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areski cousin professor at universit de strasbourg , institut de recherche en mathmatique avance , 7 rue ren 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, vronique 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 rullire, 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 franais d'actuariat commentaire sur l’article “la mesure du risque systmique aprs la crise financire” , revue economique , volume 66, numro 3, mai 2015 a bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries , 2014, with tom bielecki, stphane crpey 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, stphane crpey 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 rullire and diana dorobantu, quantitative finance 13(3), 407-420 delta-hedging correlation risk? , 2012, with stphane crpey 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, stphane crpey 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, stphane crpey 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 rullire, 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, stphane crpey 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 rullire 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 travers la norme ifrs 2 , 2005, master report hdr and phd thesis report (in french) quelques contributions la gestion des risques financiers , hdr, defended in december 2015 analyse du risque et couverture des tranches de cdo synthtique , 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 , sminaire quipe tosca , inria sophia antipolis mditerrane, 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 , sminaire de probabilit et statistiques du laboratoire j.a. dieudonn , universit de nice sophia-antipolis, may 24, 2016 kriging of financial term-structures , sminaire de statistiques et conomtrie du lem , universit 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 sytmique et politiques macro/microprudentielles , metz, april 10, 2014 on the range of admissible term-structures , sminaire lyon-lausanne , lyon, march 21st, 2014 model risk embedded in yield curve construction methods , 14me sminaire parisien de validation des modles financiers , paris, january 30, 2014 on multivariate extensions of value-at-risk and conditional-tail expectation , journe de la chaire management de la modlisation , prism sorbonne , paris, september 12, 2013 dynamic hedging of portfolio credit risk in a markov copula model , sminaire mathmatiques de la dcision , gremaq , toulouse, june 21, 2013 on multivariate extensions of value-at-risk , affi spring international meeting , em
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