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Valérie Chavez


Full Professor
Department of Operations

Anthropole, room 3084
Tel 021.692.34.67

Postal address
Université de Lausanne
Quartier UNIL-Chamberonne
Bâtiment Anthropole
1015 Lausanne


master Company Project in Business Analytics
Related programmes
Master of Science (MSc) in Management, Orientation Strategy, Organization and Leadership
Maîtrise universitaire ès Sciences en management, Orientation Behaviour, Economics and Evolution
Master of Science (MSc) in Management, Orientation Marketing
Master of Science (MSc) in Management, Orientation Business Analytics


Research areas

Dependence modeling

Extremal events modeling

Operational risk

Operations management

Risk management


Maximilian Aigner
Tel: (021 692) 3466
Room: ANT3087

full description
  Fabien Baeriswyl

Room: ANT 3091

Setareh Ranjbar
Tel: (021 692) 3466
Room: ANT 3087

full description
  Aleksandr Shemendyuk
Tel: (021 692) 3342
Room: EXT 107

full description
Matthieu Wilhelm
Tel: (021 692) 6115
Room: ANT 3091

full description


53 last publications ordered by: publication type  -  year

: Peer Reviewed


Mhalla Linda, Chavez-Demoulin Valérie ; Dupuis Debbie (in press). Causal mechanism of extreme river discharges in the upper Danube basin network. Journal of the Royal Statistical Society, Series C.

Tagasovska Natasa, Chavez-Demoulin Valérie ; Vatter Thibault (in press). Distinguishing Cause from Effect Using Quantiles: Bivariate Quantile Causal Discovery. ICML.

Ajazi F., Chavez-Demoulin V. ; Tatyana T. (2019). Networks of Random Trees as a Model of Neuronal Connectivity. Journal of Mathematical Biology, 79, 1639–1663. Peer Reviewed

Babongo F., Chavez-Demoulin V., Hameri A.P., Niemi T. ; Appelqvist P. (2019). Forecasting (un-)seasonal demand using geostatistics, socio-economic and weather data. International Journal of Business Forecasting and Marketing Intelligence, 5, 103-124. Peer Reviewed

Mhalla L., de Carvalho M. ; Chavez-Demoulin V. (2019). Regression type models for extremal dependence. Scandinavian Journal of Statistics, 46, 1141-1167 . Peer Reviewed

Mhalla L., Opitz T. ; Chavez-Demoulin V. (2019). Exceedance-based nonlinear regression of tail dependence. Extremes, 22, 523–552. Peer Reviewed

Babongo F., Appelqvist P., Chavez-.Demoulin V., Hameri A.P. ; Niemi T. (2018). Using weather data to improve demand forecasting for seasonal products. International Journal of Services and Operations Management, 31, 53-76. Peer Reviewed

Chavez-Demoulin V. , Guillou A. (2018). Extreme quantile estimation for β-mixing time series and applications. Insurance: Mathematics and Economics, 83, 59-74. Peer Reviewed

Sharma K. , Chavez-Demoulin V. (2018). Non-stationary modeling of tail dependence of two subjects' concentration. Annals of Applied Statistics, 12, 1293-1311. Peer Reviewed

Cai J.-J., Chavez-Demoulin V. ; Guillou A. (2017). Modified marginal expected shortfall under asymptotic dependence. Biometrika, 104, 243-249. Peer Reviewed

Mhalla L., Chavez-Demoulin V. ; Naveau P. (2017). Non-linear models for extremal dependence. Journal of Multivariate Analysis, 159, 49-66. Peer Reviewed

Sharma K., Chavez-Demoulin V. ; Dillenbourg P. (2017). An Application of Extreme Value Theory to Learning Analytics: Predicting Collaboration Outcome from Eye-tracking Data. Journal of Learning Analytics, 4, 140-164. Peer Reviewed

Zhelonkin M. , Chavez-Demoulin V. (2017). A note on the statistical robustness of risk measures. The Journal of Operational Risk, 12, 47-68. Peer Reviewed

Appelqvist P., Babongo Bosombo F., Chavez-Demoulin V., Hameri A.-P. ; Niemi T. (2016). Weather and supply chain performance in sport goods distribution. International Journal of Retail & Distribution Management, 44, 178 - 202. Peer Reviewed

Chavez-Demoulin V., Embrechts P. ; Hofert M. (2016). An extreme value approach for modeling Operational Risk losses depending on covariates. Journal of Risk and Insurance, 83, 735-776. Peer Reviewed

Garnier A., Chavez-Demoulin V., Hameri A.-P., Niemi T. ; Wasserfallen J.-B. (2016). Patient Flow Congestion – predictive modelling to anticipate bottlenecks. International Journal of Healthcare Technology and Management, 15, 325-373. Peer Reviewed

Abaunza F., Chavez-Demoulin V., Hameri A.-P. ; Niemi T. (2015). Do flow principles of operations management apply to computing centres?. Production Planning & Control, 26, 249-264. Peer Reviewed

Vatter T. , Chavez-Demoulin V. (2015). Generalized Additive Models for Conditional Dependence Structures. Journal of Multivariate Analysis, 141, 147-167. Peer Reviewed

Vatter T., Wu H.-T., Chavez-Demoulin V. ; Yu B. (2015). Non-parametric estimation of intraday spot volatility: disentangling instantaneous trend and seasonality. Econometrics, 3, 864-887.

Chavez-Demoulin V., Embrechts P. ; Sardy S. (2014). Extreme-quantile tracking for financial time series. Journal of Econometrics, 181, 44-52. Peer Reviewed

de Treville S., Bicer I., Chavez-Demoulin V., Hagspiel V., Schuerhoff N., Tasserit C. ; Wager S. (2014). Valuing lead time. Journal of Operations Management, 32, 337-346. Peer Reviewed

Appelqvist P., Chavez-Demoulin V., Hameri A.-P., Heikkilä J. ; Waters V. (2013). Turnaround across diverse global supply chains using shared metrics and change methodology: The Case of Amer Sports Corporation. International journal of Operations and Production Management, 33, 622-647. Peer Reviewed

Chavez-Demoulin V. , Davison A. C. (2012). Modelling time series extremes. REVSTAT - Statistical Journal, 10, 109-133. Peer Reviewed

Chavez-Demoulin V. , McGill J. A. (2012). High-frequency financial data modeling using Hawkes processes. Journal of Banking and Finance, 36, 3415-3426. Peer Reviewed

Chavez-Demoulin V., Davison A. C. ; Frossard L. (2011). Discussion of the paper: Threshold modelling of spatially dependent non-stationary extremes with application to hurricane-induced wave heights. Environmetrics, 22, 810-816. Peer Reviewed

Chavez-Demoulin V., Das B. ; Embrechts P. (2010). Probabilistic Analysis of flooding at Murgenthal for Kernkraft-Goesgen Daeniken (KKG). RiskLab internal report.

Chavez-Demoulin V. , Embrechts P. (2010). Copulas in insurance. Encyclopedia of Quantitative Finance, 379-382. Peer Reviewed

Chavez-Demoulin V. , Embrechts P. (2010). Revisiting the edge, ten years on. Communications in Statistics - Theory and Methods, 39, 1674-1688. Peer Reviewed

Chavez-Demoulin Valérie (2009). Reviewed Work: Finite Mixture and Markov Switching Models by Sylvia Frühwirth-Schnatter. Journal of the American Statistical Association, 104, 411-412.

Chavez-Demoulin V., Embrechts P. ; Neslehova J. (2006). Quantitative models for operational risk: extremes, dependence and aggregation. Journal of Banking and Finance, 30, 2635-2658. Peer Reviewed

Chavez-Demoulin V., Embrechts P. ; Neslehova J. (2006). Infinite mean models and the LDA for operational risk. Journal of Operational Risk, 1, 3-25. Peer Reviewed

Chavez-Demoulin V. , Davison A. C. (2005). Generalized additive modelling of sample extremes. Journal of the Royal Statistical Society; Series C (Applied Statistics), 54, 207-222. Peer Reviewed

Chavez-Demoulin V., Davison A. C. ; McNeil A. J. (2005). Estimating value-at-risk: a point process approach. Quantitative Finance, 5, 227-234. Peer Reviewed

Chavez-Demoulin V. (2004). Was ist Extremwerttheorie?. RISKNEWS, 1, 42-44.

Chavez-Demoulin V. , Embrechts P. (2004). Smooth extremal models in finance and insurance. Journal of Risk and Insurance, 71, 183-199. Peer Reviewed

Chavez-Demoulin V. , Roehrl A. (2004). Extreme value theory can save your neck. Bulletin of Swiss Statistical Society, 3-5.

Chavez-Demoulin V., Embrechts P. ; Roehrl A. (2002). A statistical analysis of the share price of the SAIR group (1996-2001) from a risk manager's point of view. Derivatives Use Trading and Regulation, 8, 105-122. Peer Reviewed

Chavez-Demoulin V., Roehrl A. S. A., Roehrl R. A. ; Schmiedl S. W. (2002). Datamining mit R. Linux-Enterprise, 2.

Chavez-Demoulin V., Weinberg A., Berezka V., Roehrl A. ; Schmiedl S. W. (2002). Risk reduction: Transparent real-time enterprise. Banks and Technologies, 9.

Chavez-Demoulin V. (1999). Bayesian inference for small-sample capture-recapture data. Biometrics, 55, 727-731. Peer Reviewed

Book Sections

Chavez-Demoulin V. , Embrechts P. (2011). An EVT primer for credit risk. The Oxford Handbook of Credit Derivatives (pp. 500-532). Oxford University Press.

Chavez-Demoulin V. , Embrechts P. (2010). Operational Risk. Encyclopedia of Quantitative Finance. John Wiley & Sons, Ltd. Peer Reviewed

Sardy S., Bilat C., Tseng P. ; Chavez-Demoulin V. (2002). A comparison between L1 Markov random field-based and wavelet-based estimators. Statistical Data Analysis Based on the L1-Norm and Related Methods (pp. 395-403). Birkhäuser Verlag.

In Proceedings

Chavez-Demoulin V., Jarvis S., Perera R., Roehrl A., Schmiedl S. ; Sondergaard M. P. (2003, Jan). Extreme Datamining. Between Data Science and Applied Data Analysis - Proceedings of the 26th Annual Conference of the Gesellschaft für Klassifikation e.V., University of Mannheim, July 2002 (pp. 387-394). Springer. Peer Reviewed

Chavez-Demoulin V., Roehrl A.S.A., Roehrl R.A. ; Weinberg A. (2000, Jan). The WEB archives: A time-machine in your pocket!. Proceedings of The Internet Archive Colloquium 2000.

In Proceedings (abstract)

Chavez-Demoulin V., Davison A.C. ; Suveges M. (2009, Jan). Nonstationary risk analysis of climate extremes. EGU General Assembly Conference Abstracts, 11 (pp. 6878).

Technical Reports

Chavez-Demoulin V. , Davison A. C. (2010). Statistics of hydrological extreme values : Exploratory analysis, modelling and recommendations. Bundesamt für Umwelt.


BABONGO BOSOMBO Flora, Hameri Ari-Pekka (Dir.) (2019). Two spécific problems in Data Science: Demand forecasting using weather data and Non-linear causality inference. Université de Lausanne, Faculté des hautes études commerciales.

Ajazi Fioralba, Chavez-Demoulin Valérie , Turova Tatyana (Dir.) (2018). Random geometric graphs and their applications in neuronal modelling. Université de Lausanne, Faculté des hautes études commerciales.

Mhalla L., Chavez-Demoulin V. , Ronchetti E. (Dir.) (2018). Statistical Modelling and Inference for Covariate-dependent Extremal Dependence. University of Geneva.

ABAUNZA OSORIO Felipe, Hameri Ari-Pekka (Dir.) (2017). IMPROVING THE MANAGEMENT OF DATA CENTER COMPUTING RESOURCES. Université de Lausanne, Faculté des hautes études commerciales.

Vatter T., Chavez-Demoulin V. (Dir.) (2016). Generalized Additive Modeling For Multivariate Distributions. Université de Lausanne, Faculté des hautes études commerciales.

Chavez-Demoulin V., Davison A. C. (Dir.) (1999). Two Problems in Environmental Statistics : Capture-Recapture Analysis and Smooth Extremal models. EPFL.



Short bio
Valérie Chavez-Demoulin holds a Master degree in Mathematics of EPFL. Following her PhD in Mathematics at EPFL, she obtained a Marie Heim-Vöglin grant for a postdoctoral position in collaboration with the SLF in Davos. Afterwards she has been a research fellow at the Department of Mathematics at ETH, Zurich. Aside from her research, she has been the quantitative risk manager for a Hedge Fund for 3 years. She is member of the RiskLab, ETH, Zurich and is an elected member of ISI (the International Statistical Institute) and of the Bernoulli Society for Mathematical Statistics and Probability.


Internef - CH-1015 Lausanne - Suisse  -   Tél. +41 21 692 33 00  -   Fax +41 21 692 33 05
Swiss University