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Christian Pierre Walter

Christian Pierre Walter
Fondation Maison des sciences de l'homme Paris · Collège d'études mondiales

Professor

About

58
Publications
12,250
Reads
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403
Citations
Introduction
Welcome to my page. I am both an actuary and a philosopher: Fully Qualified Actuary (FQA), Chartered Enterprise Risk Actuary (CERA), Chair Holder (Ethics and Finance) FMSH, Center for contemporary philosophy of Univ. Paris 1 Panthéon-Sorbonne (ISJPS, UMR 8103). Teaching position : Professor (Kedge BS). To learn more about my work in progress, please visit my blog : http://epistemofinance.hypotheses.org/ and my ORCID page https://orcid.org/0000-0002-2438-610X
Additional affiliations
September 2018 - September 2020
Kedge Business School
Position
  • Professor
Description
  • La pratique de la modélisation a profondément modifié le paysage des professions financières dans le monde. Le séminaire a pour objet l’examen de ces questions à partir de l’analyse des formes successives qu’a prise la modélisation du risque.
September 2013 - September 2020
Fondation Maison des sciences de l'homme
Position
  • Chair
September 2011 - June 2014
Université de Paris 1 Panthéon-Sorbonne
Position
  • Professor (Associate)
Education
January 2016 - December 2016
Institut des actuaires - International Actuarial Association
Field of study
January 2002 - December 2004
January 1990 - December 1994
Sciences Po Paris
Field of study

Publications

Publications (58)
Article
Full-text available
Excessive volatility : irrational behaviours or intellectual dividing ? The main assumption to explain high volatility of markets is the irrational behaviours of investors. This analysis contrasts the « good » economy with the « bad » stock exchange. The author presents the origins of this concept and describes the dividing it implies in modelling...
Article
Full-text available
The ethics of finance cannot be limited to professional deontology but must include consideration of the impact of management tools, particularly those that contain a representation of risk. As the real machinery of professional finance, the management tools that carry a representation of risk have an impact that is at once organizational (control...
Article
Full-text available
This article argues that any ecological finance theory devised to fit the Sustainable Development Goals (SDGs) needs a paradigm shift in the morphology of randomness underlying financial risk modelling, by integrating the characteristics of “nature” and sustainability into the modelling carried out. It extends the common diagnosis of the 2008 finan...
Chapter
This chapter discusses the threat posed by rare but high-impact events in finance: serious market crashes or financial meltdowns, such as the crisis of 2008. These crises have been metaphorically interpreted as “black swans” by Nassim Taleb in a book that made a worldwide impression, The Black Swan: The Impact of the Highly Improbable (2007). A “bl...
Article
Full-text available
Market risk regulations adopted in response to recent crises aim to reduce financial risks. Nevertheless, a large number of practitioners feel that even, if these rules seem to succeed in lowering volatility, they appear to rigidify the financial structure of the economic system and tend to increase the probability of large jumps: prudential rules...
Article
Full-text available
While in medicine, comparison of the data supplied by a clinical syndrome with the data supplied by the biological system is used to arrive at the most accurate diagnosis, the same cannot be said of financial economics: the accumulation of statistical results that contradict the Brownian hypothesis used in risk modelling, combined with serious empi...
Chapter
Full-text available
This chapter gives an overview of one of the main crises in financial modelling termed the “leptokurtic crisis” and its consequences for the crisis of the paradigm of financial modelling. This paradigm was based on Brownian representation of market dynamics since the Bachelier’s 1900 thesis. The leptokurtic crisis was opened by Benoît Mandelbrot in...
Chapter
Full-text available
In this chapter, one considers finance at its very foundations, namely, at the place where assumptions are being made about the ways to measure the two key ingredients of finance: Risk and return. It is well known that returns for a large class of assets display a number of stylized facts that cannot be squared with the traditional views of 1960s f...
Chapter
Full-text available
This chapter aims at introducing the concept of « Informationally Efficient Market » with the intent to set in the frame of economic philosophy some notions actually present in contemporary finance theory and some issues still at stake to our days, both in the financial industry that attempts at making the best use of these concepts and in the gene...
Chapter
There are fundamentally two different ways of viewing the uncertainty of financial asset prices in continuous time. The first assumes the principle of continuity, the second does not. This chapter develops the relationships connecting the Levy processes and extreme value theory (EVT). It begins by defining the modeling alternative and the challenge...
Chapter
Full-text available
This chapter gives an overview of the financial modeling of extreme values by using discontinuous stochastic Lévy processes. At least two distinct programs using these processes are currently established in financial modeling: the first Mandelbrot program based on stable Lévy processes and the alternative nonstable Lévy processes-based approach. I...
Article
This paper introduces the notion of “financial Logos”, defined as a structuring discourse embedded in management tools and beliefs of financial practices. I hypothesize that this discourse contains a specific representation of risk mathematically modelled by probability measures. Next I use a performativity based approach to describe the concrete a...
Article
Full-text available
This article presents a conventionalist interpretation of the financialization of the economy. We define three periods, each one associated with conventional calculation systems that may shape investment decisions. Each of these periods begins with the adoption by financial practitioners of a new "convention" to make investment decisions: the actua...
Preprint
I describe the changes of the financial theory over the long run by using the sociological notion of quantification and by coining a new terminology and framework: the first and second quantifications of this theory. I present an overview of the two quantifications by mirroring them with a stylized elementary market moving towards equilibrium. Then...
Article
Full-text available
Awareness of a profound dysfunction in the financialized economy has arisen and many voices have been raised to draw attention to this problem but, it seems, without identifying its intellectual source precisely. I argue that this source lies in a fundamental theoretical transformation in financial mathematics, which appeared in the 1980s and which...
Article
Cet article présente le calcul de la Value-at-Risk et d’autres indicateurs de risque lorsque des processus de Lévy sont employés pour modéliser les dynamiques de rentabilités d’actifs. Nous proposons tout d’abord une nouvelle présentation des processus Variance Gamma avec dérive : nous les reconstruisons de manière originale en partant de la distri...
Article
Full-text available
Ce texte constitue le chapitre 2 de l'ouvrage Le modèle de marche au hasard en finance, de Christian Walter, à paraître chez Economica, collection " Audit, assurance, actuariat ", en juin 2013. Il est publié ici avec l'accord de l'éditeur.
Article
Full-text available
Performation and Supervision of the Financial System Supervision of the financial system must take into consideration the effects of management tools and in particular the ones representing risk. Real machinery of the professional finance, management tools have several and simultaneous effects: organizational (control procedures), institutional (in...
Article
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Article
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Financial ethics should not overlook the impact of mental representations on the workings of the market system. It is necessary to analyse the mathematical evaluation of risk. The Brown virus is an intellectual ill that attacks our concepts of uncertainty and leads us to believe that it is possible to control and calculate risk that can then be fac...
Book
La crise financière de 2008 a placé l’ensemble des règles comptables et prudentielles de la finance sur le banc des accusés. Or ces normes qui règlent la vie du monde financier ont subi une profonde refonte depuis les années 1990. Devant l’ampleur des dysfonctionnements révélés par la crise, ce livre propose de refonder de nouvelles normes financiè...
Article
The Basle 2 Capital Accord issued by the Basle Committee on banking supervision has proposed a multiplier superior to 3 on banks' internal 99% 10-day Value-at-Risk calculated for market risk exposure. This ad hoc factor has not been fully explained and is poorly justified by arguing that the standard classical models of stock price dynamics do not...
Article
Full-text available
Le plan de cet article est le suivant. Dans une première partie, nous rappelons la logique à l'oeuvre dans la théorie de la diversification, telle qu'on la trouve dans tous les textes (articles et manuels) de finance usuels, dans le but de faire apparaître qu'elle repose sur une réduction du risque au seul moment d'ordre 2 et à l'application corrél...
Chapter
Full-text available
Les chapitres précédents ont fait apparaître, d’une façon ou d’une autre, cette vision du monde que nous avions qualifiée de « clivée » dans l’introduction, au risque d’une analogie avec la psychanalyse : un dédoublement du regard sur les marchés, qui conduit à scinder tout cours de bourse en deux composantes, l’une dite « partie fondamentale » du...
Chapter
Full-text available
Dans ce chapitre de conclusion, il s’agit tout d’abord de récapituler l’itinéraire accompli au cours de cette enquête critique qu’il a bien fallu conduire au plus près de la tension entre le calcul abstrait des phénomènes financiers et les formes concrètes que prennent ces phénomènes. Une telle tension a été appréhendée depuis longtemps par ceux qu...
Book
Cet ouvrage écrit avec la collaboration de É. Challe, Ph. de la Chapelle, P. Hyme, S. Galam, Y. Tadjeddine et I. This, fait le point sur les différentes conceptions de la valeur fondamentale en finance, les procédés de son calcul et les débats en cours dans la théorie financière comme dans les pratiques professionnelles. Ces notions - celles d’effi...
Article
Full-text available
We focus here on the specific management style of a French insurance company SMA BTP. The employed management style allows the management team to improve its diversified portfolio's return. Indeed, the stock sub-portfolio of this insurance company outperforms some known benchmarks such as Euro Stoxx index, CAC 40 French stock index or Euro Stoxx 50...
Article
Full-text available
I argue that passive management corresponds to a resurgence of Quetelet’s (1835-1869) average theory in modern portfolio theory. First I show that the portfolios theory and the canonical breakdown of risk are linked with an interplay of theory of errors (1809) with Markowitz and Sharpe's work. Then I argue that the trend of asset management towards...
Article
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Il est bien connu depuis Fama que les définitions précédentes de l'efficacité informationnelle sont trop générales pour pouvoir être réellement utilisables dans la pratique, et qu'il est nécessaire de préciser le contenu opérationnel du concept par un certain nombre de compléments. Tout le monde s'accorde aujourd'hui là-dessus, et on peut citer par...
Technical Report
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Cet article présente l'apparition et le développement du modèle linéaire en finance dans la gestion des portefeuilles entre 1952 et 1965, avec les conséquences professionnelles qui s'en sont suivies. On montre que, en réalité, trois formes sémantiques du modèle linéaire ont été développées dans la gestion des portefeuilles, lui conférant trois stat...
Article
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The essence of performance analysis is to measure the value added by the service provided by the portfolio management. For investigating whether a fund manager helps to add value, in the context of the debate between pro and con indexation, we propose a new concept named performance concentration, and a new type of performance measure which is rela...
Article
Full-text available
15 octobre 2004 Résumé L'épaisseur des queues de distributions des rentabilités boursières est devenue un fait d'expérience omniprésent dans la nance. L'objet de cet article est d'analyser l'impact de ces queues de distribution sur la structure de la performance des portefeuilles, en examinant le portefeuille de la compagnie d'assurance SMA BTP. On...
Article
Full-text available
Due to the increasing importance of long-term risk management issues (mutual funds, pension funds, corporates), it is now necessary to extend the generally used short-term models implemented in the financial industry (for example, the VaR) to a longer term context. Long-horizon forecasts lead to consider the concept of scaling in the study of stati...
Article
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La modélisation financière moderne instrumente massivement des lois d'échelle pour la formalisation des fluctuations des marchés, à travers l'usage des processus aléatoires dans les équations de comportement des cours boursiers. D'abord implicites, présentes dans le mouvement brownien mais non perçues en tant que telles, les lois d'échelle sont réa...
Article
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The purpose of this paper is to disclose how the Gaussian form of the concept of market efficiency is at the origin of the contemporary professional debate on passive index-linked management which continues on despite the growing popularity of indexing among investment management practitionners in Europe. This particular Gaussian form entered the i...
Article
Full-text available
We propose a method of optimization of asset allocation in the case where the stock price variations are supposed to have "fat" tails represented by power laws. Generalizing over previous works using stable Lévy distributions, we distinguish three distinct components of risk described by three different parts of the distributions of price variation...
Article
Full-text available
This paper presents the connection between the stable distributions and the fractal structure of markets. After having described the main concepts, we conduct an emphasized empirical examination of the Lévy-stability-under-addition of the French MATIF notional contract on ten year government bonds. Following Mandelbrot's intuitions, we attempt to v...
Article
Full-text available
The Origins of Measuring Investment Performance. The Work of Alfred Cowles.Related to the importance of the economic and financial stakes of performance measurement issues for the investment management industry, and considering the conceptual problems associated with in the academic research side, performance measurement appears today as a key fact...
Article
We propose a method of optimization of asset allocation in the case where the stock price variations are supposed to have "fat" tails represented by power laws. Generalizing over previous works using stable Lévy distributions, we distinguish three distinct components of risk described by three different parts of the distributions of price variation...
Article
Full-text available
: Our main purpose in this paper is to derive the generalized equilibrium relationship between risk and return under the assumption that the asset returns follow a joint symmetric ff-stable distribution, with 1 ! ff ! 2. In order to justify such an investigation, we start by empirically evidencing the fractal structure of stocks market through exte...
Article
Full-text available
An History of the Efficient Market Concept. WALTER. The so-called market efficiency, which states that prices fully reflect all available information is key concept of the modern financial theory. Actually, most of the practical mechanisms and financial instruments traded on markets are based on this hypothesis. This concept is closely related to p...

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Projects

Projects (8)
Project
Critical analysis of the present value method
Project
The financialisation of the economy has become an important issue in recent social science research. To understand how the informational efficiency hypothesis has shaped the economy in the way of its financialisation, two technical tools that are widely used in professional practice are examined: economic scenario generators and credit risk evaluation. The aim is to show the modifications that have appeared in these two fields under the impact of the concept of an efficient market in the informational and arbitrated sense (the so-called "risk neutral probability").
Project
The objective of this project is to analyze how risk representations (mathematical risk models) have influenced the development and content of financial standards.