Luc Henrard

BNP Paribas

Montagne Du Parc 3

Belgium

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 48,675

SSRN RANKINGS

Top 48,675

in Total Papers Downloads

2,144

TOTAL CITATIONS
Rank 30,057

SSRN RANKINGS

Top 30,057

in Total Papers Citations

13

Scholarly Papers (6)

Actions:
Email selected abstracts
1.

Reconciling Credit Correlations

Journal of Risk Model Validation, Vol. 4, No. 2, Summer 2010
Number of pages: 22 Posted: 09 Nov 2007 Last Revised: 17 Sep 2012
Andrew Chernih, Luc Henrard and Steven Vanduffel
affiliation not provided to SSRN, BNP Paribas and Vrije Universiteit Brussel (VUB)
Downloads 662 (84,115)
Citation 6

Abstract:

Loading...

Solvency II, Basel II, KMV, MKMV, Asset Correlation, Credit Risk, Economic Capital, VaR

2.

Basel Ii: Capital Requirements for Equity Investment Portfolios

Belgian Actuarial Bulletin, Vol. 5, pp. 37-45
Number of pages: 9 Posted: 01 Jun 2006 Last Revised: 24 Nov 2013
Fabian Suarez, Jan Dhaene, Luc Henrard and Steven Vanduffel
BNP Paribas, Katholieke Universiteit Leuven, BNP Paribas and Vrije Universiteit Brussel (VUB)
Downloads 508 (117,373)
Citation 1

Abstract:

Loading...

Capital allocation, Research, Requirements, Investment, Investment portfolio, Portfolio, Agreements, Regulation, Stability, International, Framework, Methods, Consumption, Models, Model

3.

Stress-Testing the Impact of Group Dependence on Credit Portfolio Risk

STRESS-TESTING FOR FINANCIAL INSTITUTIONS, Harald Scheule, Daniel Rösch, eds., Incisive Media, 2009
Number of pages: 19 Posted: 15 Mar 2009
Steven Vanduffel, Bostjan Aver, Andrew Chernih, Luc Henrard and Carmen Ribas
Vrije Universiteit Brussel (VUB), affiliation not provided to SSRN, affiliation not provided to SSRN, BNP Paribas and University of Barcelona - Department of Actuarial, Financial and Economic Mathematics
Downloads 322 (197,401)

Abstract:

Loading...

Dependence, correlations, credit risk, contagion, group risk, Panjer's recursion

4.

An Explicit Option - Based Strategy that Outperforms Dollar Cost Averaging

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 19 Posted: 26 Jul 2011 Last Revised: 23 Aug 2011
Steven Vanduffel, Ales Ahcan, Luc Henrard and Mateusz Maj
Vrije Universiteit Brussel (VUB), University of Ljubljana - Faculty of Economics, BNP Paribas and Vrije Universiteit Brussel (VUB) - Faculty of Economic, Social and Political Sciences
Downloads 265 (242,016)
Citation 1

Abstract:

Loading...

lévy process, minimal guarantee, Jensen's inequality, Brownian Bridge, hedging, Esscher transform

5.

Optimal Approximations for Risk Measures of Sums of Lognormals Based on Conditional Expectations

Journal of Computational and Applied Mathematics, Vol. 221, No. 1, pp. 202-218
Number of pages: 22 Posted: 01 Jun 2006 Last Revised: 21 Apr 2009
Steven Vanduffel, Xinliang Chen, Jan Dhaene, M. J. Goovaerts, Luc Henrard and Rob Kaas
Vrije Universiteit Brussel (VUB), KU Leuven - Faculty of Business and Economics (FEB), Katholieke Universiteit Leuven, affiliation not provided to SSRN, BNP Paribas and University of Amsterdam - Faculty of Economics & Econometrics (FEE)
Downloads 213 (299,638)
Citation 3

Abstract:

Loading...

Lognormal, random sum, Asian options, conditional expectation, Lower bound, Annuities,

6.

Analytic Bounds and Approximations for Annuities and Asian Options

Insurance: Mathematics and Economics, Vol. 42, No. 3, 2008
Number of pages: 18 Posted: 12 Jan 2006 Last Revised: 22 Apr 2009
Steven Vanduffel, Luc Henrard, Jan Dhaene, Emiliano Valdez and Zhaoning Shang
Vrije Universiteit Brussel (VUB), BNP Paribas, Katholieke Universiteit Leuven, University of New South Wales (UNSW) - School of Actuarial Studies and KU Leuven
Downloads 174 (360,671)
Citation 2

Abstract:

Loading...

Asian option, closed- form, analytical, annuity, fast approximation, lognormal, maximal variance, conditional expectation