Luc Henrard

BNP Paribas

Montagne Du Parc 3

Belgium

SCHOLARLY PAPERS

6

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CITATIONS
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Top 28,867

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8

Scholarly Papers (6)

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 517 (37,002)

Abstract:

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
BNP Paribas, Katholieke Universiteit Leuven - Faculty of Economics and Business, BNP Paribas and Vrije Universiteit Brussel (VUB)
Downloads 428 (52,457)
Citation 2

Abstract:

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
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 278 (86,104)

Abstract:

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
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 161 (127,804)
Citation 1

Abstract:

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
Vrije Universiteit Brussel (VUB), KU Leuven - Faculty of Business and Economics (FEB), Katholieke Universiteit Leuven - Faculty of Economics and Business, affiliation not provided to SSRN, BNP Paribas and University of Amsterdam - Faculty of Economics & Econometrics (FEE)
Downloads 161 (144,169)
Citation 3

Abstract:

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
Vrije Universiteit Brussel (VUB), BNP Paribas, Katholieke Universiteit Leuven - Faculty of Economics and Business, University of New South Wales (UNSW) - School of Actuarial Studies and KU Leuven
Downloads 122 (185,941)
Citation 2

Abstract:

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