Jean-Paul LAURENT
		Professor of Finance
		ISFA Actuarial School
		University of Lyon
		50, Avenue Tony Garnier, 69007 LYON, FRANCE
		laurent.jeanpaul@free.fr or laurent.jeanpaul@univ-lyon1.fr
		Tel : (33) (0)4 37 28 74 30

Links : finance, actuarial science, risk management

Academic journals, research papers: [ASTIN Bulletin],[Bulletin Français d'Actuariat],[DefaultRisk],[Deutsche Bank Equities],[Finance Contrôle Stratégie],[Financial Econometrics Resarch Center],[Financial Economics Network],[forthcoming papers J.Finance],[Gloriamundi],[Goldman Sachs],[IDEAS],[Insurance: Mathematics & Economics],[Institutional Investors Journals],[JoF related sites ],[Journal of Risk],[mathfinance],[Quantitative Finance],[Revue d'Economie Financiere],[Revue Finance],[RISK],[RiskLab],[Springer],[Wharton Financial Institutions Center],[Working papers Berkeley],[Working papers FRB].

Academic Institutions:[AFFI],[Bachelier Society],[Columbia Financial Markets Laboratory],[CREST],[EFMA],[ENSIMAG],[Institut Europlace de Finance],[Institut de Sciences Actuarielles Lausanne],[ISFA],[Mines St-Etienne],[Princeton Operations Research & Financial Engineering].

Financial Institutions, regulatory bodies, professional associations: [Actuarial Foundation],[AFECEI],[AFFI],[AFGAP],[AFG-ASFFI],[BRI],[Banque Centrale Européenne],[Banque de France],[Bourse Allemande],[Casualty Actuarial Society],[Centre des Professions Financières],[CME],[Deutsche Börse],[ERM-II],[FASB],[Fédération Bancaire Française],[FFSA],[Finance Innovation],[Fitch],[FNEGE],[Fondation du Risque],[GARP],[IASB],[Institut des Actuaires],[Institute of Actuaries],[Moody's],[NASDAQ],[NYSE Euronext],[Pension Research Institute],[PRMIA],[Society of Actuaries],[Standard & Poor's],[Swiss Re].

Risk management software and consulting, brokerage firms: [Algorithmics],[Associes en Finance],[Assurland],[BARRA],[eRisks],[Financial Engineering Associates],[Kamakura],[Moodyskmv],[LifeInsurance],[Liffe Weather Futures],[meilleurtaux],[Numa],[Riskmetrics],[RiskResearch],[Speedwell],[SunGard],[Weather Risk Advisories].

Financial information: [Actuarial links(1)],[Actuarial links(2)],[France Tresor],[Euribor],[Boursorama],[MediaBourse],[Bloomberg],[Financial Times],[La Revue Banque],[Les Echos],[CNBC],[Qualistream],[Vernimmen],[Wilmott].

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

Scientific committee AFGAP-PRMIA

Teaching

Downloadable working papers 

• Pricing CDOs with State Dependent Stochastic Recovery Rates, 2009
• Hedging Interest Rate Margins on Demand Deposits, 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.

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.

RESUME