Areski Cousin

Postdoctoral fellowship at Evry University,
Mathematics Department,
rue Jarlan, 91025 Evry Cedex, FRANCE
areski.cousin@univ-evry.fr or areski.cousin@gmail.com
(33) 01 69 47 02 26

My Research Interests

I currently hold a postdoctoral position at the Mathematics department of Evry University, under the supervision of Professor Monique Jeanblanc. I am a member of the CRIS project approved by the Pôle de Compétitivité Finance Innovation. The project is a partnership between five companies (Zeliade Systems, OTC conseil, JPLC conseil, Dexia CL, Microsoft) and Evry University. It aims at developing an independent platform for transparent valuation and risk management of credit derivatives. I am also a member of the research projet AST&Risk on spatio-temporal dependence modeling in finance and insurance.

My Ph.D thesis entitled Analyse du Risque et Couverture des Tranches de CDO synthétique (pdf) has been supervised by Professor Jean-Paul Laurent from ISFA actuarial school, University of Lyon. I defended my thesis in October 2008 in front of an academic committee composed of:

François Quittard-Pinon, Professor at University of Lyon (chairman)
Monique Jeanblanc, Professor at Evry University (external thesis rapporteur)
Franck Moraux, Professor at University of Rennes (external thesis rapporteur)
Claude Lefèvre, Professor at the Free University of Brussels
Emmanuel Gobet, Professor at ENSIMAG, InP Grenoble

My research focuses on:

Dependence modelling of credit risk portfolios
Risk management of CDOs within factor models
Hedging issues for CDO tranches

Articles

Hedging of CDO tranches, 2009, with Monique Jeanblanc and Jean-Paul Laurent, book chapter
Empirical analysis of hedging methods for standardized CDO tranches, 2009, with Stéphane Crépey, Jean-David Fermanian, Alexander Herbertsson and Jean-Paul Laurent, working paper
Hedging issues for CDOs, 2008, with Jean-Paul Laurent, published in the book - The Definitive Guide to CDOs - edited by Gunter Meissner
An overview of factor models for pricing CDO tranches, 2008, with Jean-Paul Laurent, published in the book - Frontiers In Quantitative Finance - edited by Rama Cont
Hedging default risks of CDOs in Markovian contagion models, 2007, with Jean-Paul Laurent and Jean-David Fermanian, submitted to Quantitative Finance. An abridged version of this paper is published in the book Financial Risks: New Developments in Structured Product & Credit Derivatives, edited by Christian Gourieroux and Monique Jeanblanc
Comparison results for exchangeable credit risk portfolios, 2007, with Jean-Paul Laurent, Insurance: Mathematics and Economics
Valorisation et Comptabilisation des Stock-Options à travers la norme IFRS 2, 2006, Master Report (in french)

Conferences

Second International Financial Research Forum, Paris, 19 Mars 2009.
Evry University Credit Risk working group, Evry, 12 Mars 2009.
Finance Seminar of IGR/IAE, University of Rennes, 25 Novembre 2008.
Evry University Credit Risk working group, Evry, 9 Octobre 2008.
Ast&Risk project working group, I.S.F.A, Lyon, 26 September and 10 October 2008.
AFFI 2008 Annual Meeting, Lille School of Management, 21-22 May 2008. Slides, Discussion
Evry University Credit Risk working group, Evry, 31 January 2008. Slides
Evry University Credit Risk working group, Evry, 17 January 2008. Slides
AFFI International Meeting, Paris, 20 December 2007. Slides, Discussion
Séminaire Lyon-Lausanne, HEC Lausanne, 26 November 2007. Slides
Séminaire Bachelier - Half-day PhD presentation, Paris, 22 Juin 2007. Slides
Journées Inter-universitaires de Recherche en Finance, Burgundy University, Dijon, 31 May 2007. Slides
Séminaire "Monnaie - Banque - Finance - Assurance", ENS Cachan, 20 December 2006. Slides
Séminaire Lyon-Lausanne, I.S.F.A, Lyon, 11 December 2006. Slides

Teaching

Stochastic order theory applied to risk analysis of credit portfolios, doctoral formation, ISFA, April 2009
Economics of risk, Master, National Economics University, Hanoï, Vietnam, February 2009
Portfolio credit risk modeling, ENSIMAG 3rd year program in Mathematical Finance, October-December 2008
Money, Banking and Financial Market, Licence, National Economics University, Hanoï, Vietnam, April 2008
A small Introduction to credit risk, second-year actuarial training program, ISFA, March 2008
CDO Cash-flows and valuation in factor models, Research Master, ISFA, February 2008
Economics of Risk, Master, ISFA, Ho Chi Minh City, Vietnam, April 2007

Education

Ph.D. in Finance, University of Lyon, 2008
Actuarial Studies Degree, ISFA actuarial school, 2008
Professional Master's Degree in Financial and Actuarial Sciences, ISFA, University of Lyon, 2006
Research Master's Degree in Financial and Actuarial Sciences, ISFA, University of Lyon, 2005
Master Degree in Science and Executive Engineering, major in Financial and Actuarial Sciences, ENSIMAG, Grenoble, 2005

CV: English, French