Concepedia
Statistics
Publications
20
Citations
1.8K
H-Index
14
Active since
1999
Affiliations
University of Lausanne(Current)
École Polytechnique Fédérale de Lausanne
ETH Zurich
Swiss Finance Institute
University of Geneva
Valérie Chavez‐Demoulin is an author at University of Lausanne specializing in business, finance, and financial economics.
Publications per year
1999–2022
Generalized Additive Modelling of Sample Extremes
Valérie Chavez‐Demoulin, A. C. Davison · Journal of the Royal Statistical Society Series C (Applied Statistics) · 2004 · 318 citations · Full text
Natural Sciences, Earth Sciences, Mountain Meteorology +16
Quantitative models for operational risk: Extremes, dependence and aggregation
Valérie Chavez‐Demoulin, Paul Embrechts, Johanna Nešlehová · Journal of Banking & Finance · 2006 · 272 citations
Business, Finance, Risk Management +14
Infinite-mean models and the LDA for operational risk
Johanna Nešlehová, Paul Embrechts, Valérie Chavez‐Demoulin · The Journal of Operational Risk · 2006 · 203 citations
Business, Risk Management, Quantitative Finance +16
Estimating value-at-risk: a point process approach
Valérie Chavez‐Demoulin, A. C. Davison, Alexander J. McNeil · Quantitative Finance · 2005 · 196 citations · Full text
Business, Economics, Finance +17
High-frequency financial data modeling using Hawkes processes
Valérie Chavez‐Demoulin, J.A. McGill · Journal of Banking & Finance · 2012 · 154 citations
Business, Data Science, Finance +9
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