Jean-Paul Laurent

University Paris 1 Panthéon - Sorbonne, PRISM Sorbonne & Labex ReFi

SCHOLARLY PAPERS

12

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SSRN CITATIONS
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Top 33,477

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12

CROSSREF CITATIONS

13

Scholarly Papers (12)

1.

Building a Consistent Pricing Model from Observed Option Prices

Stanford University, Hoover Institution Working Paper No. B-443
Number of pages: 25 Posted: 22 Jan 1999
Dietmar Leisen and Jean-Paul Laurent
Johannes Gutenberg University Mainz - Department of Banking and University Paris 1 Panthéon - Sorbonne, PRISM Sorbonne & Labex ReFi
Downloads 869 (34,307)
Citation 5

Abstract:

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2.

Trading Book and Credit Risk: How Fundamental is the Basel Review?

Journal of Banking and Finance, Vol. 73, No. 1, 2016
Number of pages: 35 Posted: 23 Oct 2015 Last Revised: 21 Jun 2017
University Paris 1 Panthéon - Sorbonne, PRISM Sorbonne & Labex ReFi, Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and Labex ReFi
Downloads 787 (39,300)
Citation 3

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Fundamental Review of the Trading Book, Portfolio Credit Risk Modeling, Factor Models, Risk Contribution

3.

Hedging Interest Rate Margins on Demand Deposits

Number of pages: 26 Posted: 18 Mar 2009
Alexandre Adam, Mohamed Houkari and Jean-Paul Laurent
BNP Paribas, University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA) and University Paris 1 Panthéon - Sorbonne, PRISM Sorbonne & Labex ReFi
Downloads 366 (102,180)

Abstract:

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demand deposits, interest rate margin, mean-variance hedging, asset and liability management

4.

Pricing CDOs with State Dependent Stochastic Recovery Rates

Number of pages: 38 Posted: 28 Oct 2010
BNP Paribas, BNP Paribas, BNP Paribas and University Paris 1 Panthéon - Sorbonne, PRISM Sorbonne & Labex ReFi
Downloads 310 (122,628)
Citation 6

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credit risk assessment, recovery rates, stochastic orders, CDOs

5.

CCP Resilience and Clearing Membership

Number of pages: 56 Posted: 03 Jul 2015 Last Revised: 11 May 2017
Angela Armakolla and Jean-Paul Laurent
University of Paris 1 Pantheon-Sorbonne - Laboratoire PRISM and University Paris 1 Panthéon - Sorbonne, PRISM Sorbonne & Labex ReFi
Downloads 289 (132,195)
Citation 8

Abstract:

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CCPs, financial stability, risk mutualisation, contingent liquidity, recovery, resolution

6.

Market Risk and Volatility Weighted Historical Simulation after Basel III

Number of pages: 28 Posted: 03 Jan 2018
Jean-Paul Laurent and Hassan Omidi Firouzi
University Paris 1 Panthéon - Sorbonne, PRISM Sorbonne & Labex ReFi and Labex ReFi
Downloads 160 (229,903)

Abstract:

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Basel III, Fundamental Review Of The Trading Book, Market Risk, Historical Simulation, Backtesting, Capital Requirements

7.

Comparison Results for Exchangeable Credit Risk Portfolios

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Number of pages: 23 Posted: 10 Mar 2008
Areski Cousin and Jean-Paul Laurent
Université Lyon 1 - ISFA and University Paris 1 Panthéon - Sorbonne, PRISM Sorbonne & Labex ReFi
Downloads 132 (268,377)
Citation 2

Abstract:

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default risk, CDOs, factor copulas, multivariate Poisson, structural models, stochastic orders

8.

Repurchase Agreements and the European Sovereign Debt Crises: The Role of European Clearinghouses

Number of pages: 37 Posted: 06 Oct 2017 Last Revised: 04 Nov 2017
University of Paris 1 Pantheon-Sorbonne - Laboratoire PRISM, CES Univ. Paris 1, University Paris 1 Panthéon - Sorbonne, PRISM Sorbonne & Labex ReFi and European University Institute
Downloads 78 (380,408)
Citation 2

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Repo, Haircut, CCP, Systemic Risk, Sovereign Debt Crisis

9.

Spectral Risk Measures and Portfolio Selectio

Number of pages: 28 Posted: 06 Mar 2016
Alexandre Adam, Mohamed Houkari and Jean-Paul Laurent
BNP Paribas, University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA) and University Paris 1 Panthéon - Sorbonne, PRISM Sorbonne & Labex ReFi
Downloads 54 (459,481)
Citation 6

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portfolio selection, expected shortfall, distortion risk measures, spectral risk measures, hedge funds

10.

Basket Default Swaps, Cdos and Factor Copulas

Journal of Risk, Forthcoming
Posted: 07 Nov 2005
Jon Gregory and Jean-Paul Laurent
Independent and University Paris 1 Panthéon - Sorbonne, PRISM Sorbonne & Labex ReFi

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factor approach, credit derivatives, basket credit derivatives, synthetic collateralised debt obligation, CDOs, synthetic CDOs, basket default swaps, CDO tranches, mean-variance mixture models, frailty models Gaussian copulas, Clayton copulas

11.

Building Models for Credit Spreads

Journal of Derivatives, Spring 99 issue
Posted: 14 Mar 1999 Last Revised: 02 Jan 2018
Angelo Arvanitis, Jon Gregory and Jean-Paul Laurent
Paribas, Independent and University Paris 1 Panthéon - Sorbonne, PRISM Sorbonne & Labex ReFi

Abstract:

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12.

Dynamic Programming and Mean-Variance Hedging

Finance and Stochastics, Vol. 3, Iss. 1, 1999
Posted: 25 Nov 1998
Huyen Pham and Jean-Paul Laurent
Université Paris-Est Marne la Vallée (UPEMLV) and University Paris 1 Panthéon - Sorbonne, PRISM Sorbonne & Labex ReFi

Abstract:

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