{"id":5841,"date":"2025-08-19T14:29:56","date_gmt":"2025-08-19T14:29:56","guid":{"rendered":"https:\/\/detralytics.com\/?p=5841"},"modified":"2025-09-10T11:54:29","modified_gmt":"2025-09-10T11:54:29","slug":"recent-advances-in-financial-modelling-for-risk-management","status":"publish","type":"post","link":"https:\/\/detralytics.com\/fr\/learning\/risk-management\/recent-advances-in-financial-modelling-for-risk-management\/","title":{"rendered":"R\u00e9centes avanc\u00e9es en mod\u00e9lisation financi\u00e8re \nappliqu\u00e9e \u00e0 la gestion des risques"},"content":{"rendered":"<div data-elementor-type=\"wp-post\" data-elementor-id=\"5841\" class=\"elementor elementor-5841\" data-elementor-post-type=\"post\">\n\t\t\t\t<div class=\"elementor-element elementor-element-f4c7a81 e-con-full e-flex e-con e-parent\" data-id=\"f4c7a81\" data-element_type=\"container\" data-e-type=\"container\" data-settings=\"{&quot;background_background&quot;:&quot;classic&quot;,&quot;shape_divider_bottom&quot;:&quot;tilt&quot;}\">\n\t\t\t\t<div class=\"elementor-shape elementor-shape-bottom\" aria-hidden=\"true\" data-negative=\"false\">\n\t\t\t<svg xmlns=\"http:\/\/www.w3.org\/2000\/svg\" viewbox=\"0 0 1000 100\" preserveaspectratio=\"none\">\n\t<path class=\"elementor-shape-fill\" d=\"M0,6V0h1000v100L0,6z\"\/>\n<\/svg>\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-d2b2acc elementor-widget elementor-widget-heading\" data-id=\"d2b2acc\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"heading.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<h1 class=\"elementor-heading-title elementor-size-default\">R\u00e9centes avanc\u00e9es en mod\u00e9lisation financi\u00e8re \nappliqu\u00e9e \u00e0 la gestion des risques<\/h1>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-9bb05d7 elementor-widget elementor-widget-heading\" data-id=\"9bb05d7\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"heading.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<h3 class=\"elementor-heading-title elementor-size-default\">D. Hainaut, PhD<\/h3>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t<div class=\"elementor-element elementor-element-4fae3a2 e-con-full e-flex e-con e-parent\" data-id=\"4fae3a2\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t<div class=\"elementor-element elementor-element-ab7afb1 e-con-full e-flex e-con e-child\" data-id=\"ab7afb1\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t<div class=\"elementor-element elementor-element-254f0bc elementor-widget elementor-widget-heading\" data-id=\"254f0bc\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"heading.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<h2 class=\"elementor-heading-title elementor-size-default\">Description<\/h2>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-d2e84fd elementor-widget elementor-widget-text-editor\" data-id=\"d2e84fd\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t<div class=\"page\" title=\"Page 3\">\n<div class=\"layoutArea\">\n<div class=\"column\">\n<p class=\"p1\">Cette formation pr\u00e9sente les avanc\u00e9es r\u00e9centes dans le domaine des mod\u00e8les financiers quantitatifs appliqu\u00e9s \u00e0 la gestion des risques.<\/p>\n<p class=\"p1\">La premi\u00e8re partie porte sur les mod\u00e8les de changement de r\u00e9gime des prix des actions dans lesquels les param\u00e8tres sont modul\u00e9s par un processus cach\u00e9, repr\u00e9sentant la conjoncture \u00e9conomique.<\/p>\n<p class=\"p1\">La seconde partie est consacr\u00e9e aux processus auto-excit\u00e9s qui reproduisent les effets indirects de l\u2019application de chocs sur les march\u00e9s boursiers.<\/p>\n<p class=\"p1\">La troisi\u00e8me partie est d\u00e9di\u00e9e \u00e0 la calibration bay\u00e9sienne des processus avec des m\u00e9thodes de Markov Chain Monte-Carlo (MCMC).<\/p>\n<p class=\"p1\">La derni\u00e8re partie traite du mod\u00e8le de Heston pour le prix des actions et la s\u00e9lection de la volatilit\u00e9 stochastique.<\/p>\n<p class=\"p1\">Pour tous les mod\u00e8les cit\u00e9s ci-dessus, nous abordons l\u2019\u00e9valuation des options par transform\u00e9e de Fourier rapide et leur estimation \u00e9conom\u00e9trique. Le code R utilis\u00e9 pour les exemples est fourni aux participants.<\/p>\n<\/div>\n<\/div>\n<\/div>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-79a6580 elementor-widget elementor-widget-heading\" data-id=\"79a6580\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"heading.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<h2 class=\"elementor-heading-title elementor-size-default\">Programme<\/h2>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-d821de4 elementor-widget elementor-widget-text-editor\" data-id=\"d821de4\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t<style>\n.spaced-list > li {\n  margin-bottom: 20px; \/* espace entre les 3 points principaux *\/\n}\n\n.spaced-list > li:last-child {\n  margin-bottom: 0; \/* \u00e9vite un espace inutile apr\u00e8s le dernier *\/\n}\n\n\/* Supprime la marge des <p> directement dans les <li> *\/\n.spaced-list > li > p {\n  margin-bottom: 0;\n}\n<\/style>\n\n<ol class=\"spaced-list\">\n  <li>Mod\u00e8les de cycles \u00e9conomiques<br \/>\n    <ul>\n      <li>Switching jump-diffusion<\/li>\n      <li>Prix des options<\/li>\n      <li>Calibrage et filtre d\u2019Hamilton<\/li>\n      <li>Mod\u00e8le fractal-switching<\/li>\n    <\/ul>\n  <\/li>\n  <li>Effets indirects sur les march\u00e9s boursiers\n    <ul>\n      <li>Sauts spontan\u00e9s sur le march\u00e9 boursier (Hawkes)<\/li>\n      <li>Calibration par m\u00e9thode de \u201cpeaks of threshold\u201d<\/li>\n      <li>\u00c9chantillonnage des mod\u00e8les spontan\u00e9s<\/li>\n      <li>Propri\u00e9t\u00e9s des processus spontan\u00e9s<\/li>\n      <li>Prix des options<\/li>\n    <\/ul>\n  <\/li>\n  <li>\n    <p>Estimation par Markov Chain Monte-Carlo (MCMC) &amp; mod\u00e8les de volatilit\u00e9 stochastique<\/p>\n    <ul>\n      <li>Algorithme de Metropolis-Hasting (MCMC)<\/li>\n      <li>Application aux mod\u00e8les de changement de r\u00e9gime<\/li>\n      <li>Mod\u00e8le de Heston<\/li>\n      <li>Filtrage particulaire de la volatilit\u00e9 cach\u00e9e<\/li>\n      <li>Estimation \u00e9conom\u00e9trique \u00e0 partir d\u2019un MCMC particulaire<\/li>\n    <\/ul>\n  <\/li>\n<\/ol>\n\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t<div class=\"elementor-element elementor-element-7daa359 e-con-full e-flex e-con e-child\" data-id=\"7daa359\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t<div class=\"elementor-element elementor-element-355647c elementor-widget elementor-widget-heading\" data-id=\"355647c\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"heading.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<h2 class=\"elementor-heading-title elementor-size-default\">Orateur<\/h2>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-2a56262 elementor-widget elementor-widget-image\" data-id=\"2a56262\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"image.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t<img fetchpriority=\"high\" decoding=\"async\" width=\"1042\" height=\"1042\" src=\"https:\/\/detralytics.com\/wp-content\/uploads\/2023\/07\/Donatien_Rond.jpg\" class=\"attachment-full size-full wp-image-2876\" alt=\"Donatien Hainaut\" srcset=\"https:\/\/detralytics.com\/wp-content\/uploads\/2023\/07\/Donatien_Rond.jpg 1042w, https:\/\/detralytics.com\/wp-content\/uploads\/2023\/07\/Donatien_Rond-768x768.jpg 768w, https:\/\/detralytics.com\/wp-content\/uploads\/2023\/07\/Donatien_Rond-146x146.jpg 146w, https:\/\/detralytics.com\/wp-content\/uploads\/2023\/07\/Donatien_Rond-50x50.jpg 50w, https:\/\/detralytics.com\/wp-content\/uploads\/2023\/07\/Donatien_Rond-75x75.jpg 75w, https:\/\/detralytics.com\/wp-content\/uploads\/2023\/07\/Donatien_Rond-85x85.jpg 85w, https:\/\/detralytics.com\/wp-content\/uploads\/2023\/07\/Donatien_Rond-80x80.jpg 80w\" sizes=\"(max-width: 1042px) 100vw, 1042px\" \/>\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-ab825d4 elementor-widget elementor-widget-heading\" data-id=\"ab825d4\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"heading.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<h2 class=\"elementor-heading-title elementor-size-default\">Donatien Hainaut<\/h2>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-d353b87 elementor-widget elementor-widget-text-editor\" data-id=\"d353b87\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t<p><em>Conseiller Scientifique, Detralytics<\/em><br \/><em>Professeur, UCLouvain<\/em><\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t<div class=\"elementor-element elementor-element-0f29719 e-con-full e-flex e-con e-child\" data-id=\"0f29719\" data-element_type=\"container\" data-e-type=\"container\" data-settings=\"{&quot;background_background&quot;:&quot;gradient&quot;}\">\n\t\t\t\t<div class=\"elementor-element elementor-element-5de7e2a elementor-widget elementor-widget-text-editor\" data-id=\"5de7e2a\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t<p><b>Date : <\/b>\u00c0 la demande<\/p>\n<p><b><\/b><b>Dur\u00e9e : <\/b>9h<\/p>\n<p><b style=\"letter-spacing: 0.3px; background-color: transparent;\">Accr\u00e9ditation :<\/b><span style=\"letter-spacing: 0.3px; background-color: transparent;\"> 9CPD | 54PPC<\/span><\/p>\n<p><b>Industrie :<\/b> Banque, Assurance<\/p>\n<p><b>Pr\u00e9requis :<\/b> Installation de packages R<\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-898935e elementor-align-center elementor-widget elementor-widget-button\" data-id=\"898935e\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"button.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t<div class=\"elementor-button-wrapper\">\n\t\t\t\t\t<a class=\"elementor-button elementor-button-link elementor-size-sm\" href=\"mailto:learning@detralytics.eu\">\n\t\t\t\t\t\t<span class=\"elementor-button-content-wrapper\">\n\t\t\t\t\t\t\t\t\t<span class=\"elementor-button-text\">Introduire une demande<\/span>\n\t\t\t\t\t<\/span>\n\t\t\t\t\t<\/a>\n\t\t\t\t<\/div>\n\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t<div class=\"elementor-element elementor-element-07e40ea e-con-full e-flex e-con e-child\" data-id=\"07e40ea\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t<div class=\"elementor-element elementor-element-89b6347 e-con-full e-flex e-con e-parent\" data-id=\"89b6347\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t<div class=\"elementor-element elementor-element-383049d elementor-widget elementor-widget-heading\" data-id=\"383049d\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"heading.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<h2 class=\"elementor-heading-title elementor-size-default\">Comp\u00e9tences acquises<\/h2>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-bc0d89b elementor-widget elementor-widget-text-editor\" data-id=\"bc0d89b\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t<p>\u00c0 l\u2019issue de cette formation, le participant aura appris \u00e0 :<\/p>\n<ul>\n<li>Concevoir des mod\u00e8les de prix des actions int\u00e9grant diverses caract\u00e9ristiques, telles que les cycles \u00e9conomiques, les effets indirects des sauts ou la volatilit\u00e9 stochastique;<\/li>\n<li>Impl\u00e9menter les m\u00e9thodes de transform\u00e9e rapide de Fourier (FFT, Fast Fourier transform) pour la tarification des options;<\/li>\n<li>Estimer des mod\u00e8les \u00e0 partir de s\u00e9ries temporelles gr\u00e2ce \u00e0 des techniques bay\u00e9siennes telles que MCMC ou MCMC particulaire.<\/li>\n<\/ul>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t<div class=\"elementor-element elementor-element-6d47b7c e-con-full e-flex e-con e-parent\" data-id=\"6d47b7c\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t<div class=\"elementor-element elementor-element-cc3d72a elementor-widget elementor-widget-heading\" data-id=\"cc3d72a\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"heading.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<h2 class=\"elementor-heading-title elementor-size-default\">\u00c0 propos des orateurs<\/h2>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-224cb75 elementor-widget elementor-widget-heading\" data-id=\"224cb75\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"heading.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<h2 class=\"elementor-heading-title elementor-size-default\">Donatien Hainaut<\/h2>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-58dff6d elementor-widget elementor-widget-text-editor\" data-id=\"58dff6d\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t<p class=\"has-text-color has-link-color wp-elements-ae5c48d82f22f2e0c01ebb851eee595b\">Donatien Hainaut est Conseiller Scientifique chez Detralytics et Professeur \u00e0 l\u2019UCLouvain (Belgique), o\u00f9 il dirige le Master en Data Science \u00e0 orientation statistique. Auparavant, il a occup\u00e9 plusieurs postes acad\u00e9miques, notamment en tant que Professeur Associ\u00e9 \u00e0 la Rennes School of Business et \u00e0 l\u2019ENSAE \u00e0 Paris. Il poss\u00e8de \u00e9galement une solide exp\u00e9rience en entreprise, ayant travaill\u00e9 comme Risk Officer, Quantitative Analyst et ALM Officer.<\/p><p class=\"has-text-color has-link-color wp-elements-319687f5e483df5041193c0b748e25dd\">Actuaire qualifi\u00e9 et titulaire d\u2019un doctorat en Asset and Liability Management, ses recherches actuelles portent sur les m\u00e9canismes de contagion dans les processus stochastiques ainsi que sur les applications des r\u00e9seaux de neurones en assurance.<\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t<div class=\"elementor-element elementor-element-179f58e e-con-full e-flex e-con e-parent\" data-id=\"179f58e\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t<div class=\"elementor-element elementor-element-4544acf elementor-align-center elementor-widget elementor-widget-button\" data-id=\"4544acf\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"button.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t<div class=\"elementor-button-wrapper\">\n\t\t\t\t\t<a class=\"elementor-button elementor-button-link elementor-size-sm\" href=\"https:\/\/detralytics.com\/fr\/trainings\/#opentrainings\">\n\t\t\t\t\t\t<span class=\"elementor-button-content-wrapper\">\n\t\t\t\t\t\t<span class=\"elementor-button-icon\">\n\t\t\t\t<svg aria-hidden=\"true\" class=\"e-font-icon-svg e-fas-arrow-right\" viewbox=\"0 0 448 512\" xmlns=\"http:\/\/www.w3.org\/2000\/svg\"><path d=\"M190.5 66.9l22.2-22.2c9.4-9.4 24.6-9.4 33.9 0L441 239c9.4 9.4 9.4 24.6 0 33.9L246.6 467.3c-9.4 9.4-24.6 9.4-33.9 0l-22.2-22.2c-9.5-9.5-9.3-25 .4-34.3L311.4 296H24c-13.3 0-24-10.7-24-24v-32c0-13.3 10.7-24 24-24h287.4L190.9 101.2c-9.8-9.3-10-24.8-.4-34.3z\"><\/path><\/svg>\t\t\t<\/span>\n\t\t\t\t\t\t\t\t\t<span class=\"elementor-button-text\">Nos formations<\/span>\n\t\t\t\t\t<\/span>\n\t\t\t\t\t<\/a>\n\t\t\t\t<\/div>\n\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>","protected":false},"excerpt":{"rendered":"<p>Cette formation pr\u00e9sente les avanc\u00e9es r\u00e9centes dans le domaine des mod\u00e8les financiers quantitatifs appliqu\u00e9s \u00e0 la gestion des risques.<\/p>","protected":false},"author":1,"featured_media":5842,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[152],"tags":[150],"class_list":["post-5841","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-risk-management","tag-risk-management"],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v28.0 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>Training : Recent advances in Financial Modelling for Risk Management<\/title>\n<meta name=\"description\" content=\"This training 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