University of Sousse
Lotfi Belkacem obtained his Ph.D. degree in Applied Mathematics from the University of Paris IX - Dauphine and Versailles-based Data Processing and Automatic National Research Institute (INRIA). He also studied Engineering, Statistics and Economy at the Paris-based National School of Statistics and Economic Administration (ENSAE). Actually, He is a full professor of Quantitative Methods and the Director of Laboratory Research for Economy, Management and Quantitative Finance (LaREMFiQ) at the Institute of High Commercial Studies (IHEC) of the University of Sousse. He served as Dean of the IHEC from 2002 to 2008. His research focuses on issues related to statistics and related fields, quantitative finance, insurance, employment economics, and entrepreneurship. He is also author of several scientific publications in indexed international reviews.
In this paper, the authors present a robust method for the detection of chaos based on the Lyapunov exponent, which is consistent even for noisy and finite scalar time series.
In this paper, the authors discuss the hazard generated by OpRisk driven by natural and human-made disasters, and argue the position of the LDA as the most-fitted statistical approach to deal with it.
Value-at-risk bounds for multivariate heavy tailed distribution: an application to the Glosten–Jagannathan–Runkle generalized autoregressive conditional heteroscedasticity model
This paper aims to derive VaR bounds for the portfolios of possibly dependent financial assets for heavy tailed Glosten–Jagannathan–Runkle generalized autoregressive conditional heteroscedasticity processes using extreme value theory copulas.