Areski Cousin

Maître de Conférences
ISFA, Université Lyon 1,
50 av. Tony Garnier, 69366 LYON CEDEX 07, FRANCE
areski.cousin@univ-lyon1.fr or areski.cousin@gmail.com
+33 (0)4 37 28 74 39

Research Interests

I am currently assistant professor at ISFA actuarial school.

I was formerly a postdoctoral fellow at the Mathematics department of Evry University, under the supervision of Prof. Monique Jeanblanc. My Ph.D thesis entitled Analyse du Risque et Couverture des Tranches de CDO synthétique (pdf) has been supervised by Prof. Jean-Paul Laurent.This thesis has been awarded by the price Euronext-AFFI-PRMIA 2008.

My research focuses on:

Modelling of portfolio credit risk
Hedging issues for synthetic CDO tranches
Multivariate risk measures

I am also a member of the following research projects:

ANR project AST&Risk : spatio-temporal dependence modeling in finance and insurance
MIRACCLE-GICC project : measures and risk indicators for climate change
Chaire BNP Paribas Cardif : management de la modélisation

Preprints

Numerical studies of a Bottom-up Credit Portfolio Model with Common shocks, 2011, with Tom Bielecki, Stéphane Crépey and Alexander Herbertsson
A Multivariate Extension of Value-at-Risk and Conditional-Tail-Expectation, 2011, with Elena Di Bernardino, submitted
Dynamic Modeling of Portfolio Credit Risk with Common Shocks, 2011, with Tom Bielecki, Stéphane Crépey and Alexander Herbertsson, submitted
An Extension of Davis and Lo's Contagion Model, 2010, with Didier Rullière and Diana Dorobantu, submitted
A Tree-Based Approach to Price Leverage Super-Senior Tranches, 2009, CRIS project and Evry University

Publications

Articles

Delta-Hedging Correlation Risk?, 2011, with Stéphane Crépey and Yu Hang Kan, forthcoming in Review of Derivatives Research
Hedging Default Risks of CDOs in Markovian Contagion Models, 2010, with Jean-Paul Laurent and Jean-David Fermanian, Quantitative Finance.
Comparison Results for Exchangeable Credit Risk Portfolios, 2007, with Jean-Paul Laurent, Insurance: Mathematics and Economics 42(3), 1118-1127

Book chapters

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, forthcoming in a Festschrift in honour of Robert Elliott
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

Conferences, Slides of Presentations and Discussions

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
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 Modeling

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

Numerical Methods in Finance

ISFA 3rd-year actuarial training program, 2009-

Economics of Risk and Uncertainty

ISFA Hanoï 2nd-year, Vietnam, 2007-

Introduction to Financial Markets

ISFA 1st-year actuarial training program, 2010-

ISFA Hanoï 1st-year, Vietnam, 2007-

Education

Post-Doc, Evry University and CRIS project, 2009
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