Concepedia

Areski Cousin

AC

11

Publications

366

Citations

11

H-Index

2008

Active since

Affiliations

Université Claude Bernard Lyon 1(Current)

Université d'Évry Val-d'Essonne

Illinois Institute of Technology

University of Gothenburg

Conservatoire National des Arts et Métiers

Areski Cousin is an author at Université Claude Bernard Lyon 1 specializing in financial engineering, business, and finance.

Top concepts

FinanceBusinessFinancial EngineeringManagementEngineeringStatisticsRisk ManagementPortfolio ManagementMultivariate AnalysisCopulas

Publications per year

2008–2021

11

Publications

11

Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model

Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey et al. · Journal of Optimization Theory and Applications · 2013 · 62 citations

Portfolio Optimization, Asset Pricing, Portfolio Allocation +10

On multivariate extensions of Value-at-Risk

Areski Cousin, Éléna Di Bernardino · Journal of Multivariate Analysis · 2013 · 60 citations · Full text

Multivariate Extensions, Engineering, Risk Management +6

Hedging default risks of CDOs in Markovian contagion models

Jean‐Paul Laurent, Areski Cousin, Jean‐David Fermanian · Quantitative Finance · 2010 · 56 citations

Kriging of financial term-structures

Areski Cousin, Hassan Maatouk, Didier Rullière · European Journal of Operational Research · 2016 · 52 citations · Full text

Term Structure Model, Financial Economics, Computational Finance +6

A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries

Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey et al. · Communication in Statistics- Theory and Methods · 2014 · 36 citations

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