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Valérie Chavez

Contact

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 Business Analytics
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 Risk Analytics
Related programmes
Master of Science (MSc) in Management, Orientation Business Analytics
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
bachelor Statistique I
Related programmes
Bachelor (BSc) in Economic Sciences
Bachelor of Science (BSc) in Economics
Bachelor of Science (BSc) in Management

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

  Fabien Baeriswyl
fabien.baeriswyl@unil.ch

Room: ANT 3091

full description
 
Setareh Ranjbar
setareh.ranjbar@unil.ch
Tel: (021 692) 3466
Room: ANT 3087

  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

54 last publications

: Peer Reviewed

In Press

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.


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.


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. Peer Reviewed


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. 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


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. 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


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. Peer Reviewed


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. 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


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. 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


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. 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.


2014

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


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. Peer Reviewed


2012

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


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. Peer Reviewed


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


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). 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


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. 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


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. Peer Reviewed


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. Peer Reviewed


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. 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.


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. Peer Reviewed


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.


 
 
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