# Thierry RoncalliUniversité d'Évry-Val-d'Essonne · Centre d'Etudes des Politiques Economiques de l'Université d'Evry (EPEE, EA 2177)

Thierry Roncalli

Professor

Head of Quantitative Research at Amundi Asset Management

## About

150

Publications

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Introduction

Thierry Roncalli is Head of Quantitative Research at Amundi Asset Management, Professor of Finance at the University of Paris-Saclay/Evry and member of the AMF's Scientific Advisory Board (French Securities & Financial Markets Regulator).

## Publications

Publications (150)

New risk factors and new regulatory focuses leave, at time, risk managers in front of a blank page. Designing from scratch a risk framework is a daunting task. In this context, the design of a method, the identification of relevant indicators, the critical assessment of alternative methodologies and the integration of the identified solution into a...

In this article, we consider a multi-period portfolio optimization problem, which is an extension of the single-period mean-variance model. We discuss several formulations of the objective function, constraints and coupling relationships. We then derive three numerical algorithms that can be used to solve such problems: the alternating direction me...

This article develops a model that takes into account skewness risk in risk parity portfolios. In this framework, asset returns are viewed as stochastic processes with jumps or random variables generated by a Gaussian mixture distribution. This dual representation allows us to show that skewness and jump risks are equivalent. As the mixture represe...

This research project is both an update of the analysis on carbon emissions trajectories proposed by Le Guenedal et al. (2020) and a companion study of the climate risk measures defined by Le Guenedal and Roncalli (2022). While Le Guenedal et al. (2020) use carbon intensities, we extend the track-record projection approach by considering absolute c...

These lectures notes have been written for the course in Sustainable Finance given at the University of Paris-Saclay. The 725 slides cover the following topics: (1) the Market of ESG Investing, Ecosystem of Responsible Investing (2) ESG Scoring & Ratings, Performance of ESG Investing, ESG Financing, ESG Risk Premium (3) Sustainable Financing Produc...

Because of the 2015 Paris Agreement, the development of ESG investing and the emergence of net zero emission policies, climate risk is certainly the most important topic and challenge for asset owners and managers now and will remain so over the next five years. It considerably changes portfolio allocation and the investment framework of both passi...

Because of the 2015 Paris Agreement, the development of ESG investing and the emergence of net zero emission policies, climate risk is certainly the most important topic and challenge for asset owners and managers now and will remain so over the next five years. It considerably changes portfolio allocation and the investment framework of both passi...

This research project is both an update of the analysis on carbon emissions trajectories proposed by Le Guenedal et al. (2020) and a companion study of the climate risk measures defined by Le Guenedal and Roncalli (2022). While Le Guenedal et al. (2020) use carbon intensities, we extend the track-record projection approach by considering absolute c...

World Bank, RAMP (Reserve Advisory & Management Partnership) Research Seminar, 14 December 2021

This report is made up of four research papers, which have been written to perform liquidity stress testing programs, which comply with ESMA regulatory guidelines:
(1) Roncalli, T., Karray-Meziou, F., Pan, F., and Regnault, M. (2021), Liquidity Stress Testing in Asset Management — Part 1. Modeling the Liability Liquidity Risk, Amundi Working Paper...

This presentation deals with liquidity stress testing in asset management. It covers the models and materials developed in the four working papers: (1) modeling the liability liquidity risk, (2) modeling the asset liquidity risk, (3) managing the asset-liability liquidity risk and (4) a step-by-step practical guide

This report is made up of four research papers, which have been written to perform liquidity stress testing programs, which comply with ESMA regulatory guidelines: (1) Roncalli, T., Karray-Meziou, F., Pan, F., and Regnault, M. (2021), Liquidity Stress Testing in Asset Management — Part 1. Modeling the Liability Liquidity Risk, Amundi Working Paper...

his article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market liquidity) modeling, and the third dimension considers the ass...

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market liquidity) modeling, and the third dimension considers the as...

In this paper, we examine the materiality of ESG on country creditworthiness from a credit risk and fundamental analysis viewpoint. To address this, we consider a granular set of 269 indicators within the three ESG pillars to determine what the sovereign bond market is pricing in. From this set of ESG metrics covering the 2015-2020 period and 67 co...

In this paper, we examine the materiality of ESG on country creditworthiness from a credit risk and fundamental analysis viewpoint. To address this, we consider a granular set of 269 indicators within the three ESG pillars to determine what the sovereign bond market is pricing in. From this set of ESG metrics covering the 2015-2020 period and 67 co...

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers the modeling of the liability liquidity risk (or funding liquidity), the second dimension is dedicated to the modeling of the asset liquidity risk (or market liquidity), whereas the t...

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers the modeling of the liability liquidity risk (or funding liquidity), the second dimension is dedicated to the modeling of the asset liquidity risk (or market liquidity), whereas the t...

Like ESG investing, climate change is an important concern for asset managers and owners, and a new challenge for portfolio construction. Until now, investors have mainly measured carbon risk using fundamental approaches, such as with carbon intensity metrics. Nevertheless, it has not been proven that asset prices are directly impacted by these fun...

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market liquidity) modeling, and the third dimension considers the as...

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market liquidity) modeling, and the third dimension considers the as...

After decades of sound performance, doubts have been raised on the ability of the equity value factor to continue to deliver a positive performance in the aftermath of the 2008 Global Financial Crisis. Indeed, in a context dominated by low yields, sluggish growth and subdued inflation combined with an accelerating digitalization of the economy, the...

These presentation slides have been written for the Advanced Course in Asset Management (theory and applications) given at the University of Paris-Saclay. They contain 5 lectures (Part 1. Portfolio Optimization Part 2. Risk Budgeting Part 3. Smart Beta, Factor Investing and Alternative Risk Premia Part 4. Green and Sustainable Finance, ESG Investin...

Like ESG investing, climate change is an important concern for asset managers and owners, and a new challenge for portfolio construction. Until now, investors have mainly measured carbon risk using fundamental approaches, such as with carbon intensity metrics. Nevertheless, it has not been proven that asset prices are directly impacted by these fun...

These lectures notes have been written for the course in Asset Management given at the University of Paris-Saclay. The 430 slides cover the following topics:
1. ESG Investing (definition, ESG scoring and rating systems, ESG performance in stock and bond markets);
2. Climate Risk (definition, modeling, regulation, portfolio management);
3. Sustain...

Like ESG investing, climate change is an important concern for asset managers and owners, and a new challenge for portfolio construction. Until now, investors have mainly measured carbon risk using fundamental approaches, such as with carbon intensity metrics. Nevertheless, it has not been proven that asset prices are directly impacted by these fun...

After decades of sound performance, doubts have been raised on the ability of the equity value factor to continue to deliver a positive performance in the aftermath of the 2008 Global Financial Crisis. Indeed, in a context dominated by low yields, sluggish growth and subdued inflation combined with an accelerating digitalization of the economy, the...

These tutorial sessions are made up of 20 exercises on market risk, credit risk, CCR, CVA, operational risk, ALM risk, copulas, EVT and stress testing.

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market liquidity) modeling, and the third dimension considers asset-...

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market liquidity) modeling, and the third dimension considers asset-...

This is an advanced course in financial risk management given at
the University of Paris-Saclay. It covers the following
topics:
Lecture 1. Introduction to Financial Risk Management
Lecture 2. Market Risk
Lecture 3. Credit Risk
Lecture 4. Counterparty Credit Risk and Collateral Risk
Lecture 5. Operational Risk
Lecture 6. Liquidity Risk
Lecture 7...

This article studies the impact of carbon risk on stock pricing. To address this, we consider the seminal approach of Görgen et al. (2019), who proposed estimating the carbon financial risk of equities by their carbon beta. To achieve this, the primary task is to develop a brown-minus-green (or BMG) risk factor, similar to Fama and French (1992). S...

This article studies the impact of carbon risk on stock pricing. To address this, we consider the seminal approach of Görgen et al. (2019), who proposed estimating the carbon financial risk of equities by their carbon beta. To achieve this, the primary task is to develop a brown-minus-green (or BMG) risk factor, similar to Fama and French (1992). S...

This article explores the use of machine learning models to build a market generator. The underlying idea is to simulate artificial multi-dimensional financial time series, whose statistical properties are the same as those observed in the financial markets. In particular, these synthetic data must preserve the probability distribution of asset ret...

This article explores the use of machine learning models to build a market generator. The underlying idea is to simulate artificial multi-dimensional financial time series, whose statistical properties are the same as those observed in the financial markets. In particular, these synthetic data must preserve the probability distribution of asset ret...

This chapter shows how portfolio allocation can benefit from the development of large‐scale portfolio optimization algorithms such as the coordinate descent, the alternating direction method of multipliers, the proximal gradient method, and Dykstra's algorithm. With these optimization algorithms, it considers more complex portfolio optimization pro...

This companion book contains the solutions of the tutorial exercises which are included in the Handbook of Financial Risk Management.
The table of contents is the following:
1. Introduction.
Part I Risk Management in the Financial Sector
2. Market Risk.
3. Credit Risk.
4. Counterparty Credit Risk and Collateral Risk.
5. Operational Risk.
6. Liquid...

In Chapter 2, we have seen that options and derivative instruments present non-linear risks that are more difficult to assess and measure than for a long-only portfolio of stocks or bonds. Moreover, those financial instruments are traded in OTC markets, meaning that their market value is not known with certainty. These issues imply that the current...

Monte Carlo methods consist of solving mathematical problems using random numbers.The term ‘Monte Carlo’ was apparently coined by physicists Ulam and von Neumann at Los Alamos in 1940 and refers to gambling casinos in Monaco. Until the end of the eighties, Monte Carlo methods were principally used to calculate numerical integration including mathem...

Credit scoring refers to statistical models to measure the creditworthiness of a person or a company. They have progressively replaced judgemental systems and are now widely used by financial and banking institutions that check the credit rating and capacity of the borrower before to approve a loan. Therefore, credit scoring is at the heart of the...

In this chapter, we give an overview of the credit market. It concerns loans and bonds, but also credit derivatives whose development was impressive during the 2000s. A thorough knowledge of the products is necessary to understand the regulatory framework for computing the capital requirements for credit risk. In this second section, we will theref...

This research is the companion study of three previous research projects conducted at Amundi that address the issue of ESG (Berg et al., 2014; Bennani et al., 2018; Drei et al., 2019). These studies, which were focused on the stock market, showed that 2014 marks a turning point for ESG screening and the performance of active and passive management...

In this short note, we consider mean-variance optimized portfolios with transaction costs. We show that introducing quadratic transaction costs makes the optimization problem more difficult than using linear transaction costs. The reason lies in the specification of the budget constraint, which is no longer linear. We provide numerical algorithms f...

This companion book contains the solutions of the tutorial exercises which are included in the Handbook of Financial Risk Management. The table of contents is the following: 1. Introduction. Part I Risk Management in the Financial Sector 2. Market Risk. 3. Credit Risk. 4. Counterparty Credit Risk and Collateral Risk. 5. Operational Risk. 6. Liquidi...

This research is the companion study of three previous research projects conducted at Amundi that address the issue of socially responsible investing (SRI) in the stock market (Berg et al., 2014; Bennani et al., 2018a; Drei et al., 2019). The underlying idea of this new study is to explore the impact of ESG investing on asset pricing in the corpora...

This research is an update of the study that we published last year (Bennani et al., 2018) and that explored the impact of ESG investing on asset pricing in the stock market. It extends the original period 2010-2017 by adding eighteen months from January 2018 to June 2019. These new results confirm the previous results as we reach the same essentia...

Portfolio optimization emerged with the seminal paper of Markowitz (1952). The original mean-variance framework is appealing because it is very efficient from a computational point of view. However, it also has one well-established failing since it can lead to portfolios that are not optimal from a financial point of view (Michaud, 1989). Neverthel...

The concept of factor investing emerged at the end of the 2000s and has completely changed the landscape of equity investing. Today, institutional investors structure their strategic asset allocation around five risk factors: size, value, low beta, momentum and quality. This approach has been extended to multi-asset portfolios and is known as the a...

In the last five years, the financial industry has been impacted by the emergence of digitalization and machine learning. In this article, we explore two methods that have undergone rapid development in recent years: Gaussian processes and Bayesian optimization. Gaussian processes can be seen as a generalization of Gaussian random vectors and are a...

In the last few years, the financial advisory industry has been impacted by the emergence of digitalization and robo-advisors. This phenomenon affects major financial services, including wealth management, employee savings plans, asset managers, etc. Since the robo-advisory model is in its early stages, we estimate that robo-advisors will help to m...

This article develops the theory of risk budgeting portfolios, when we would like to impose weight constraints. It appears that the mathematical problem is more complex than the traditional risk budgeting problem. The formulation of the optimization program is particularly critical in order to determine the right risk budgeting portfolio. We also s...

In the last five years, the financial industry has been impacted by the emergence of digitalization and machine learning. In this article, we explore two methods that have undergone rapid development in recent years: Gaussian processes and Bayesian optimization. Gaussian processes can be seen as a generalization of Gaussian random vectors and are a...

ESG investing has gained considerable traction over the past few years and, alongside smart beta, factor investing and alternative risk premia, is one of the current hot topics for the asset management industry. Nevertheless, even though large institutions such as insurance companies, pension funds and sovereign wealth funds have invested significa...