Rihab Bedoui

Rihab Bedoui
LaREMFiQ, IHEC of Sousse, Tunisia · Quantitative Methods and Actuarial Sciences

Professor

About

22
Publications
4,054
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59
Citations
Introduction
Rihab Bedoui is currently a Lecturer at the IHEC of Sousse.She earned her PhD in Quantitative Methods from the University of Paris X and her master 2 Research degree in Actuarial Sciences from ISFA University of Claude Bernard Lyon 1.She teaches Inductive Statistics, Financial Econometrics, Actuarial Insurance, Numerical Methods, Mathematics for engineering.Rihab has published in many international revues. Her research interests: Quantitative Finance and Actuarial Science.
Education
September 2007 - September 2008
Claude Bernard University Lyon 1
Field of study
  • Actuarial Science and Quantitative Finance

Publications

Publications (22)
Article
Full-text available
The study aimed to show the effect of bank insurance in enhancing the market share of Jordanian banks. The fixed panel was applied. Using indicators such as employee productivity and efficiency, representing bank insurance as an independent variable. The dependent variable includes market share. The results of the analysis showed that bank insuranc...
Article
Full-text available
The research aims to find out the impact of mergers and acquisitions between banks and insurance companies on the insurance services provided by banks. Seven Jordanian banks working to give insurance services to their public were studied. A dashboard analysis was used for the period 2008-2019. Use financial and operational measures consisting of pr...
Article
This paper revisits the international evidence on hedge, safe haven, and diversification properties of precious metals—namelyW gold, silver, and platinum—for the G-7 stock markets. Therefore, this study proposes a multivariate vine copula-based GARCH model to assess the hedge and safe haven properties of precious metals and a Bivariate Value at Ris...
Article
The research aims to clarify the development of bancassurance in the Kingdom of Jordan, and track its growth as a distribution channel by measuring the growth of bank insurance for the period (2008-2019) By raising the problem of how to visualize the development of the bancassurance process in Jordan. The research reached a number of conclusions Fi...
Article
The copula concept presents a powerful and flexible tool for studying and modeling multivariate distribution. The most popular copulas are the Archimedean and elliptical copula used to analyze the dependence distribution. In this article, we assess the capacity of Gold to be a hedge or a safe-haven against the depreciation value of USD, EUR, and JP...
Article
We propose a new methodology based on CoVaR to optimize Islamic portfolio. First, we generate the return distribution using the ARMA‐FIAPARCH and ARMA‐FIGARCH model. Then, we transform the standardized residuals into copula scale using the empirical cumulative distribution function. Thereafter, using the best vine‐copula fits, we computed downside...
Article
Historically, commodity market, particularly the metal market has been used as a hedge for stock market and currencies during time of distress. In this paper, we shed light on a new alternative asset and examine the hedging and safe haven ability of diamonds and five precious metals that is, gold, silver, palladium, platinum and rhodium by using co...
Article
Full-text available
This paper investigates the conditional value-at-risk (CVaR) hedge funds portfolio optimisation approach using a univariate GARCH type model, extreme value theory (EVT) and the vine copula to determine the optimal allocation for hedge funds portfolio. First, we apply the generalised pareto distribution (GPD) to model the tails of the innovation of...
Article
Full-text available
In traditional models of insurance data, the number and size of claims are assumed to be independent. Relaxing the independence assumption, this article explores the Vine copula to model dependence structure between multivariate frequency and average severity of insurance claim. To illustrate this approach, we use the Wisconsin local government pro...
Article
Energy commodities and precious metals differ from other trading products. In fact, both oil and gold prices are leading economic variables and drive the evolution of the world economy. Since the US dollar is used as the primary currency of international crude oil and gold trading, the relationship between commodities, metals and exchange rates bec...
Article
Full-text available
This paper presents an extension of the Capital Assets Pricing Model (hereafter CAPM) where various utility functions are applied. Specifically, we propose an overall CAPM Beta that accounts for the higher-order moments and reflects the investor preferences and attitudes towards risk. We particularly develop CAPM Betas for different classes of util...
Article
In this paper, following the Jackwerth (2000) work, we estimate the risk aversion function on the French market implied by the joint observation of the cross-section of option prices and time-series of underlying asset returns from a high-frequency CAC 40 index options. We recover risk aversion empirically around the 2007 crisis using two different...
Article
Full-text available
This paper compares the goodness-of-fit of eight option-based approaches used to extract risk-neutral probability density functions from a high-frequency CAC 40 index options during a normal and troubled period. Our findings show that the kernel estimator generates a strong volatility smile with respect to the moneyness, and the kernel smiles shape...
Article
Full-text available
With hedgefunds, managers develop risk management models that mainly aim to play on the effect of de correlation.In order to achieve this goal,companies use the correlation coefficient as an indicator for measuring dependencies existing between(i)the various hedge funds strategies and share index returns and(ii)hedge funds strategies against each o...

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