Professeurs et Recherche

Teaching

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

Research areas

Dependence modeling

Extremal events modeling

Operational risk

Operations management

Risk management

Assistants

	Maximilian Aigner maximilian.aigner@unil.ch Tel: (021 692) 3466 Room: ANT3087 full description			Fabien Baeriswyl fabien.baeriswyl.@unil.ch Room: ANT 3091

	Setareh Ranjbar setareh.ranjbar@unil.ch Tel: (021 692) 3466 Room: ANT 3087 full description			Aleksandr Shemendyuk aleksandr.shemendyuk@unil.ch Tel: (021 692) 3342 Room: EXT 107 full description

	Matthieu Wilhelm matthieu.wilhelm@unil.ch Tel: (021 692) 6115 Room: ANT 3091 full description

Publications

53 last publications ordered by: publication type - year

: Peer Reviewed

Articles

	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.

	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.

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

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

	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.

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

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

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

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

	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.

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

	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.

	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.

	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.

	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.

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

	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.

	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.

	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.

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

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

	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.

	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.

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

	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.

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

	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.

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

	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.

	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.

	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.

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.

	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.

	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.

Thesis

	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.

Curriculum

Education

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.

Valérie Chavez

Contact