Jean-Frédéric Jouanin

affiliation not provided to SSRN

No Address Available

SCHOLARLY PAPERS

4

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2,087

SSRN CITATIONS
Rank 40,830

SSRN RANKINGS

Top 40,830

in Total Papers Citations

2

CROSSREF CITATIONS

13

Scholarly Papers (4)

1.

Financial Applications of Copula Functions

RISK MEASURES FOR THE 21ST CENTURY, Par Giorgio Szego, ed., John Wiley & Sons, 2004
Number of pages: 26 Posted: 26 Nov 2007
Jean-Frédéric Jouanin, Gaël Riboulet and Thierry Roncalli
affiliation not provided to SSRN, Natixis and Amundi Asset Management
Downloads 1,104 (20,279)

Abstract:

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copula, risk management, market risk, credit risk, operational risk.

2.

Maximum Likelihood Estimate of Default Correlations

Risk Magazine, November 2004.
Number of pages: 5 Posted: 27 Nov 2007
Paul Demey, Jean-Frédéric Jouanin, Céline Roget and Thierry Roncalli
Lyxor Asset Management, affiliation not provided to SSRN, Credit Lyonnais Asset Management and Amundi Asset Management
Downloads 573 (50,495)
Citation 2

Abstract:

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default correlations, factor models

3.

Modelling Dependence for Credit Derivatives with Copulas

Number of pages: 23 Posted: 26 Nov 2007
Jean-Frédéric Jouanin, Grégory Rapuch, Gaël Riboulet and Thierry Roncalli
affiliation not provided to SSRN, affiliation not provided to SSRN, Natixis and Amundi Asset Management
Downloads 307 (105,954)
Citation 12

Abstract:

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Copulas, intensity models, Cox processes, Bessel processes, Moody's diversity score

4.

Beyond Conditionnally Independent Defaults

Number of pages: 6 Posted: 26 Nov 2007
Jean-Frédéric Jouanin, Gaël Riboulet and Thierry Roncalli
affiliation not provided to SSRN, Natixis and Amundi Asset Management
Downloads 103 (278,172)

Abstract:

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Copulas, intensity models, Moody's diversity score