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Explainable Performance

Sullivan Hué , Christophe Hurlin , Christophe Pérignon , Sébastien Saurin
2022
Preprints, Working Papers, ... hal-03897380v1

Reproducibility of Empirical Results: Evidence from 1,000 Tests in Finance

Christophe Pérignon , Olivier Akmansoy , Christophe Hurlin , Anna Dreber , Felix Holzmeister et al.
2022
Preprints, Working Papers, ... hal-03810013v1

Statistique et probabilités en économie-gestion (2e édition)

Valérie Mignon , Christophe Hurlin
Dunod, 2022, Openbook, 978-2-10-083670-3
Books hal-03698792v1
Image document

Machine Learning for Credit Scoring: Improving Logistic Regression with Non Linear Decision Tree Effects

Elena Ivona Dumitrescu , Sullivan Hué , Christophe Hurlin , Sessi Tokpavi
European Journal of Operational Research, 2022, 297 (3), pp.1178-1192. ⟨10.1016/j.ejor.2021.06.053⟩
Journal articles hal-03331114v1

Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures

Denisa Banulescu-Radu , Christophe Hurlin , Jérémy Leymarie , Olivier Scaillet
Management Science, 2021, 67 (9), pp.5730-5754. ⟨10.1287/mnsc.2020.3751⟩
Journal articles hal-03526444v1

The Fairness of Credit Scoring Models

Christophe Hurlin , Christophe Perignon , Sébastien Saurin
2021
Preprints, Working Papers, ... hal-03501452v1
Image document

Machine Learning or Econometrics for Credit Scoring: Let's Get the Best of Both Worlds

Elena Dumitrescu , Sullivan Hué , Christophe Hurlin , Sessi Tokpavi
2021
Preprints, Working Papers, ... hal-02507499v3

Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures

Denisa Banulescu , Christophe Hurlin , Jeremy Leymarie , Olivier Scaillet
2020
Preprints, Working Papers, ... halshs-03088668v1

Reproducibility Certification in Economics Research

Christophe Hurlin , Christophe Pérignon
2020
Preprints, Working Papers, ... hal-02896404v1
Image document

Machine Learning et nouvelles sources de données pour le scoring de crédit

Christophe Hurlin , Christophe Pérignon
2019
Preprints, Working Papers, ... halshs-02377886v2

Certify reproducibility with confidential data

Christophe Pérignon , Kamel Gadouche , Christophe Hurlin , Roxane Silberman , Eric Debonnel et al.
Science, 2019, 365 (6449), pp.127-128. ⟨10.1126/science.aaw2825⟩
Journal articles hal-03528358v1

The counterparty risk exposure of ETF investors

Christophe Hurlin , Grégoire Iseli , Christophe Pérignon , Stanley Yeung
Journal of Banking and Finance, 2019, 102, pp.215-230. ⟨10.1016/j.jbankfin.2019.03.014⟩
Journal articles hal-03579305v1

Pitfalls in systemic-risk scoring

Sylvain Benoît , Christophe Hurlin , Christophe Pérignon
Journal of Financial Intermediation, 2019, 38, pp.19-44. ⟨10.1016/j.jfi.2018.05.004⟩
Journal articles hal-02292305v1

Machine learning et nouvelles sources de données pour le scoring de crédit

Christophe Hurlin , Christophe Pérignon
Revue d'économie financière, 2019, N°135 (3), pp.21-50. ⟨10.3917/ecofi.135.0021⟩
Journal articles hal-03532418v1
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Loss functions for LGD model comparison

Christophe Hurlin , Jérémy Leymarie , Antoine Patin
2018
Preprints, Working Papers, ... halshs-01516147v3

Loss Functions for LGD Models Comparison

Jérémy Leymarie , Christophe Hurlin , Antoine Patin
European Journal of Operational Research, 2018, 268 (1), pp.348-360
Journal articles hal-01923050v1

CoMargin

Jorge Cruz Lopez , Jeffrey Harris , Christophe Hurlin , Christophe Pérignon
Journal of Financial and Quantitative Analysis, 2017, 52 (5), pp.2183-2215. ⟨10.1017/S0022109017000709⟩
Journal articles hal-03579309v1

Risk Measure Inference

Christophe Hurlin , Sébastien Laurent , Rogier Quaedvlieg , Stephan Smeekes
Journal of Business and Economic Statistics, 2017, 35 (4), pp.499-512. ⟨10.1080/07350015.2015.1127815⟩
Journal articles hal-01457393v1

La relation firme-analyste explique-t-elle les erreurs de prévision des analystes ?

Régis Breton , Sébastien Galanti , Christophe Hurlin , Anne-Gaël Vaubourg
Revue Economique, 2017, Varia, 68 (6), pp.1033-1062. ⟨10.3917/reco.pr2.0103⟩
Journal articles hal-01724249v1
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Do We Need High Frequency Data to Forecast Variances?

Denisa Banulescu-Radu , Christophe Hurlin , Bertrand Candelon , Sébastien Laurent
Annals of Economics and Statistics, 2016, 123/124, pp.135--174. ⟨10.15609/annaeconstat2009.123-124.0135⟩
Journal articles hal-01448237v1

Forecasting High-Frequency Risk Measures

Denisa Banulescu , Gilbert Colletaz , Christophe Hurlin , Sessi Tokpavi
Journal of Forecasting, 2016, 35 (3), pp.224-249. ⟨10.1002/for.2374⟩
Journal articles istex hal-03554206v1
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CoMargin

Jorge A. Cruz Lopez , Jeffrey H. Harris , Christophe Hurlin , Christophe Pérignon
2015
Preprints, Working Papers, ... halshs-00979440v3
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Where the Risks Lie: A Survey on Systemic Risk

Sylvain Benoît , Jean-Edouard Colliard , Christophe Hurlin , Christophe Pérignon
2015
Preprints, Working Papers, ... halshs-01142014v2

Where the Risks Lie: A Survey on Systemic Risk

Sylvain Benoît , Jean-Edouard Colliard , Christophe Hurlin , Christophe Pérignon
2015
Preprints, Working Papers, ... hal-02011395v1
Image document

Risk Measure Inference

Christophe Hurlin , Sebastien Laurent , Rogier Quaedvlieg , Stephan Smeekes
2015
Preprints, Working Papers, ... halshs-00877279v3

Statistique et probabilités en économie-gestion

Christophe Hurlin , Valérie Mignon
Dunod, 2015, Collection Openbook
Books hal-01411459v1

A DARE for VaR

Benjamin Hamidi , Christophe Hurlin , Patrick Kouontchou , Bertrand Maillet
Finance, 2015, 36 (1), 7-38 p
Journal articles hal-02312327v1

A DARE for VaR

Benjamin Hamidi , Christophe Hurlin , Patrick Kouontchou , Bertrand Maillet
Finance, 2015, 36 (1), pp.7--38. ⟨10.3917/fina.361.0007⟩
Journal articles hal-01243402v1
Image document

Do We Need Ultra-High Frequency Data to Forecast Variances?

Georgiana-Denisa Banulescu , Bertrand Candelon , Christophe Hurlin , Sébastien Laurent
2014
Preprints, Working Papers, ... halshs-01078158v1
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Implied Risk Exposures

Sylvain Benoît , Christophe Hurlin , Christophe Pérignon
2014
Preprints, Working Papers, ... halshs-00836280v3