Professeurs et Recherche

Enseignements

master Company Project in Business Analytics
Formations concernées
Maîtrise universitaire ès Sciences en management, Orientation stratégie, organisation et leadership
Maîtrise universitaire ès Sciences en management, Orientation comportement, économie et évolution
Maîtrise universitaire ès Sciences en management, Orientation marketing
Maîtrise universitaire ès Sciences en management, Orientation business analytics

master Forecasting II
Formations concernées
Maîtrise universitaire ès Sciences en management, Orientation stratégie, organisation et leadership
Maîtrise universitaire ès Sciences en management, Orientation comportement, économie et évolution
Maîtrise universitaire ès Sciences en management, Orientation marketing
Maîtrise universitaire ès Sciences en management, Orientation business analytics

master Risk Analytics
Formations concernées
Maîtrise universitaire ès Sciences en management, Orientation stratégie, organisation et leadership
Maîtrise universitaire ès Sciences en management, Orientation marketing
Maîtrise universitaire ès Sciences en management, Orientation comportement, économie et évolution
Maîtrise universitaire ès Sciences en management, Orientation business analytics

bachelor Statistique I
Formations concernées
Baccalauréat universitaire ès Sciences en économie politique
Baccalauréat universitaire ès Sciences en management
Baccalauréat universitaire en sciences économiques

Recherches

Axes de recherche

Gestion des opérations

Gestion du risque

Modélisation de dépendance

Modélisation des événements extrêmes

Risque opérationnel

Assistants

	Maximilian Aigner maximilian.aigner@unil.ch Tél: (021 692) 3466 Bureau: ANT3087 page personnelle			Ilia Azizi Ilia.Azizi@unil.ch page personnelle

	Fabien Baeriswyl fabien.baeriswyl@unil.ch Bureau: ANT 3091 page personnelle			Setareh Ranjbar setareh.ranjbar@unil.ch Tél: (021 692) 3466 Bureau: ANT 3087 page personnelle

	Matthieu Wilhelm matthieu.wilhelm@unil.ch Tél: (021 692) 6115 Bureau: ANT 3091 page personnelle

Publications

55 dernières publications

: Revue avec comité de lecture

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.

	Mhalla Linda, Chavez-Demoulin Valérie ; Dupuis Debbie (2020). Causal mechanism of extreme river discharges in the upper Danube basin network. Journal of the Royal Statistical Society, Series C, 69, 741-764.

	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.

	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.

	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.

2018

	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.

	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.

	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.

	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.

2016

	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.

	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

	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.

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., 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. , 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

	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.

2002

	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.

	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.

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

Formations

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

Coordonnées