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Areski Cousin B · Study
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Author
Areski Cousin B
10 works
· latest 2019
· 2 institutions
cluster: provisional
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10
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10
Citations
537
Works here
10
08
10
13
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19
Most cited in this library
Paris-Princeton Lectures on Mathematical Finance 2010
2010 · 149 citations
On multivariate extensions of Value-at-Risk
2013 · 64 citations
Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model
2013 · 63 citations
Hedging default risks of CDOs in Markovian contagion models
2010 · 55 citations
Kriging of financial term-structures
2016 · 55 citations
Works
10 shown
Adaptive Robust Control under Model Uncertainty
SIAM Journal on Control and Optimization
·
2019
·
5 authors
·
Open access
30
citations
Kriging of financial term-structures
European Journal of Operational Research
·
2016
·
3 authors
·
Open access
55
citations
A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries
Communication in Statistics- Theory and Methods
·
2014
·
4 authors
35
citations
On multivariate extensions of Conditional-Tail-Expectation
Insurance Mathematics and Economics
·
2014
·
2 authors
33
citations
Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model
Journal of Optimization Theory and Applications
·
2013
·
4 authors
63
citations
On multivariate extensions of Value-at-Risk
Journal of Multivariate Analysis
·
2013
·
2 authors
·
Open access
64
citations
Paris-Princeton Lectures on Mathematical Finance 2010
Lecture notes in mathematics
·
2010
·
9 authors
·
book
149
citations
Hedging CDO Tranches in a Markovian Environment
Lecture notes in mathematics
·
2010
·
3 authors
·
chapter
29
citations
Hedging default risks of CDOs in Markovian contagion models
Quantitative Finance
·
2010
·
3 authors
55
citations
Comparison results for exchangeable credit risk portfolios
Insurance Mathematics and Economics
·
2008
·
2 authors
·
Open access
24
citations