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Université Paris 1 Panthéon-Sorbonne: Paris, FR

Professor of Finance (Ecole de Management de la Sorbonne)
Employment
Source: Self-asserted source
Jean-Paul Laurent

Works (29)

On the risk management of demand deposits: quadratic hedging of interest rate margins

Annals of Operations Research
2020-08 | Journal article
DOI: 10.1007/s10479-020-03726-1
HAL: hal-03676446
Contributors: Alexandre Adam; Hamza Cherrat; Mohamed Houkari; Jean-Paul Laurent; Jean-Luc Prigent
Source: Self-asserted source
Jean-Paul Laurent via HAL

Repurchase agreements and systemic risk in the European sovereign debt crises: the role of European clearing houses

2020-02-18 | Working paper
HAL: hal-01479252
Contributors: Angela Armakola; Raphaël Douady; Jean-Paul Laurent; Francesco Molteni
Source: Self-asserted source
Jean-Paul Laurent via HAL

Repurchase Agreements and the European Sovereign Debt Crises: The Role of European Clearinghouses

2019 | Book chapter
DOI: 10.1142/9789813236653_0018
HAL: hal-03265036
Contributors: Angela Armakola; Raphaël Douady; Jean-Paul Laurent
Source: Self-asserted source
Jean-Paul Laurent via HAL

The Knowns and the Known Unknowns of Capital Requirements for Market Risks

2017-08-30 | Book chapter
DOI: 10.1007/978-3-319-44287-7_11
HAL: hal-03679472
Contributors: Jean-Paul Laurent
Source: Self-asserted source
Jean-Paul Laurent via HAL

Modelling in Life Insurance – A Management Perspective

2016 | Book
DOI: 10.1007/978-3-319-29776-7
HAL: hal-03679502
Contributors: Jean-Paul Laurent; Ragnar Norberg; Frédéric Planchet
Source: Self-asserted source
Jean-Paul Laurent via HAL

Trading book and credit risk: How fundamental is the Basel review?

Journal of Banking and Finance
2016-12 | Journal article
DOI: 10.1016/j.jbankfin.2016.07.002
HAL: hal-03676300
Contributors: Jean-Paul Laurent; Michael Sestier; Stéphane Thomas
Source: Self-asserted source
Jean-Paul Laurent via HAL

Meta-Models and Consistency Issues

2016-05-03 | Book chapter
DOI: 10.1007/978-3-319-29776-7_9
HAL: hal-03679496
Contributors: Jean-Paul Laurent
Source: Self-asserted source
Jean-Paul Laurent via HAL

An overview of the valuation of collateralized derivative contracts

Review of Derivatives Research
2014-10 | Journal article
DOI: 10.1007/s11147-014-9098-8
HAL: hal-03679423
Contributors: Jean-Paul Laurent; Philippe Amzelek; Joe Bonnaud
Source: Self-asserted source
Jean-Paul Laurent via HAL

Pricing CDOs with state-dependent stochastic recovery rates

Quantitative Finance
2012-08 | Journal article
DOI: 10.1080/14697688.2012.663925
HAL: hal-03679461
Contributors: Salah Amraoui; Laurent Cousot; Sebastien Hitier; Jean-Paul Laurent
Source: Self-asserted source
Jean-Paul Laurent via HAL

Hedging CDO Tranches in a Markovian Environment

2011 | Book chapter
DOI: 10.1007/978-3-642-14660-2_1
HAL: hal-03679488
Contributors: Areski Cousin; Monique Jeanblanc; Jean-Paul Laurent
Source: Self-asserted source
Jean-Paul Laurent via HAL

A Note on the Risk Management of CDOs

2011-06 | Book chapter
DOI: 10.1142/9789814366038_0003
HAL: hal-03679508
Contributors: Jean-Paul Laurent
Source: Self-asserted source
Jean-Paul Laurent via HAL

Hedging default risks of CDOs in Markovian contagion models

Quantitative Finance
2011-03-22 | Journal article
DOI: 10.1080/14697680903390126
DOI: 10.1080/14697680903390126
HAL: hal-03676198
Contributors: Jean-Paul Laurent; A. Cousin; J.-D. Fermanian
Source: Self-asserted source
Jean-Paul Laurent via HAL

A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework

Journal of Derivatives
2009-05-31 | Journal article
DOI: 10.3905/JOD.2009.16.4.009
HAL: hal-03676448
Contributors: X. Burtschell; Jonathan Gregory; Jean-Paul Laurent
Source: Self-asserted source
Jean-Paul Laurent via HAL

Spectral risk measures and portfolio selection

Journal of Banking and Finance
2008-09 | Journal article
DOI: 10.1016/j.jbankfin.2007.12.032
HAL: hal-03676385
Contributors: Alexandre Adam; Mohamed Houkari; Jean-Paul Laurent
Source: Self-asserted source
Jean-Paul Laurent via HAL

Comparison results for exchangeable credit risk portfolios

Insurance: Mathematics and Economics
2008-06 | Journal article
DOI: 10.1016/j.insmatheco.2008.02.005
HAL: hal-03676451
Contributors: Areski Cousin; Jean-Paul Laurent
Source: Self-asserted source
Jean-Paul Laurent via HAL

Spectral risk measures and portfolio selection

2007-07-19 | Working paper
HAL: hal-00165641
Contributors: Alexandre Adam; Mohamed Houkari; Jean-Paul Laurent
Source: Self-asserted source
Jean-Paul Laurent via HAL

Beyond the Gaussian copula: stochastic and local correlation

Journal of Credit Risk
2007-03 | Journal article
DOI: 10.21314/JCR.2007.059
HAL: hal-03679529
Contributors: X Burtschell; J. Gregory; Jean-Paul Laurent
Source: Self-asserted source
Jean-Paul Laurent via HAL

A note on the risk management of CDOs

2006 | Working paper
HAL: hal-00165654
Contributors: Jean-Paul Laurent
Source: Self-asserted source
Jean-Paul Laurent via HAL

Alternative Risk Measures for Alternative Investments

The Journal of Risk
2006-07-01 | Journal article
HAL: hal-02311832
Contributors: Yannick Malevergne; Ali Chabaane; Jean-Paul Laurent; Françoise Turpin
Source: Self-asserted source
Jean-Paul Laurent via HAL

Basket default swaps, CDOs and factor copulas

The Journal of Risk
2005-06 | Journal article
DOI: 10.21314/JOR.2005.115
HAL: hal-03679517
Contributors: Jean-Paul Laurent; Jon Gregory
Source: Self-asserted source
Jean-Paul Laurent via HAL

Model risk in the pricing of weather derivatives

Bankers Markets & Investors : an academic & professional review
2004-11 | Journal article
HAL: emse-00699607
Contributors: Olivier Roustant; Jean-Paul Laurent; Xavier Bay; Laurent Carraro
Source: Self-asserted source
Jean-Paul Laurent via HAL

A Bootstrap approach to the price uncertainty of weather derivatives

ASTIN Bulletin
2003 | Journal article
HAL: emse-00744904
Contributors: Olivier Roustant; Jean-Paul Laurent; Xavier Bay; Laurent Carraro
Source: Self-asserted source
Jean-Paul Laurent via HAL

Estimation Risk and the Pricing of Weather Derivatives

2002 | Conference paper
HAL: emse-00745082
Contributors: Olivier Roustant; Jean-Paul Laurent; Xavier Bay; Laurent Carraro
Source: Self-asserted source
Jean-Paul Laurent via HAL

An Empirical Study of the Prices Uncertainties of Some Weather Derivatives

2001 | Conference paper
HAL: emse-00744939
Contributors: Olivier Roustant; Jean-Paul Laurent
Source: Self-asserted source
Jean-Paul Laurent via HAL

Sensitivity analysis of Values at Risk

Journal of Empirical Finance
2000-11 | Journal article
DOI: 10.1016/S0927-5398(00)00011-6
HAL: hal-03676327
Contributors: C. Gourieroux; J.P. Laurent; O. Scaillet
Source: Self-asserted source
Jean-Paul Laurent via HAL

Approximating payoffs and pricing formulas

Journal of Economic Dynamics and Control
2000-06-01 | Journal article
DOI: 10.1016/S0165-1889(99)00092-5
DOI: 10.1016/S0165-1889(99)00092-5
HAL: halshs-00678228
Contributors: Serge Darolles; Jean-Paul Laurent
Source: Self-asserted source
Jean-Paul Laurent via HAL

Building Models for Credit Spreads

Journal of Derivatives
1999-02-28 | Journal article
DOI: 10.3905/jod.1999.319117
HAL: hal-03679527
Contributors: Angelo Arvanitis; Jonathan Gregory; Jean-Paul Laurent
Source: Self-asserted source
Jean-Paul Laurent via HAL

Dynamic programming and mean-variance hedging

Finance and Stochastics
1999-01-01 | Journal article
DOI: 10.1007/s007800050053
HAL: hal-03675953
Contributors: Jean-Paul Laurent; Huyen Pham
Source: Self-asserted source
Jean-Paul Laurent via HAL

Mean-Variance Hedging and Numeraire

Mathematical Finance
1998-07 | Journal article
DOI: 10.1111/1467-9965.00052
DOI: 10.1111/1467-9965.00052
HAL: hal-03676447
Contributors: Christian Gourieroux; Jean-Paul Laurent; Huyen Pham
Source: Self-asserted source
Jean-Paul Laurent via HAL
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