Analyse quantitative (économie)

Résumé

En finance, l'analyse quantitative est l'utilisation de mathématiques financières, souvent dérivées des probabilités, pour mettre au point et utiliser des modèles permettant aux gestionnaires de fonds et autres spécialistes financiers de s'attaquer à deux problèmes :

mieux évaluer la valeur des actifs financiers, et surtout leurs dérivés. Ces dérivés peuvent être des produits comme les warrants, les certificats ou tout autre type de dérivé ou d'option (contrats Futures sur matières premières, indices, etc.).
gérer plus scientifiquement leurs opérations en ajustant en permanence leurs portefeuilles dans une optique d'équilibre entre le risque et la rentabilité attendue. Les analystes cherchent à réduire les risques pris par les institutions financières dans leurs opérations de trading pour un niveau de rendement égal.

Les analystes quantitatifs, surnommés « quants », ont une formation à la fois mathématique et financière. Ils travaillent dans les banques, sociétés financières et

Source officielle

https://fr.wikipedia.org/wiki/Analyse_quantitative_(%C3%A9conomie)

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Participants of this course will master computational techniques frequently used in mathematical finance applications. Emphasis will be put on the implementation and practical aspects.

This course gives an introduction to the modeling of interest rates and credit risk. Such models are used for the valuation of interest rate securities with and without credit risk, the management and hedging of bond portfolios and the valuation and usage of interest rate and credit derivatives.

The course covers a wide range of topics in investment analysis

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Quantitative analysis of caffeine and B-group vitamins in red Bull by HPLC and HPCE

Laurent Joye

2014

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Monetary Independence And Rollover Crises

Jorge Mondragon Minero

This article shows that the inability to use monetary policy for macroeconomic stabilization leaves a government more vulnerable to a rollover crisis. We study a sovereign default model with self-fulfilling rollover crises, foreign currency debt, and nominal rigidities. When the government lacks monetary independence, lenders anticipate that the government would face a severe recession in the event of a liquidity crisis and are therefore more prone to run on government bonds. In a quantitative application to the Eurozone debt crisis, we find that the lack of monetary autonomy played a central role in making Spain vulnerable to a rollover crisis. Finally, we argue that a lender of last resort can go a long way toward reducing the costs of giving up monetary independence.

OXFORD UNIV PRESS INC2022

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Objectives To determine and compare the qualitative and quantitative diagnostic performance of a single sagittal fast spin echo (FSE) T2-weighted Dixon sequence in differentiating benign and malignant vertebral compression fractures (VCF), using multiple readers and different quantitative methods. Methods From July 2014 to June 2020, 95 consecutive patients with spine MRI performed prior to cementoplasty for acute VCFs were retrospectively included. VCFs were categorized as benign (n = 63, mean age = 76 +/- 12 years) or malignant (n = 32, mean age = 63 +/- 12 years) with a best valuable comparator as a reference. Qualitative analysis was independently performed by four radiologists by categorizing each VCF as either benign or malignant using only the image sets provided by FSE T2-weighted Dixon sequences. Quantitative analysis was performed using two different regions of interest (ROI1-2) and three methods (signal drop, fat fraction (FF) from ROIs, FF maps). Diagnostic performance was compared using ROC curves analyses. Interobserver agreement was assessed using kappa statistics and intraclass correlation coefficients (ICC). Results The qualitative diagnostic performance ranged from area under the curve (AUC) = 0.97 (95% CI: 0.91-1.00) to AUC = 0.99 (95% CI: 0.95-1.0). The quantitative diagnostic performance ranged from AUC = 0.82 (95% CI: 0.73-0.89) to AUC = 0.97 (95% CI: 0.91-0.99). Pairwise comparisons showed no statistical difference in diagnostic performance (all p > 0.0013, Bonferroni-corrected p < 0.0011). All five cases with disagreement among the readers were correctly diagnosed at quantitative analysis using ROI2. Interobserver agreement was excellent for both qualitative and quantitative analyses. Conclusions A single FSE T2-weighted Dixon sequence can be used to differentiate benign and malignant VCF with high diagnostic performance using both qualitative and quantitative analyses, which can provide complementary information.

SPRINGER2021

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