Jean-Paul Laurent, Professor of Finance, University Paris 1 Panthéon-Sorbonne

		Jean-Paul LAURENT
		Professor of Finance
		École de Management de la Sorbonne
		Université Paris 1 Panthéon-Sorbonne
		17, rue de la Sorbonne, 75005 Paris, FRANCE
		laurent.jeanpaul@free.fr jean-paul.laurent@univ-paris1.fr

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],[Financial Economics Network],[forthcoming papers J.Finance],[Gloriamundi],[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],[Wharton Financial Institutions Center],[Working papers Berkeley],[Working papers FRB].

Professional and Academic associations: [Actuarial Foundation],[AFECEI],[AFFI],[AFGAP],[AFG-ASFFI],[AFIR/ERM],[Axa Research Fund],[Bachelier Society],[Cap RM],[Casualty Actuarial Society],[CDSE],[Centre des Professions Financières],[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].

Personal web pages: [Finance Directory],[AFADirectory],[H.Albrecher],[E.Altman],[G.Bakshi],[B.Bouchard],[JP.Bouchaud],[H.Buhlmann],[A.Cairns],[P.Carr],[A.Charpentier],[R.Cont],[A.Cousin],[J.Danielsson],[S.R.Das],[M.Davis],[F.Delbaen],[M.Denuit],[D.Duffie],[D.Dupré],[E.Eberlein],[P.Embrechts],[A.Eyraud-Loisel],[J-D. Fermanian],[H.Föllmer],[R.Frey],[R.Gillet],[C.Gouriéroux],[J.Hull], [R.Jarrow],[M.Jeanblanc],[P.Jorion],[M.Kijima],[D.Lando],[B.Lapeyre],[S.Loisel],[V.Maume-Deschamps],[A.McNeil],[D.Madan],[H.Pham],[P.Poncet],[R.Portait],[S.Satchell],[O.Scaillet],[P.Schönbucher],[N.Shephard],[S.Shreve],[A.Sulem],[R.Sundaram],[D. Talay], [D.Tasche],[P. Thérond],[N.Touzi],[S.Uryasev],[L.Wu].

Teaching

BNP Paribas Cardif Research Chair on "Management de la Modélisation"

Scientific committee AFGAP-PRMIA

Downloadable working papers

Pricing CDOs with state dependent stochastic recovery rates, 2012 (updated version)
Hedging interest rate margins on demand deposits, 2012 (updated version)
Sovereign recovery schemes: Discounting and risk management issues, 2012
Pricing CDOs with state dependent stochastic recovery rates, 2009
A comparative analysis of CDO pricing models, 2009 (updated version)
Mortality Fluctuations Modelling with a Shared Frailty Approach, 2008
Hedging default risks of CDOs in Markovian contagion models, 2008 (updated version, April)
Credit risk models, 2008 (updated version)
Comparison results for exchangeable credit risk portfolios, 2008 (updated version)
Spectral risk measures and portfolio selection, 2007
A note on the risk management of CDOs, 2007 (updated version)
Beyond the Gaussian copula: stochastic and local correlation, 2007 (updated version)
Alternative Risk Measures for Alternative Investments, 2005
In the Core of Correlation, 2004
Double Impact: Credit Risk Assessment and Collateral Value, 2004
Sensitivity Analysis of risk measures for discrete distributions, 2003
Basket default swaps, CDO's and factor copulas, 2003
A Bootstrap Approach to the Price Uncertainty of Weather Derivatives, 2003
Variance Optimal Cap Pricing Models, 1999
Multimodal Implied Risk-Neutral Densities, 1999
Introduction à la thèse : modèles de prix de produits financiers, 1997
Estimation of a Dynamic Hedge, 1996
Calibration and Implementation of the Generalized Vasicek Model, 1995

Conference slides

Modélisation Comportementale en ALM Bancaire : Application aux Dépôts à Vue, Conférence Scientifique PRMIA Paris et AFGAP, Finance Comportementale et Risques, 29 April 2009, Paris.
Hedging Interest Rate Margins on Demand Deposits, Second International Financial Research Forum, 19 March 2009, Paris.
Comparison Results for Exchangeable Credit Risk Portfolios, Second International Financial Research Forum, 19 March 2009, Paris.
Hedging Demand Deposits Interest Rate Margins, Séminaire Bachelier, 30 January 2009, Paris.
Risk Management Aspects of CDOs, Incisive Media, 30 September 2008, London.
Hedging Default Risks of CDOs in Markovian Contagion Models, 5th World Congress, Bachelier Finance Society, 19 July 2008, London.
Contagion effects and the risk management of CDOs, International Summer School on Risk Measurement and Control, 2 July 2008, Rome.
Comparison results for credit risk portfolios, International Credit Risk Workshop, 27 June 2008, Evry University.
Hedging Default Risks of CDOs in Markovian Contagion Models, Second Princeton Credit Risk Conference, 24 May 2008, Princeton.
Hedging Default Risks of CDOs in Markovian Contagion Models, International Financial Research Forum, New Developments in Structured Products and Credit Derivatives, Paris, 27 March 2008.
New Results for the Pricing and Hedging of CDOs, WBS 4th Fixed Income Conference, London, 20 September 2007.
Hedging Issues for CDOs, Credit Risk Summit, London, 8 June 2007.
Hedging defaults and credit spread risks within CDOs, Global Derivatives Trading & Risk Management, Paris, 23 May 2007.
A Note on the Risk Management of CDOs, Bachelier Seminar, Paris, 7 February 2007.
Hedging credit spread risk & default risk in CDO tranches, IAFE Meeting, London, 1st November 2006.
Advanced Pricing of CDOs, Global Derivatives, Paris, 10 May 2006.
Comparative Analysis of CDO Pricing Models, ICBI Risk Management, Geneva, 8 December 2005.
Copula and Other Models of Measuring Correlation and Dependence, Incisive Media, London, 1st December 2005.
Beyond the Gaussian copula: stochastic and local correlation for CDOs, Petit Déjeuner de la Finance, Paris, 12 October 2005.
Modelling Portfolios of Correlated Credit Sensitive Exposures, Credit Risk Summit, London, 4 October 2005.
Credit Correlation Modelling, Global Derivatives, Paris, 24 May 2005.
A Comparative Analysis of CDO Pricing Models, Isaac Newton Institute, Credit Workshop, Cambridge, 26 February 2005.
Nouveaux Produits Financiers, Collège de France, 8 February 2005.
In the Core of Correlation: Correlation Sensitivity Analysis for CDOs in Gaussian Copula Models, ICBI Risk Management, Geneva, 9 December 2004.
Fast Analytical Techniques for Pricing Synthetic CDOs, Credit Risk Summit Europe, London, 13 October 2004.
Comparing Copula Models for the Pricing of Basket Credit Derivatives and CDOs, WBS Fixed Income Conference, Prague, 17 September 2004.
Managing Counterparty Risk in an Extended Basel II Approach, RISK Capital 2004, Nice, 23 June 2004.
Latest Techniques in Hedging Credit Derivatives, Risk Europe 2004, London, 28 avril 2004.
Alternative Risk Measures for Alternative Investments, Hedge Funds Conference, Evry University, 1st April 2004.
Choice of Copula and Pricing of Credit Derivatives, Bachelier Seminar, Paris, 6 February 2004.
Double Impact: Credit Risk Assessment and Collateral Value, Universities of Lyon and Lausanne Actuarial Seminar, 30 January 2004.
Alternative Risk Measures for Alternative Investments, AFFI Meeting, Paris, 18-19 décembre 2003 & European Investment Review Conference, Geneva, 25-26 September 2003.
Implementing a New Framework for Enhanced Pricing & Risk Management of a Credit Derivatives Correlation Book, ICBI Risk Management Conference, Geneva, 3-4 December 2003.
Double impact, credit risk assessement for secured loans, Credit conference, Venice, 22-23 September 2003.
Aggregation and credit risk measurement in retail banking, European Investment Review conference, Geneva, 25-26 September 2003.
Accurately valuing basket default swaps and CDO's using factor models, Quant' 03, London, 15-16 September 2003.
Basket default swaps, CDO's and factor copulas, French Finance Association Conference, Lyon, 23-25 June 2003.
Factor approaches for effective pricing and risk management of basket credit derivatives and CDO's, RISK Training Course, London, 16-17 June 2003.
Basket default swaps, CDO's and factor copulas, Bachelier Seminar on Default Risk, Evry University, 7 February 2003.
Credit risk and credit derivatives: a risk assessment and pricing framework, Entretiens de Banque et Marchés, 6 February 2003.
New approaches to the pricing of basket credit derivatives and CDO's, Quantitative Finance, London, 25-26 November 2002 and Universities of Lyon and Lausanne Actuarial Seminar, 29 November 2002.
Quelles nouvelles stratégies pour la titrisation face aux changements réglementaires ?, Conference Brunch of the French Asset & Liability Management Association, 11 June 2002.
De Arrow à Enron : cinquante ans de produits dérivés, BNP Paribas, Group ALM annual seminar, 29 May 2002.
De la mesure à l'analyse des risques, séminaire scientifique, French Institute of Actuaries, 4 Avril 2002.
De la mesure à l'analyse des risques, ISFA Actuarial School - B&W Deloitte Seminar, 18 December 2001.
De Arrow à Enron : cinquante ans de produits dérivés, entretiens de la finance, AFFI, 6 December 2001.
Les dérivés de crédit, situation et évolution du marché, lunch conference and debate, French Institute of Actuaries, 11 June 2001.
Sensitivity Analysis of Values at Risk, workshop financial economics, University of Toulouse, 30 May 2001.
Applying hedging techniques to credit derivatives, RISK Training Course, New-York, 23 & 24 April 2001.
Applying hedging techniques to credit derivatives, RISK Training Course, London, 26 & 27 April 2001.
Hedging and risk management of basket and dynamic default swaps, RISK 2001 Europe, Paris, 11 April 2001.
Applying dynamic hedging techniques to credit derivatives, Credit Risk Summit, New-York, 27-28 September, London, 12-13 October 2000.
On the edge of complenetess, RISK 2000, Paris, 11-12 April 2000.
On the edge of complenetess, ICBI Global Derivatives 2000, 5-6 Avril 2000.
On the edge of completeness, Credit Risk Seminar, Ecole Polytechnique, May 2000 and Paris La défense, February 2000.
Modelling Credit Spread Behaviour, ICBI Credit, Counterparty & Default Risk Forum 99, Paris, 29 September 1999.

Published articles and book chapters

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.

Education

Ingénieur civil de l'École des Mines de Paris (1983).
Institut d'Études Politiques de Paris (1986).
Mastère de Finance Internationale d’HEC (1988).
Actuaire, Centre d'Études Actuarielles (1992).
Doctorat en Sciences de Gestion et Habilitation à diriger des recherches en gestion (1997), Université de Paris I Panthéon-Sorbonne.

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