dominique Guegan , Bertrand Hassani , Kehan Li
Risk and Decision Analysis, 2017, Risk and Decision Analysis, 6 (3), pp.213 - 224. ⟨10.3233/RDA-170128⟩
Article dans une revue halshs-01592736v1

Using a time series approach to correct serial correlation in operational risk capital calculation

Dominique Guegan , Bertrand Hassani
Journal of Operational Risk, 2013, 8 (3)
Article dans une revue hal-01310545v1

Multivariate VaRs for operational risk capital computation: a vine structure approach

Dominique Guegan , Bertrand Hassani
International Journal of Risk Assessment and Management, 2013, 17 (2), pp.148-170. ⟨10.1504/IJRAM.2013.057104⟩
Article dans une revue halshs-00645778v1
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Operational risk : A Basel II++ step before Basel III

Dominique Guegan , Bertrand Hassani
Journal of risk management in financial institutions, 2012, 6 (13), pp.37 - 53
Article dans une revue halshs-00722029v1
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An efficient threshold choice for operational risk capital computation

Dominique Guegan , Bertrand Hassani , Cédric Naud
The Journal of Operational Risk, 2011, 6 (4), pp.3 - 19
Article dans une revue halshs-00790217v1
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A modified Panjer algorithm for operational risk capital calculations

Dominique Guegan , Bertrand Hassani
Journal of Operational Risk, 2009, 4 (4), pp.53-72
Article dans une revue halshs-00443846v1

Regulatory Learning: Credit Scoring Application of Machine Learning

Dominique Guegan , Bertrand K. Hassani
DMBD 2017, Jul 2017, Fukuoka, Japan
Communication dans un congrès halshs-01905489v1

Impact of multimodality of distributions on VaR and ES calculation

Dominique Guegan , Bertrand K. Hassani , Kehan Li
10th International conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2017), Dec 2017, Senate House - Londres, United Kingdom
Communication dans un congrès halshs-01899548v1

Stress Testing Engineering: The Real Risk Measurement?

Dominique Guegan , Bertrand Hassani
Alain Bensoussan, Dominique Guégan et Charles S. Tapiero. Future Perspectives in Risk Models and Finance, Springer, pp.89-124, 2015, 978-3-319-07523-5. ⟨10.1007/978-3-319-07524-2_3⟩
Chapitre d'ouvrage hal-01310469v1

Distorsion Risk Measure or the Transformation of Unimodal Distributions into Multimodal Functions

Dominique Guegan , Bertrand Hassani
Alain Bensoussan, Dominique Guégan et Charles S. Tapiero. Future Perspectives in Risk Models and Finance, Springer, pp.71-88, 2015, 978-3-319-07523-5. ⟨10.1007/978-3-319-07524-2_2⟩
Chapitre d'ouvrage hal-01310467v1
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Credit Risk Analysis using Machine and Deep Learning models

Peter Martey Addo , Dominique Guegan , Bertrand Hassani
2018
Autre publication scientifique halshs-01719983v1
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A novel multivariate risk measure: the Kendall VaR

Matthieu Garcin , Dominique Guegan , Bertrand Hassani
2018
Autre publication scientifique halshs-01467857v2
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An alternative class of distortion operators

Dominique Guegan , Bertrand Hassani , Kehan Li
2017
Autre publication scientifique halshs-01543251v1
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Measuring risks in the extreme tail: The extreme VaR and its confidence interval

Dominique Guegan , Bertrand Hassani , Kehan Li
2017
Autre publication scientifique halshs-01317391v3
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Impact of multimodality of distributions on VaR and ES calculations

Dominique Guegan , Bertrand Hassani , Kehan Li
2017
Autre publication scientifique halshs-01491990v1
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Regulatory Learning: how to supervise machine learning models? An application to credit scoring

Dominique Guegan , Bertrand Hassani
2017
Autre publication scientifique halshs-01592168v2
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Combining risk measures to overcome their limitations - spectrum representation of the sub-additivity issue, distortion requirement and added-value of the Spatial VaR solution: An application to Regulatory Requirement for Financial Institutions

Dominique Guegan , Bertrand K. Hassani
2016
Autre publication scientifique halshs-01391103v1
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Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure

Dominique Guegan , Bertrand K. Hassani , Kehan Li
2016
Autre publication scientifique halshs-01277880v1
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More Accurate Measurement for Enhanced Controls: VaR vs ES?

Dominique Guegan , Bertrand Hassani
2016
Autre publication scientifique halshs-01281940v1
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Risk Measures At Risk- Are we missing the point?
Discussions around sub-additivity and distortion

Dominique Guegan , Bertrand K. Hassani
2016
Autre publication scientifique halshs-01318093v1
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The Spectral Stress VaR (SSVaR)

Dominique Guegan , Bertrand K. Hassani , Kehan Li
2015
Autre publication scientifique halshs-01169537v1
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Risk or Regulatory Capital? Bringing distributions back in the foreground

Dominique Guegan , Bertrand Hassani
2015
Autre publication scientifique halshs-01169268v1
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Stress Testing Engineering: the real risk measurement?

Dominique Guegan , Bertrand Hassani
2014
Autre publication scientifique halshs-00951593v1
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Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions

Dominique Guegan , Bertrand Hassani
2014
Autre publication scientifique halshs-00969242v1
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Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institutions Investment Decisions

Dominique Guegan , Bertrand Hassani , Xin Zhao
2013
Autre publication scientifique halshs-00820839v1
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Using a time series approach to correct serial correlation in operational risk capital calculation

Dominique Guegan , Bertrand Hassani
2013
Autre publication scientifique halshs-00771387v2
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Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach

Dominique Guegan , Bertrand Hassani
2012
Autre publication scientifique halshs-00587706v3
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A mathematical resurgence of risk management: an extreme modeling of expert opinions

Dominique Guegan , Bertrand Hassani
2011
Autre publication scientifique halshs-00639666v1
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Operational risk: A Basel II++ step before Basel III

Dominique Guegan , Bertrand Hassani
2011
Autre publication scientifique halshs-00639484v3
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An efficient threshold choice for operational risk capital computation

Dominique Guegan , Bertrand Hassani , Cédric Naud
2010
Autre publication scientifique halshs-00544342v2
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A new algorithm for the loss distribution function with applications to Operational Risk Management

Dominique Guegan , Bertrand Hassani
2009
Autre publication scientifique halshs-00384398v2