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Didier Cossin


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Didier Cossin

Didier Cossin

Ch-1001 Lausanne

  • Harvard University, Ph.D. (Business Economics) (1993)
  • He is the author or coauthor of two books, several book chapters in other authors' books, and of many refereed publications (and other non-refereed ones), some of which have obtained citations of excellence or other awards.
  • Didier Cossin is a Professor at IMD, Switzerland. He specializes in finance, with an emphasis on financial evaluation and financial structuring with options and real options and the applications of advanced techniques to corporate finance concerns such as assessing investments, structuring M&As for value creation, project financing, high tech valuation, structuring joint ventures, assessing, pricing and managing risks, notably risk of default (credit risk)


Contact:   Email address secured by Enkoder.
Phone +41/21/618 02 08
Fax +41/21/618 07 07


External links for Didier Cossin and his worksOfficial Page "Personal" Page
SSRN MS.Academic WorldCat LinkedIn DBLP Amazon RePEc BIS arXiv NBER Wikipedia Google Scholar

Publications: that are posted on

Credit Pricing

Cossin, Didier and Hugues Pirotte, " How Well do Classical Credit Risk Pricing Models Fit Swap Transaction Data?", European Financial Management, Vol. 4, No. 1, (March 1998), pp. 65-77.

Credit Modeling

Credit Risk in a Network Economy
by Didier Cossin of IMD, Lausanne, and
Henry Schellhorn of Claremont Graduate University
(343K PDF) -- 24 pages -- October 4, 2006

A Framework for Collateral Risk Control Determination
by Diddier Cossin of HEC, University of Lousanne,
Zhijiang Huang of Fame and HEC, University of Lousanne,
Daniel Aunon-Nerin of Fame and HEC, University of Lousanne, and
Fernando González of the European Central Bank
(1,894K PDF) -- 48 pages -- January 2003

Credit Derivatives

Are European Corporate Bond and Default Swap Markets Segmented?
by Didier Cossin of IMD, Lausanne, and
Hongze Lu of IMD & HEC, University of Lausanne,
(291K PDF) -- 39 pages --  November 28, 2005

Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is fixed-income markets information sufficient to evaluate credit risk
by Daniel Aunon-Nerin of the University of Lausanne & Fame,
Didier Cossin of HEC, University of Lausanne, IMD & Fame,
Tomas Hricko of HEC, University of Lausanne & Fame, and
Zhijiang Huang of the University of Lausanne & Fame
(2,407K PDF) -- 74 pages -- December 2002

Sovereign Risk

Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets
by Didier Cossin of IMD International and FAME, and
Gero Jung of Fame, and the Graduate Institute of International Studies
(2,778K PDF) -- 35 pages -- March 2005

Other Credit

Cossin, Didier and Tomas Hricko, " A Structural Analysis of Credit Risk with Risky Collateral: A methodology for haircut determination", Economic Notes, Vol. 32, No. 2, (July 2003), pp. 243-282.

Aparicio, Felipe M. and Didier Cossin, " Control of Credit Risk Collateralization Using Quasi-Variational Inequalities", Journal of Computational Finance, Vol. 4, No. 3, (Spring 2001), pp. 5-38.


Advanced Credit Risk Analysis, 2nd Ed

Advanced Credit Risk Analysis by Didier Cossin and Hugues Pirotte
by Didier Cossin and Hugues Pirotte,
Wiley, (June 9, 2000), Hardcover, 400 pages



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