Professor of Finance
École de Management de la Sorbonne
Université Paris 1 Panthéon-Sorbonne
17, rue de la Sorbonne, 75005 Paris, FRANCE

Modelling in Life Insurance – A Management Perspective

Cours de gestion financière (M1)

Cours de magistère de finance et de M2 Finance de marché

Google Scholar Profile

Downloadable working papers 

Conference slides

Published articles and book chapters

An overview of the valuation of collateralized derivatives contracts, 2014, Review of Derivatives Research, volume 17, issue 3, 261-286.
Pricing CDOs with State Dependent Stochastic Recovery Rates, 2012, Quantitative Finance, volume 12, issue 8, 1219-1240.
Hedging default risks of CDOs in Markovian contagion models, 2011, Quantitative Finance, volume 11, issue 12, 1773-1791
A note on the risk management of CDOs, 2011, in Recent Advances in Financial Engineering 2010, Proceedings of KIER-TMU International Workshop on Financial Engineering 2010, Kijima et al. (eds), 43-68, World Scientific.
Dynamic hedging of synthetic CDO tranches: Bridging the gap between theory and practice, 2011, in Credit risk frontiers. The subprime crisis, pricing and hedging, CVA, MBS, ratings and liquidity, T. Bielecki , D. Brigo and F. Patras (eds), Chapter 6, 149-184, Wiley.
Hedging CDO tranches in a Markovian environment, 2010, Paris-Princeton Lectures on Mathematical Finance 2010, 1-62, R. Carmona and N. Touzi (eds), Springer.
Couverture des risques de défaut dans des modèles de contagion markoviens, 2010, in Financial RIsks - New Developments in Structured Product & Credit Derivatives, Chapter 6, 63-75, C. Gouriéroux and M. Jeanblanc (eds), Economica.
Credit Default Swaption, 2010, in Encyclopedia of Quantitative Finance, R. Cont (ed.), Wiley.
A comparative analysis of CDO pricing models under the factor copula approach, 2009, Journal of Derivatives, Vol. 16, n°4, 9-37.
An overview of factor modeling for CDO pricing, 2008, in Frontiers in Quantitative Finance: Credit Risk and Volatility Modeling, R. Cont (ed.), Chapter 7, 185-216, Wiley.
A comparative analysis of CDO pricing models, 2008, in The Definitive Guide to CDOs, G. Meissner (ed.), Chapter 15, 389-427, Risk Books.
Hedging issues for CDOs, 2008, in The Definitive Guide to CDOs, G. Meissner (ed.), Chapter 17, 461-480, Risk Books.
Practical pricing of synthetic CDOs, 2008, in "The Definitive Guide to CDOs", G. Meissner (ed.), Chapter 9, 223-257, Risk Books.
Mortality fluctuations modelling with a shared frailty approach, 2008, Life & Pensions, October, 39-44.
Comparison results for exchangeable credit risk portfolios, 2008, Insurance: Mathematics and Economics, Vol. 42, n°3, 1118-1127.
Spectral risk measures and portfolio selection, 2008, Journal of Banking & Finance,Vol. 32, n°9, 1870-1882.
Beyond the Gaussian copula: stochastic and local correlation, 2007, Journal of Credit Risk, Vol. 3, n°1, 31-62.
Alternative risk measures for alternative investments, 2006, Journal of Risk, Vol. 8, n°4, 1-32.
Basket default swaps, CDOs and factor copulas, 2005, Journal of Risk, Vol. 7, n°4, 103-122.
Credit risk assessment and stochastic LGD's: an investigation of correlation effects, 2005, "Recovery Risk: The Next Challenge in Credit Risk Management", E. Altman, A. Resti, A. Sironi (eds.), Chapter 15, 267-284, Risk Publications, London.
Hedging deposit accounts: a new perspective, 2005, Banque & Marchés, n°75, 28-34.
A bootstrap approach to the price uncertainty of weather derivatives, 2004, Bulletin Français d'Actuariat, Vol. 6, n°12, 153-171.
Double impact: credit risk assessment and collateral value, 2004, Revue Finance, Vol 25, 157-178.
In the core of correlation, 2004, RISK, Octobre, 87-91.
Model risk in the pricing of weather derivatives, 2004, Banque & Marchés, n°72, 5-16.
Aggregation and credit risk measurement in retail banking, 2004, Banque & Marchés, n°70, 5-15.
I will survive, 2003, RISK, June, 103-107, also published in "Derivatives Trading and Option Pricing", N. Dunbar (ed.), Chapter 8, 129-145, Risk Books, 2005 and in "Theory and Practice of Credit Risk Modelling", A. Lipton (ed.), Chapter 14, 211-226, Risk Publications, 2008.
L'assurance et les dérivés de crédit, 2003, in "La Réassurance, approche technique", J. Blondeau et C. Partrat (eds.), Economica, 556-579.
Les dérivés de crédit, 2000, Revue d'Economie Financière, n° 59, 115-134.
Building a consistent pricing model from observed option prices, 2000, “Collected papers of the New York University Mathematical Finance Seminar”, M. Avellaneda (ed.), Volume II, 216-238, World Scientific, ISBN 981-02-4225-5.
Sensitivity analysis of values at risk, 2000, Journal of Empirical Finance, Award Winning Paper, Vol. 7 (3-4), 225-245.
Approximating payoffs and pricing formulas, 2000, Journal of Economic Dynamics and Control, Vol. 24, n°11/12, 1721-1749.
On the edge of completeness, Octobre 1999, RISK, 61-65, also published in “Credit Risk Modelling: The Cutting-edge Collection, M. Gordy (ed.), Chapter 8, 51-60, Risk Books, 2003, ISBN 1904339085.
Building models for credit spreads, 1999, Journal of Derivatives, Spring, 27-43.
Distributions implicites anormales des taux de change, 1999, Banque & Marchés, n° 41, 5-16.
Dynamic programming and mean-variance hedging, 1999, Finance and Stochastics, Vol. 3, n°1, 83-110
Estimation of a linear Gaussian model, 1998, Revue Finance, Vol 19, n° 2, 41-69.
Risques financiers : juniors vs seniors, 1998, Revue d'Economie Financière, n° 49, 189-211.
Mean-variance hedging and numéraire, 1998, Mathematical Finance, Vol.8, n°3, 179-200.
La couverture des risques financiers, 1997, Banque & Marchés, n° 31, 53-59.
Les nouvelles formes de gestion de l'épargne : le cadre financier, 1997, Revue d'Economie Financière, n° 42, 57-73.
Les nouvelles techniques financières et la gestion des crédits, 1995, Revue d'Economie Financière, n° 32, 149-165.
Acheter ou louer : les déterminants économiques, 1994, Revue d'Economie Financière, numéro hors-série, 193-203.
Les risques des produits garantis, 1993, Revue d'Economie Financière, n° 24, 11-42.
Les options cachées dans la banque, 1991, Bulletin du Centre d’Information sur l’Epargne et le Crédit, n° 136.
Où en est la théorie de la courbe des taux ?, 1991, Problèmes Economiques, n° 2239, et Bulletin du Centre d’Information sur l’Epargne et le Crédit, n° 134, 8-13, 1990.
Epargne-logement : la bombe tranquille, 1989, Bulletin du Centre d’Information sur l’Epargne et le Crédit, n° 121.
The reliability of control experiments, 1988, Journal of Economic Dynamics and Control, Vol. 12, n°1, 173-179.
La Contrainte pétrolière est-elle un obstacle à la croissance française ?, 1988, Economie et Statistique, n° 207, 3-14.



Miscellaneous links : finance, actuarial science, risk management

Academic journals, research papers: [ASTIN Bulletin],[Bulletin Français d'Actuariat],[DefaultRisk],[Deutsche Bank Equities],[European Actuarial Journal],[Finance Contrôle Stratégie],[Financial Econometrics Resarch Center],[Goldman Sachs],[IDEAS],[IME],[Institutional Investors Journals],[JoF related sites ],[Journal of Risk],[mathfinance],[Quantitative Finance],[Ressources Actuarielles],[Revue d'Economie Financiere],[Revue Finance],[RISK],[RiskLab],[SSRN],[Wharton Financial Institutions Center],[Working papers Berkeley],[Working papers FRB].

Professional and Academic associations[Actuarial Foundation],[AFECEI],[AFFI],[AFG-ASFFI],[AFIR/ERM],[Axa Research Fund],[Bachelier Society],[Casualty Actuarial Society],[CDSE],[ERM-II],[ISDA],Fédération Bancaire Française],[FFSA],[EFMA],[FNEGE],[Fondation du Risque],[GARP],[IAFE],[Institut des Actuaires],[Institut Europlace de Finance],[Institut Louis Bachelier],[Institute of Actuaries],[Pension Research Institute],[PRMIA],[Society of Actuaries].

Financial & Insurance compagnies, Risk management software and consulting: [Algorithmics],[Associes en Finance],[eRisks],[Financial Engineering Associates],[Kamakura],[Moodyskmv],[LifeInsurance],[MSCI],[RiskResearch].