Ludovic Dubrana

Ecole Nationale des Ponts et Chaussées (ENPC)

28, rue des Saints-Peres

75343 Paris Cedex 07

France

SCHOLARLY PAPERS

7

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Scholarly Papers (7)

1.

Mind the Solvency II Gap: A Coherent Measure of Market Consistent Embedded Value to Interest Rate Risk in ALM

Number of pages: 20 Posted: 20 Dec 2011 Last Revised: 25 Mar 2014
Ludovic Dubrana
Ecole Nationale des Ponts et Chaussées (ENPC)
Downloads 858 (29,881)

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asset and liability management (ALM), interest rate risk, market consistent embedded value (MCEV), duration, convexity, duration gap, convexity gap, key-rate duration, key-rate convexity, immunization, dedication, half-way approach, target duration, convexity impact, stochastic ALM, DFA

2.

A Stochastic Model for Credit Spreads Under a Risk-Neutral Framework Through the Use of an Extended Version of the Jarrow, Lando and Turnbull Model

Number of pages: 10 Posted: 25 Nov 2011 Last Revised: 14 Apr 2014
Ludovic Dubrana
Ecole Nationale des Ponts et Chaussées (ENPC)
Downloads 691 (40,215)

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bond pricing, stochastic credit spreads, enhanced Jarrow, Lando and Turnbull model, risk-neutral valuation, Markov chain, arbitrage-free condition, European embedded value, time value of options and guarantees

3.

Calibration of Credit Spread Scenarios for Monte Carlo Simulations

Number of pages: 117 Posted: 13 Jun 2012 Last Revised: 16 Jun 2012
Ludovic Dubrana
Ecole Nationale des Ponts et Chaussées (ENPC)
Downloads 666 (42,247)
Citation 1

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credit spreads, liquidity premium, credit default swap, Black-Karasinski, jum process, predictive model for volatility, non-positive definite correlation matrix, marginal spread risk factor contribution, Quasi Monte Carlo sequence

4.

Credit Risk Modeling Through the Use of an Extended and Numerically Stable Version of CreditRisk and a Merton Model

Number of pages: 45 Posted: 24 Nov 2011
Ludovic Dubrana
Ecole Nationale des Ponts et Chaussées (ENPC)
Downloads 361 (90,095)
Citation 1

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credit risk, credit default risk, credit migration risk, credit portfolio modeling, CreditRisk, Markov process, Merton model, transition matrix model, Value-at-Risk, Expected Shortfall, Value-at-Risk contribution, Panjer recursion, Fourier transform, operational risk

5.

Reinterpretation of Solvency Capital Requirements Through an Analytical Formula

Number of pages: 17 Posted: 25 Nov 2011
Ludovic Dubrana
Ecole Nationale des Ponts et Chaussées (ENPC)
Downloads 238 (140,666)

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solvency capital requirements, SCR, solvency II, analytical formula, economic capital, partial internal model

6.

Review of Econometric Models Applicable to Hedge Fund Returns Capturing Serial Correlation and Illiquidity

Number of pages: 46 Posted: 26 Nov 2011
Ludovic Dubrana
Ecole Nationale des Ponts et Chaussées (ENPC)
Downloads 225 (148,596)

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Hedge Funds, random walk model, Blundell-Ward model, Getmansky, Lo and Markarov model, serial correlation, smoothing, illiquidity, volatility forecasting, EWMA, ”square root of time” relationship, Markov-switching model, conditional serial correlation

7.

Enhanced Valuation of European Options Under Jump Processes and Innovative Characterization of Implied Volatility Smile

Number of pages: 21 Posted: 26 Nov 2011
Ludovic Dubrana
Ecole Nationale des Ponts et Chaussées (ENPC)
Downloads 76 (341,834)

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option pricing, enhanced model, European call, jump, Poisson-driven process, Black-Scholes, Merton, implied volatility, volatility smile, closed-form solution, Newton-Raphson recursive algorithm