Areski Cousin

Université Lyon 1 - ISFA

Assistant Professor

50 avenue Tony Garnier

69007, Lyon

France

SCHOLARLY PAPERS

4

DOWNLOADS

623

SSRN CITATIONS

2

CROSSREF CITATIONS

9

Scholarly Papers (4)

1.

A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries

Number of pages: 24 Posted: 15 Oct 2012 Last Revised: 07 Apr 2013
Illinois Institute of Technology, Université Lyon 1 - ISFA, Université d'Évry - Equipe d'Analyse et Probabilites and University of Gothenburg - Department of Economics/Centre for Finance
Downloads 193 (197,101)
Citation 4

Abstract:

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Portfolio Credit Risk, Markov Copula Model, Common Shocks, Stochastic Spreads, Random Recoveries

2.

A Bottom-Up Dynamic Model of Portfolio Credit Risk; Part I: Markov Copula Perspective

Number of pages: 22 Posted: 18 May 2011 Last Revised: 07 Apr 2013
Illinois Institute of Technology, Université Lyon 1 - ISFA, Université d'Évry - Equipe d'Analyse et Probabilites and University of Gothenburg - Department of Economics/Centre for Finance
Downloads 172 (218,096)
Citation 9

Abstract:

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Portfolio Credit Risk, Credit Derivatives, Markov Copula Model, Common Shocks, Dynamic Hedging

3.

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 (270,506)
Citation 2

Abstract:

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

4.

A Bottom-Up Dynamic Model of Portfolio Credit Risk: Part II: Common-Shock Interpretation, Calibration and Hedging Issues

Number of pages: 20 Posted: 06 Apr 2013
Illinois Institute of Technology, Université Lyon 1 - ISFA, Université d'Évry - Equipe d'Analyse et Probabilites and University of Gothenburg - Department of Economics/Centre for Finance
Downloads 126 (280,118)
Citation 3

Abstract:

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Portfolio credit risk, Basket credit derivatives, Markov copula model, Common shocks, Pricing, Calibration, Min-variance hedging