Jean-Paul LAURENT

Université Claude Bernard - Lyon I
Institut de Science Financière et d'Assurances
50, Avenue Tony Garnier, 69007 LYON
France

• University of Paris I Panthéon-Sorbonne, Finance, Ph.D. (1997)
• Jean-Paul Laurent is Professor of Mathematics and Finance at ISFA Actuarial School at the University of Lyon, Research Fellow at CREST and Scientific Advisor to Paribas. He has previously been Research Professor at CREST and Head of the quantitative finance team at Compagnie Bancaire in Paris. His interests center on quantitative modeling for financial risks and the pricing of derivatives. He has published in the fields of hedging in incomplete markets, financial econometrics, and the modeling of default risk.

Publications: that are posted on DefaultRisk.com

Credit Modeling

Arvanitis, Angelo, Jonathan Gregory, and Jean-Paul Laurent, "Building Models For Credit Spreads", Journal of Derivatives, Vol. 6, No. 3, (Spring 1999), pp. 27-43. [Abstract]

Collateralized Debt Obligations

A Comparative Analysis of CDO Pricing Models
by Xavier Burtschell of BNP-Paribas,
Jon Gregory of Barclays Capital, and
Jean-Paul Laurent of Université de Lyon & BNP-Paribas
(243K PDF) -- 26 pages -- April 21, 2008

Hedging Default Risks of CDOs in Markovian Contagion Models
by Jean-Paul Laurent of the University of Lyon & BNP Paribas
Areski Cousin of the University of Lyon, and
Jean-David Fermanian of BNP Paribas
(220K PDF) –- 31 pages -- April 8, 2008

A Note on the Risk Management of CDOs
by Jean-Paul Laurent of the University of Lyon & BNP Paribas
(249K PDF) –- 17 pages -- February 2007

Basket Default Swaps, CDO's and Factor Copulas
by Jean-Paul Laurent of the University of Lyon & BNP Paribas, and
Jon Gregory of BNP Paribas
(293K PDF) -- 21 pages -- September 2003

Credit Correlation

Comparison Results for Credit Risk Portfolios
by Areski Cousin of the University of Lyon, and
Jean-Paul Laurent of the University of Lyon & BNP Paribas
(318K PDF) -- 23 pages -- September 11, 2007

Beyond the Gaussian Copula: Stochastic and local correlation
by Xavier Burtschell of BNP Paribas,
Jon Gregory of Barclays Capital, and
Jean-Paul Laurent of ISFA Actuarial School, University of Lyon
(445K PDF) -- 27 pages -- January 2007

In the Core of Correlation
by Jon Gregory of BNP Paribas, and
Jean-Paul Laurent of the University of Lyon & BNP Paribas
(403K PDF) -- 12 pages -- April 2004

Recovery Rates

Double Impact: Credit Risk Assessment and Collateral Value
by Ali Chabaane of ACA Consulting & BNP Paribas,
Jean-Paul Laurent of the University of Lyon & BNP Paribas, and
Julien Salomon of BNP Paribas
(363K PDF) -- 17 pages -- February 2004

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