Concepedia

Thierry Roncalli

TR

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Publications

53

Citations

2.9K

H-Index

25

Active since

1998

Affiliations

Université d'Évry Val-d'Essonne(Current)

Centre for Research in Engineering Surface Technology

Centre de Recherche en Économie et Statistique

École Polytechnique

Centre de Mathématiques Appliquées de l'École polytechnique

Thierry Roncalli is an author at Université d'Évry Val-d'Essonne specializing in finance, business, and statistics.

ORCID

Top concepts

Publications per year

1998–2023

53

Publications

53

The Properties of Equally Weighted Risk Contribution Portfolios

Sébastien Maillard, Thierry Roncalli, Jérôme Teïletche · The Journal of Portfolio Management · 2010 · 712 citations

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Copulas for Finance - A Reading Guide and Some Applications

Éric Bouyé, Valdo Durrleman, Ashkan Nikeghbali et al. · SSRN Electronic Journal · 2000 · 434 citations · Full text

Loss Distribution Approach for Operational Risk

Antoine Frachot, Pierre Georges, Thierry Roncalli · SSRN Electronic Journal · 2001 · 177 citations · Full text

On the Properties of Equally-Weighted Risk Contributions Portfolios

Sébastien Maillard, Thierry Roncalli, Jérôme Teïletche · SSRN Electronic Journal · 2008 · 150 citations · Full text

Which Copula is the Right One?

Valdo Durrleman, Ashkan Nikeghbali, Thierry Roncalli · SSRN Electronic Journal · 2000 · 146 citations · Full text

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