Areski Cousin

Professor at Université de Strasbourg,
Institut de Recherche en Mathématique Avancée,
7 rue René Descartes, 67084 Strasbourg Cedex
a.cousin (at) unistra (dot) fr

Research Interests

Portfolio credit risk modeling
Hedging issues for credit derivatives
Risk measures in multivariate settings
Model uncertainty in finance

Current projects

Filtering with Multivariate Counting Processes and an Application to Credit Risk, 2016, with Ragnar Norberg
Adaptive Robust Control Under Model Uncertainty, 2017, with Tom Bielecki, Tao Chen, Igor Cialenco and Monique Jeanblanc
A Swap Curve for Insurance Pricing with Exact Fit and Parsimonious Forecasts, 2016, with Thierry Moudiki and Ibrahima Niang
On the Consistency of Sobol Indices with Respect to Stochastic Ordering of Model Parameters, 2015, with Alexandre Janon, Véronique Maume-Deschamps and Ibrahima Niang, submitted

Contributions to refereed journals

Asset Allocation Strategies in the Presence of Liability Constraints, 2016, with Ying Jiao, Christian Robert and Olivier David Zerbib, Insurance: Mathematics and Economics 70, 327-338
Kriging of Financial Term Structures, 2016, with Hassan Maatouk and Didier Rullière, European Journal of Operational Research 255, 631-648
A Comparative Study on the Estimation of Factor Migration Models, 2015, with Mohamed Reda Kheliouen, to appear in Bulletin Français d'Actuariat
Commentaire sur l’article “La Mesure du Risque Systémique après la Crise Financière”, Revue Economique, Volume 66, Numéro 3, Mai 2015
A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries, 2014, with Tom Bielecki, Stéphane Crépey and Alexander Herbertsson, Communication in Statistics - Theory and Methods 43(7), 1362-1389
Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model, 2014, with Tom Bielecki, Stéphane Crépey and Alexander Herbertsson, Journal of Optimization Theory and Applications 161, 90-102
On Multivariate Extensions of Conditional-Tail-Expectation, 2014, with Elena Di Bernardino, Insurance: Mathematics and Economics, 55, 272-282
On Multivariate Extensions of Value-at-Risk, 2013, with Elena Di Bernardino, Journal of Multivariate Analysis 119, 32-46
An Extension of Davis and Lo's Contagion Model, 2013, with Didier Rullière and Diana Dorobantu, Quantitative Finance 13(3), 407-420
Delta-Hedging Correlation Risk?, 2012, with Stéphane Crépey and Yu Hang Kan, Review of Derivatives Research 15(1), 25-56
Hedging Default Risks of CDOs in Markovian Contagion Models, 2011, with Jean-Paul Laurent and Jean-David Fermanian, Quantitative Finance 11(12), 1773-1791
Comparison Results for Exchangeable Credit Risk Portfolios, 2008, with Jean-Paul Laurent, Insurance: Mathematics and Economics 42(3), 1118-1127

Contributions to books

A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective, with Tom Bielecki, Stéphane Crépey and Alexander Herbertsson, in the book - Recent Advances in Financial Engineering 2012, 25-50, World Scientific, 2014
A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part II: Common-Shock Interpretation, Calibration and Hedging Issues, with Tom Bielecki, Stéphane Crépey and Alexander Herbertsson, in the book - Recent Advances in Financial Engineering 2012, 51-74, World Scientific, 2014
Valuation of Portfolio Loss Derivatives in An Infectious Model, 2011, with Diana Dorobantu and Didier Rullière, in the book - Mathematical and Statistical Methods for Actuarial Sciences and Finance - edited by C. Perna and M. Sibillo, Springer.
Dynamic Hedging of Synthetic CDO Tranches: Bridging the Gap Between Theory and Practice, 2011, with Jean-Paul Laurent, in the book - Credit Risk Frontiers - edited by T. Bielecki, D. Brigo and F. Patras, Wiley
Hedging Portfolio Loss Derivatives with CDSs, 2011, with Monique Jeanblanc, in the book - Stochastic Processes, Finance and Control, A Festschrift in honour of Robert J. Elliott - World Scientific
Hedging CDO Tranches in a Markovian Environment, 2010, with Monique Jeanblanc and Jean-Paul Laurent, in the book - Paris-Princeton Lectures on Mathematical Finance 2010 - Springer
Hedging Default Risks of CDOs in Markovian contagion models, 2009, with Jean-Paul Laurent and Jean-David Fermanian in the book - Financial Risks: New Developments in Structured Product & Credit Derivatives - edited by C. Gourieroux and M. Jeanblanc, Economica
Hedging Issues for CDOs, 2008, with Jean-Paul Laurent, in the book - The Definitive Guide to CDOs - edited by G. Meissner, Chapter 17, 461-480, Risk Books
An Overview of Factor Modeling for Pricing CDO Tranches, 2008, with Jean-Paul Laurent, in the book - Frontiers In Quantitative Finance: Credit Risk and Volatility Modeling - edited by R. Cont, Chapter 7, 185-216, Wiley

Other contributions

In Search of a Grand Unifying Theory, with Tom Bielecki, Stéphane Crépey and Alexander Herbertsson, Creditflux Newsletter Analysis, July 2013, 20-21. Web full version: The Bottom-Up Top-Down Puzzle Solved, Creditflux.com

Preprints

On the Range of Admissible Term-Structures, 2014, with Ibrahima Niang, working paper
Hitting Time for Correlated Three-Dimensional Brownian Motion, 2013, with Christophette Blanchet-Scalliet and Diana Dorobantu, working paper
A Note on the Computation of Waring Formula, 2010, with Didier Rullière and Diana Dorobantu, working paper
A Tree-Based Approach to Price Leverage Super-Senior Tranches, 2009, CRIS project and Evry University
Valorisation et Comptabilisation des Stock-Options à travers la norme IFRS 2, 2005, Master Report

HDR and PhD thesis report (in french)

Quelques Contributions à la Gestion des Risques Financiers, HDR, defended in December 2015
Analyse du Risque et Couverture des Tranches de CDO synthétique, PhD thesis, defended in October 2008.

Awards

Euronext-AFFI-PRMIA 2008 price of the best PhD thesis in quantitative finance

Conferences, Slides of Presentations and Discussions

Model Uncertainty in Finance, Séminaire équipe TOSCA, INRIA Sophia Antipolis Méditerranée, November 24, 2016
Adaptive Robust Hedging Under Model Uncertainty, Model Uncertainty and Robust Finance, Milan, November 10-11, 2016
Kriging of Financial Term-Structures, International Conference on Monte Carlo Techniques, Paris, July 5-8, 2016
Kriging of Financial Term-Structures, Séminaire de probabilité et statistiques du Laboratoire J.A. Dieudonné , Université de Nice Sophia-Antipolis, May 24, 2016
Kriging of Financial Term-Structures, Séminaire de statistiques et économétrie du LEM, Université de Lille 1, May 12, 2016
On Multivariate Extensions of Value-at-Risk and Conditional-Tail-Expectation, Summer School on Risk Measures and Optimization in Finance and Insurance, Beijing, China, June 15-19, 2015
On Multivariate Extensions of Value-at-Risk and Conditional-Tail-Expectation, International Workshop on Applied Probability, Antalya, Turkey, June 16-19, 2014
Model Risk Embedded in Yield Curve Construction Methods, 8th World Congress of the Bachelier Finance Society, Brussels, June 2-6, 2014
Model Risk Embedded in Yield Curve Construction Methods, Mathematical and Statistical Methods for Actuarial Sciences and Finance, Salerno, Italy, April 22-24, 2014
Discussion (french) of the paper Measuring Systemic Risk in a Post-Crisis World, Atelier Risque Sytémique et Politiques Macro/Microprudentielles, Metz, April 10, 2014
On the Range of Admissible Term-Structures, Séminaire Lyon-Lausanne, Lyon, March 21st, 2014
Model Risk Embedded in Yield Curve Construction Methods, 14ème Séminaire Parisien de Validation des Modèles Financiers, Paris, January 30, 2014
On Multivariate Extensions of Value-at-Risk and Conditional-Tail Expectation, Journée de la Chaire Management de la Modélisation, PRISM Sorbonne, Paris, September 12, 2013
Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model, Séminaire Mathématiques de la Décision, GREMAQ, Toulouse, June 21, 2013
On Multivariate Extensions of Value-at-Risk, AFFI Spring International Meeting, EM Lyon, May 28, 2013
On Multivariate Extensions of Value-at-Risk, Workshop "Des risques factories aux mesures de risque systémiques", Laboratoire d'Economie d'Orléans, April 8, 2013
Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model, International Workshop on Finance 2012, University of Tokyo, Tokyo, Japan, 30-31 October 2012
Some Proposals about Multivariate Risk Measures, Bachelier Finance Society 7th World Congress 2012, Sydney, Australia, 19-22 June 2012
A Multivariate Extension of VaR and CTE risk measures, Mathematical and Statistical Methods for Actuarial Sciences and Finance, Venice, Italy, 10 April 2012
An Extension of Davis and Lo's Contagion Model, 5th Financial Risks International Forum, Paris, 22 March 2012
Valuation of Portfolio Loss Derivatives in an Infectious Model, ESDES Ecole de Management, Lyon, 19 October 2011
Dynamic Modeling of Portfolio Credit Risk with Common Shocks, Sino-French Summer Institute 2011, Beijing, China, 29 June 2011
Dynamic Modeling of Portfolio Credit Risk with Common Shocks, AFFI 2011 Spring International Meeting, Montpellier, 12 May 2011
Pricing and Hedging Loss Derivatives in a Markovian Bottom-Up Model with Simultaneous Defaults, Séminaire Bachelier, Paris, 29 April 2011
Delta-Hedging Correlation Risk?, International Finance Conference 6, Hammamet, Tunisia, 10-12 March 2011
Dynamic Hedging of Synthetic CDO tranches, Young Researchers Workshop on Finance 2011, Tokyo Metropolitan University Finance Group, Tokyo, Japan, 1-4 March 2011
Delta-Hedging Correlation Risk?, Séminaire Lyon-Lausanne, HEC Lausanne, Switzerland, 19 January 2011
Pricing and Hedging Loss Derivatives in a Markovian Bottom-Up Model with Simultaneous Defaults, Journées Ast&Risk, Dijon, France, 17-18 January 2011
An Extension of Davis and Lo's Contagion Model, Delta-Hedging Correlation Risk?, Greta Credit Risk 2010 Conference, Venice, Italy, 30 Sept - 1st Oct 2010
Pricing and Hedging Loss Derivatives in a Markovian Bottom-Up Model, IMS 73rd Annual Meeting, Gothenburg, Sweden, 9-13 August 2010
Delta-Hedging Correlation Risk?, AFFI 2010 Spring Conference, Saint-Malo, France, 10-12 May 2010
An Extension of Davis and Lo's Contagion Model, Mathematical and Statistical Methods for Actuarial Sciences and Finance, Ravello, Italy, 7-9 April 2010
Discussion on Crépey, Jeanblanc and Zargari (2009) and Assefa, Bielecki, Crépey and Jeanblanc (2009) in the Counterparty Risk Session, Third Financial Risks International Forum, Paris, 25-26 March 2010
Dynamic Hedging of Synthetic CDO Tranches, Séminaire Lyon-Lausanne, HEC Lausanne, Switzerland, 19 March 2010
Dynamic Hedging of CDO Tranches in Markovian Set-Ups, Recent Advancements in the Theory and Practice of Credit Derivatives, Nice, France, 28-30 September 2009
Comparison Results for Exchangeable Credit Risk Portfolios, Worshop on Copula Theory and its Application, Warsaw, Poland, 25-26 September 2009
Risk Management of Bespoke CDO Tranches in Markovian Contagion Models, Ast&Risk Project Meeting, Ensimag, Grenoble, 31 August - 1st September 2009
Hedging Bespoke CDO Tranches in Markovian set-ups, CRIS Project Research Meeting, OTC Conseil, Paris, 5 June 2009
AFFI 2009 Spring Conference, Brest, France, 13-15 May 2009
Comparison Results for Exchangeable Credit Risk Portfolios, Second International Financial Research Forum, Paris, 19-20 March 2009
Comparison analysis of two alternative hedging methods for CDO tranches, Evry University Credit Risk working group, Evry, 12 March 2009
Hedging Default Risks of CDOs in Markovian Contagion Models, Finance Seminar of IGR/IAE, University of Rennes, 25 November 2008
Analyse du Risque et Couverture des Tranches de CDO Synthétique, Soutenance de Thèse, ISFA, Lyon, 17 October 2008
Analyse du Risque et Couverture des Tranches de CDO Synthétique, Evry University Credit Risk working group, Evry, 9 October 2008
Modèles à Facteur pour la Gestion du Risque de Crédit, Ast&Risk project working group, ISFA, Lyon, 26 September and 10 October 2008
Hedging Default Risks of CDOs in Markovian Contagion Models, AFFI 2008 Spring Meeting, Lille School of Management, 20-22 May 2008. Discussion on Alves and Simon (2008)
Couverture du Risque de Défaut des CDOs, Evry University credit risk working group, Evry, 31 January 2008
Comparison Results for Credit Risk Portfolios, Evry University credit risk working group, Evry, 17 January 2008
Comparison Results for Credit Risk Portfolios, AFFI International Meeting, Paris, 20-21 December 2007. Discussion on Moraux and Navatte (2007)
Hedging Default Risks of CDOs in Markovian Contagion Models, Séminaire Lyon-Lausanne, HEC Lausanne, 26 November 2007
Hedging Default Risks of CDOs in Markovian Contagion Models, Séminaire Bachelier - Half-day PhD presentation, Paris, 22 June 2007
Risques des Collateralized Debt Obligations, Journées Inter-universitaires de Recherche en Finance, Dijon University, 31 May 2007
Comparison Results for Homogenous Credit Portfolios, Séminaire "Monnaie - Banque - Finance - Assurance", ENS Cachan, 20 December 2006
Comparison Results for Homogenous Credit Portfolios, Séminaire Lyon-Lausanne, ISFA, Lyon, 11 December 2006

Coauthors

Teaching

Credit Risk Portfolio Modeling

Doctoral training program of "Ecole Doctorale SEG", 2008-

Credit Risk Modeling (Master's degree)

ISFA 3rd year actuarial training program, 2009-
ISFA research master, 2008-
ENSIMAG 3rd year program in financial engineering, 2008-
ENSIIE 3rd year program in financial engineering, 2010-2011

Interest Rate Modeling (Master's degree)

ISFA 3rd year actuarial training program, 2012-

ISFA Master 2 Pro "Ingénierie des Risques" spécialité Finance 2011-

Numerical Methods in Finance (Master's degree)

ISFA 3rd-year actuarial training program, 2009-2011

Option Theory (Master's degree)

ISFA Hanoï 2nd-year, Vietnam, 2012-

Economics of Risk and Uncertainty (Master's degree)

ISFA Hanoï 2nd-year, Vietnam, 2007-

Advanced Probability for Actuaries (Bachelor's degree)

ISFA Hanoï 1st year, Vietnam, 2010-

Introduction to Financial Markets (Bachelor's degree)

ISFA 1st-year actuarial training program, 2010-

ISFA Hanoï 1st-year, Vietnam, 2007-

Education

Habilitation à diriger des recherches, Université Jean Moulin Lyon 3, 2015
Post-Doc, Evry University and CRIS project, 2009
Ph.D. in Finance, University of Lyon, 2008
Actuarial Studies Degree, ISFA Actuarial School, 2008 (member of the French Actuarial Institute)
Research Master's Degree in Financial and Actuarial Sciences, ISFA, University of Lyon, 2005
ENSIMAG Degree in Science and Executive Engineering, major in Financial Engineering, Grenoble, 2005

Areski Cousin

Research Interests

Current projects

Contributions to refereed journals

Contributions to books

Other contributions

Preprints

HDR and PhD thesis report (in french)

Awards

Conferences, Slides of Presentations and Discussions

Coauthors

Teaching

Education

Links