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Jean-Paul LAURENT
Université Claude Bernard - Lyon I
Institut de Science Financière et d'Assurances
50, Avenue Tony Garnier, 69007 LYON
France - University of Paris I Panthéon-Sorbonne, Finance, Ph.D. (1997)
- Jean-Paul Laurent is Professor of Mathematics and Finance at ISFA Actuarial School at the University of Lyon, Research Fellow at CREST and Scientific Advisor to Paribas. He has previously been Research Professor at CREST and Head of the quantitative finance team at Compagnie Bancaire in Paris. His interests center on quantitative modeling for financial risks and the pricing of derivatives. He has published in the fields of hedging in incomplete markets, financial econometrics, and the modeling of default risk.
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Publications: that are posted on DefaultRisk.com Credit Modeling Arvanitis, Angelo, Jonathan Gregory, and Jean-Paul Laurent, " Building Models For Credit Spreads", Journal of Derivatives, Vol. 6, No. 3, (Spring 1999), pp. 27-43. Collateralized Debt Obligations An Overview of the Valuation of Collateralized Derivative Contracts
by Jean-Paul Laurent of Université Paris 1 Panthéon-Sorbonne,
Philippe Amzelek of BNP Paribas, and
Joe Bonnaud of BNP Paribas
(213K PDF) -- 18 pages -- October 2012 Pricing CDOs with State Dependent Stochastic Recovery Rates
by Salah Amraoui of BNP Paribas,
Laurent Cousot of BNP Paribas,
Sébastien Hitier of BNP Paribas, and
Jean-Paul Laurent of Université Lyon 1
(436K PDF) -- 38 pages -- September, 9, 2009 A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework
by Xavier Burtschell of BNP-Paribas,
Jon Gregory - Consultant, and
Jean-Paul Laurent of Université de Lyon & BNP-Paribas
(541K PDF) -- 34 pages -- February 20, 2009 Hedging Default Risks of CDOs in Markovian Contagion Models
by Jean-Paul Laurent of the Université Lyon 1 & BNP Paribas
Areski Cousin of the Université Lyon 1, and
Jean-David Fermanian of BNP Paribas
(220K PDF) -- 31 pages -- April 8, 2008 A Note on the Risk Management of CDOs
by Jean-Paul Laurent of the Université Lyon 1 & BNP Paribas
(249K PDF) -- 17 pages -- February 2007 Basket Default Swaps, CDO's and Factor Copulas
by Jean-Paul Laurent of the University of Lyon & BNP Paribas, and
Jon Gregory of BNP Paribas
(293K PDF) -- 21 pages -- September 2003 Credit Correlation Comparison Results for Exchangeable Credit Risk Portfolios
by Areski Cousin of the University of Lyon, and
Jean-Paul Laurent of the University of Lyon & BNP Paribas
(318K PDF) -- 23 pages -- March 5, 2008 Beyond the Gaussian Copula: Stochastic and local correlation
by Xavier Burtschell of BNP Paribas,
Jon Gregory of Barclays Capital, and
Jean-Paul Laurent of ISFA Actuarial School, University of Lyon
(445K PDF) -- 27 pages -- January 2007 In the Core of Correlation
by Jon Gregory of BNP Paribas, and
Jean-Paul Laurent of the University of Lyon & BNP Paribas
(403K PDF) -- 12 pages -- April 2004 Recovery Rates Sovereign Recovery Schemes: Discounting and risk management issues
by Joe Bonnaud of BNP Paribas,
Laurent Carlier of BNP Paribas,
Jean-Paul Laurent of the Université Paris 1 Panthéon-Sorbonne, and
Jean-Luc Vila - Independent Consultant
(163K PDF) -- 18 pages -- January 5, 2012 Double Impact: Credit Risk Assessment and Collateral Value
by Ali Chabaane of ACA Consulting & BNP Paribas,
Jean-Paul Laurent of the University of Lyon & BNP Paribas, and
Julien Salomon of BNP Paribas
(363K PDF) -- 17 pages -- February 2004 Books and Contributed Chapters: | Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity
Tomasz Bielecki, Damiano Brigo, Frederic Patras
Bloomberg Press, (February 8, 2011), Hardcover, 754 pages |  | Paris-Princeton Lectures on Mathematical Finance 2010
by Areski Cousin, Stéphane Crépey, Olivier Guéant, David Hobson, Monique Jeanblanc, Jean-Michel Lasry, Jean-Paul Laurent, Pierre-Louis Lions, Peter Tankov, plus Editors: Rene A. Carmona, Erhan Çinlar, Ivar Ekeland, Elyès Jouini, Jose A. Scheinkman, Nizar Touzi,
Springer, (October 13, 2010), Paperback, 359 pages |
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