Valérie Chavez
Contact
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Full Professor
Department of Operations Contact Valerie.Chavez@unil.ch Anthropole, room 3084 Tel 021.692.34.67 Postal address Université de Lausanne Quartier UNIL-Chamberonne Bâtiment Anthropole 1015 Lausanne |
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 |
master Forecasting II 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 |
master Risk Analytics Related programmes Master of Science (MSc) in Management, Orientation Strategy, Organization and Leadership Master of Science (MSc) in Management, Orientation Marketing Maîtrise universitaire ès Sciences en management, Orientation Behaviour, Economics and Evolution Master of Science (MSc) in Management, Orientation Business Analytics |
bachelor Statistique I Related programmes Bachelor of Science (BSc) in Economics Bachelor of Science (BSc) in Management Bachelor (BSc) in Economic Sciences |
Research
Research areas
Dependence modelingExtremal events modeling
Operational risk
Operations management
Risk management
Assistants
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Maximilian Aigner
maximilian.aigner@unil.ch Tel: (021 692) 3466 Room: ANT3087 full description |
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Ilia Azizi
Ilia.Azizi@unil.ch full description |
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Fabien Baeriswyl
fabien.baeriswyl@unil.ch Room: ANT 3091 full description |
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Setareh Ranjbar
setareh.ranjbar@unil.ch Tel: (021 692) 3466 Room: ANT 3087 full description |
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Matthieu Wilhelm
matthieu.wilhelm@unil.ch Tel: (021 692) 6115 Room: ANT 3091 full description |
Publications
55 last publications
: Peer Reviewed
2020
Chavez-Demoulin Valérie (2020). Discussion of the paper: Graphical models for extremes by Engelke, S. and Hitz, A. S. Journal of the Royal Statistical Society, Series B, 82, 871–932. | |
TAGASOVSKA Natasa, Chavez Valérie (Dir.) (2020). AN INFORMATION.THEORETIC PERISPECTIVE ON TRUSTWORTHY MACHINE LEARNING. Université de Lausanne, Faculté des hautes études commerciales. | |
Tagasovska Natasa, Chavez-Demoulin Valérie ; Vatter Thibault (2020). Distinguishing Cause from Effect Using Quantiles: Bivariate Quantile Causal Discovery. ICML. | |
2019
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. ![]() | |
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. ![]() | |
2018
Chavez-Demoulin V. , Guillou A. (2018). Extreme quantile estimation for β-mixing time series and applications. Insurance: Mathematics and Economics, 83, 59-74. ![]() | |
Mhalla L., Chavez-Demoulin V. , Ronchetti E. (Dir.) (2018). Statistical Modelling and Inference for Covariate-dependent Extremal Dependence. University of Geneva. | |
Sharma K. , Chavez-Demoulin V. (2018). Non-stationary modeling of tail dependence of two subjects' concentration. Annals of Applied Statistics, 12, 1293-1311. ![]() | |
2017
ABAUNZA OSORIO Felipe, Hameri Ari-Pekka (Dir.) (2017). IMPROVING THE MANAGEMENT OF DATA CENTER COMPUTING RESOURCES. Université de Lausanne, Faculté des hautes études commerciales. | |
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. ![]() | |
Zhelonkin M. , Chavez-Demoulin V. (2017). A note on the statistical robustness of risk measures. The Journal of Operational Risk, 12, 47-68. ![]() | |
2016
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. ![]() | |
Vatter T., Chavez-Demoulin V. (Dir.) (2016). Generalized Additive Modeling For Multivariate Distributions. Université de Lausanne, Faculté des hautes études commerciales. | |
2015
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. | |
2014
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. ![]() | |
2013
2012
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. ![]() | |
2011
Chavez-Demoulin V. , Embrechts P. (2011). An EVT primer for credit risk. The Oxford Handbook of Credit Derivatives (pp. 500-532). Oxford University Press. | |
2010
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. , Davison A. C. (2010). Statistics of hydrological extreme values : Exploratory analysis, modelling and recommendations. Bundesamt für Umwelt. | |
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 V. , Embrechts P. (2010). Operational Risk. Encyclopedia of Quantitative Finance. John Wiley & Sons, Ltd. ![]() | |
2009
Chavez-Demoulin V., Davison A.C. ; Suveges M. (2009, Jan). Nonstationary risk analysis of climate extremes. EGU General Assembly Conference Abstracts, 11 (pp. 6878). | |
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. | |
2006
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., Embrechts P. ; Neslehova J. (2006). Quantitative models for operational risk: extremes, dependence and aggregation. Journal of Banking and Finance, 30, 2635-2658. ![]() | |
2005
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. ![]() | |
2004
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. | |
2003
2002
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. | |
2000
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. | |
1999
Chavez-Demoulin V. (1999). Bayesian inference for small-sample capture-recapture data. Biometrics, 55, 727-731. ![]() | |
Chavez-Demoulin V., Davison A. C. (Dir.) (1999). Two Problems in Environmental Statistics : Capture-Recapture Analysis and Smooth Extremal models. EPFL. | |
Curriculum
Education
Short bioValérie 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.