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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

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
  Marc-Olivier Boldi
marc-olivier.boldi@unil.ch
Tel: (021 692) 61 14
Room: Anthropole 3090.1

full description
 
Ana-Maria Casian
ana-maria.casian@unil.ch



  M Redwan Hasan
m.redwanhasan@hotmail.com



full description
 
Romaine Kühni
romaine.kuhni@unil.ch



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

full description
 
Iegor Rudnytskyi
iegor.rudnytskyi@unil.ch
Tel: (021 692) 3375
Room: EXT/105

full description
  Aleksandr Shemendyuk
alex.shemendyuk@gmail.com



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

full description
 

Publications

49 last publications ordered by: publication type  -  year

: Peer Reviewed

Articles

Ajazi F., Chavez-Demoulin V. ; Tatyana T. (in press). Networks of Random Trees as a Model of Neuronal Connectivity. Journal of Mathematical Biology. Peer Reviewed


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


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


Mhalla L., Opitz T. ; Chavez-Demoulin V. (in press). Exceedance-based nonlinear regression of tail dependence. Extremes. 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 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., 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. , 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.


Thesis

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


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


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


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


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



 
 
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