Michaël Allouche

According to our database, Michaël Allouche authored at least 5 papers between 2022 and 2025.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2025

Learning extreme expected shortfall and conditional tail moments with neural networks. Application to cryptocurrency data.

Michaël Allouche, Stéphane Girard, Emmanuel Gobet

Neural Networks, 2025

2024

Structured dictionary learning of rating migration matrices for credit risk modeling.

Michaël Allouche, Emmanuel Gobet, Clara Lage, Edwin Mangin

Comput. Stat., September, 2024

Estimation of extreme quantiles from heavy-tailed distributions with neural networks.

Michaël Allouche, Stéphane Girard, Emmanuel Gobet

Stat. Comput., February, 2024

2022

EV-GAN: Simulation of extreme events with ReLU neural networks.

Michaël Allouche, Stéphane Girard, Emmanuel Gobet

J. Mach. Learn. Res., 2022

A generative model for fBm with deep ReLU neural networks.

Michaël Allouche, Stéphane Girard, Emmanuel Gobet

J. Complex., 2022