Author
Farid Mkaouar
Bio: Farid Mkaouar is an academic researcher from Conservatoire national des arts et métiers. The author has contributed to research in topics: Financial market & Portfolio insurance. The author has an hindex of 4, co-authored 9 publications receiving 29 citations.
Papers
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TL;DR: A duration model based on Shummay's (J Bus 74:101–124, 2001) and extended by applying the Geweke, Hajivassiliou and Keane algorithm, which provides the predictive content of macroeconomic variables and the unobservable heterogeneity, which is helpful in forecasting firms bankruptcies.
Abstract: This paper illustrates the importance of referring to a dynamic approach when forecasting firms bankruptcies, paying a particular attention to French SMEs. Based on Shummay’s (J Bus 74:101–124, 2001), we build a duration model and extend it by incorporating unobservable heterogeneity. Moreover, we resort to a dynamic dichotomous specification in which “right side” censored data are taken into account. We emphasize the complexity of the calculations of integrals that must be implemented and show how to overcome this challenge by applying the Geweke, Hajivassiliou and Keane algorithm which involves the technique of the simulated maximum likelihood. The findings prove that our dynamic approach, which integrates macroeconomic variables and takes account of both random effects and exogenous shocks, provides credible results. Besides, our method provides the predictive content of macroeconomic variables and the unobservable heterogeneity, which is helpful in forecasting firms bankruptcies.
7 citations
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TL;DR: Portfolio insurance as discussed by the authors allows investors to recover at maturity a given percentage of their initial investment, whatever financial market evolu- tions, while limiting downside risk in falling markets.
Abstract: Portfolio insurance allows investors to recover at maturity a given percentage of their initial investment, whatever financial market evolu- tions. This portfolio insurance strategy limits downside risk in falling markets, while it allows pote
7 citations
TL;DR: In this article, the authors examined the impact of the current oil prices fall on Europe and found that European stock markets are negatively and significantly affected by the crude oil shock. And they showed that the most exposed stock market is the French one, and the least affected market was the Austrian one.
6 citations
TL;DR: In this paper, two new procedures that deal with overfitting problem using neural techniques for variable selection and business failure prediction are proposed, which are based simultaneously on backward search, the HVS measure (Heuristic for Variable Selection), and the AUC criterion (Area Under Curve).
Abstract: The purpose of the paper is to propose two new procedures that deal with overfitting problem using neural techniques for variable selection and business failure prediction. The first procedure, called HVS-AUC, is based simultaneously on (i) the backward search, (ii) the HVS measure (Heuristic for Variable Selection), and (iii) the AUC criterion (Area Under Curve). The second procedure, called forward-AUC, is based on (i) the forward search and (ii) the AUC criterion. Using a sample of bankrupt and non-bankrupt firms in France, the implementation of the procedures using neural networks shows that the profitability, the repayment capacity, the taxation, and the importance of investment have a strong explanatory power in bankruptcy prediction. These procedures also provide more parsimonious and more efficient models compared to Linear Discriminant Analysis.
5 citations
TL;DR: This paper deals with the optimal choice between extraction and storage of crude oil over time and shows that when the stock is close to be full, it is better to sell a higher part of the extracted quantity.
Abstract: This paper deals with the optimal choice between extraction and storage of crude oil over time. An oil producer should decide on the proportion of oil extracted to sell and the proportion to store. This optimal operational strategy should be conducted on a daily basis while taking into consideration physical, operational and financial constraints such as: storage capacity, crude oil spot price, total quantity available for possible extraction or the maximum amount which could be invested at time t for the extraction choice. Our main results show that when the stock is close to be full, it is better to sell a higher part of the extracted quantity. Therefore, if the stock is empty, the best strategy is to secure the reserves against oil prices fluctuations. In the case of full stock, it is useless to put more quantity in reserves and the best strategy is to sell more output. But, if the stock and the available reserves for extraction are half full, the optimal strategy is to consider both selling and storing output.
5 citations
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TL;DR: This article used a nonlinear logistic smooth transition vector autoregressive model (LSTVAR) to test whether the South African economy responds in a non-linear and asymmetric way to unexpected changes in financial conditions, and found that the economy responds nonlinearly to financial shocks and that manufacturing output growth and Treasury Bill rates are more affected by financial shocks during upswings.
34 citations
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TL;DR: In this article, the authors extend several results known for constant-weight geometric mean market makers to the general case of G3Ms with time-varying and potentially stochastic weights.
Abstract: Geometric mean market makers (G3Ms), such as Uniswap and Balancer, comprise a popular class of automated market makers (AMMs) defined by the following rule: the reserves of the AMM before and after each trade must have the same (weighted) geometric mean. This paper extends several results known for constant-weight G3Ms to the general case of G3Ms with time-varying and potentially stochastic weights. These results include the returns and no-arbitrage prices of liquidity pool (LP) shares that investors receive for supplying liquidity to G3Ms. Using these expressions, we show how to create G3Ms whose LP shares replicate the payoffs of financial derivatives. The resulting hedges are model-independent and exact for derivative contracts whose payoff functions satisfy an elasticity constraint. These strategies allow LP shares to replicate various trading strategies and financial contracts, including standard options. G3Ms are thus shown to be capable of recreating a variety of active trading strategies through passive positions in LP shares.
30 citations
TL;DR: In this paper, the authors analyzed the oil price sensitivity of the world's largest automobile manufacturers and identified a negative price sensitivity consistent with a fuel-cost demand effect, which has strengthened recently potentially due to the increased popularity of SUVs and despite efforts of major producers to start or increase production of hybrid and electric vehicles.
22 citations
TL;DR: In this article, the macroeconomic and financial effects of oil price shocks for the euro area, with a special focus on post-2009 oil price dynamics and the recent slump, are investigated.
22 citations
TL;DR: A finite difference scheme with a penalization technique is established for solving the HJBQVI, which is free from any iterative solvers and is unconditionally stable and convergent in the viscosity sense under certain conditions.
Abstract: A Hamilton–Jacobi–Bellman Quasi-Variational Inequality (HJBQVI) for a river environmental restoration problem with wise-use of sediment is formulated and its mathematical properties are analyzed. A finite difference scheme with a penalization technique is then established for solving the HJBQVI. The scheme is free from any iterative solvers and is unconditionally stable and convergent in the viscosity sense under certain conditions. A demonstrative application example of the HJBQVI is finally presented.
20 citations