Edit Profile (opens in new tab) Cousin, Areski Co-Author Distance Author ID: cousin.areski Published as: Cousin, Areski; Cousin, A. Documents Indexed: 19 Publications since 2008, including 1 Additional arXiv Preprint Co-Authors: 23 Co-Authors with 19 Joint Publications 589 Co-Co-Authors all top 5 Co-Authors 0 single-authored 5 Bielecki, Tomasz R. 5 Crepey, Stephane 4 Herbertsson, Alexander 3 Jeanblanc, Monique 3 Laurent, Jean Paul 3 Rullière, Didier 2 Di Bernardino, Elena 2 Dorobantu, Diana 2 Lelong, Jérôme 2 Picard, Tom 1 Chataigner, Marc 1 Chen, Tao 1 Cialenco, Igor 1 Dixon, Matthew F. 1 Fermanian, Jean-David 1 Gueye, Djibril 1 Janon, Alexandre 1 Jiao, Ying 1 Maatouk, Hassan 1 Maume-Deschamps, Véronique 1 Niang, Ibrahima 1 Robert, Christian-Yann 1 Zerbib, Olivier David all top 5 Serials 3 Insurance Mathematics & Economics 2 Quantitative Finance 1 Journal of Multivariate Analysis 1 Journal of Optimization Theory and Applications 1 SIAM Journal on Control and Optimization 1 Communications in Statistics. Theory and Methods 1 European Journal of Operational Research 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 International Journal of Theoretical and Applied Finance 1 SIAM Journal on Financial Mathematics all top 5 Fields 17 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 7 Probability theory and stochastic processes (60-XX) 7 Statistics (62-XX) 1 Computer science (68-XX) 1 Operations research, mathematical programming (90-XX) 1 Systems theory; control (93-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 14 Publications have been cited 118 times in 101 Documents Cited by ▼ Year ▼ On multivariate extensions of value-at-risk. Zbl 1287.91090 Cousin, Areski; Di Bernardino, Elena 31 2013 On multivariate extensions of conditional-tail-expectation. Zbl 1296.91149 Cousin, Areski; Di Bernardino, Elena 17 2014 Adaptive robust control under model uncertainty. Zbl 1409.93070 Bielecki, Tomasz R.; Chen, Tao; Cialenco, Igor; Cousin, Areski; Jeanblanc, Monique 13 2019 Kriging of financial term-structures. Zbl 1346.91264 Cousin, Areski; Maatouk, Hassan; Rullière, Didier 13 2016 Hedging default risks of CDOs in Markovian contagion models. Zbl 1277.91187 Laurent, J.-P.; Cousin, A.; Fermanian, J.-D. 11 2011 A bottom-up dynamic model of portfolio credit risk. I: Markov copula perspective. Zbl 1314.91223 Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; Herbertsson, Alexander 7 2014 Dynamic hedging of portfolio credit risk in a Markov copula model. Zbl 1295.91096 Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; Herbertsson, Alexander 6 2014 Comparison results for exchangeable credit risk portfolios. Zbl 1141.91499 Cousin, Areski; Laurent, Jean-Paul 5 2008 A bottom-up dynamic model of portfolio credit risk. II: Common-shock interpretation, calibration and hedging issues. Zbl 1314.91224 Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; Herbertsson, Alexander 4 2014 A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries. Zbl 1302.91184 Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; Herbertsson, Alexander 3 2014 Short communication: Beyond surrogate modeling: learning the local volatility via shape constraints. Zbl 1476.91178 Chataigner, Marc; Cousin, Areski; Crépey, Stéphane; Dixon, Matthew; Gueye, Djibril 2 2021 Hedging CDO tranches in a Markovian environment. Zbl 1214.91124 Cousin, Areski; Jeanblanc, Monique; Laurent, Jean-Paul 2 2011 An extension of Davis and Lo’s contagion model. Zbl 1280.91180 Cousin, Areski; Dorobantu, Diana; Rullière, Didier 2 2013 On the consistency of Sobol indices with respect to stochastic ordering of model parameters. Zbl 1421.62053 Cousin, A.; Janon, A.; Maume-Deschamps, V.; Niang, I. 2 2019 Short communication: Beyond surrogate modeling: learning the local volatility via shape constraints. Zbl 1476.91178 Chataigner, Marc; Cousin, Areski; Crépey, Stéphane; Dixon, Matthew; Gueye, Djibril 2 2021 Adaptive robust control under model uncertainty. Zbl 1409.93070 Bielecki, Tomasz R.; Chen, Tao; Cialenco, Igor; Cousin, Areski; Jeanblanc, Monique 13 2019 On the consistency of Sobol indices with respect to stochastic ordering of model parameters. Zbl 1421.62053 Cousin, A.; Janon, A.; Maume-Deschamps, V.; Niang, I. 2 2019 Kriging of financial term-structures. Zbl 1346.91264 Cousin, Areski; Maatouk, Hassan; Rullière, Didier 13 2016 On multivariate extensions of conditional-tail-expectation. Zbl 1296.91149 Cousin, Areski; Di Bernardino, Elena 17 2014 A bottom-up dynamic model of portfolio credit risk. I: Markov copula perspective. Zbl 1314.91223 Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; Herbertsson, Alexander 7 2014 Dynamic hedging of portfolio credit risk in a Markov copula model. Zbl 1295.91096 Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; Herbertsson, Alexander 6 2014 A bottom-up dynamic model of portfolio credit risk. II: Common-shock interpretation, calibration and hedging issues. Zbl 1314.91224 Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; Herbertsson, Alexander 4 2014 A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries. Zbl 1302.91184 Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; Herbertsson, Alexander 3 2014 On multivariate extensions of value-at-risk. Zbl 1287.91090 Cousin, Areski; Di Bernardino, Elena 31 2013 An extension of Davis and Lo’s contagion model. Zbl 1280.91180 Cousin, Areski; Dorobantu, Diana; Rullière, Didier 2 2013 Hedging default risks of CDOs in Markovian contagion models. Zbl 1277.91187 Laurent, J.-P.; Cousin, A.; Fermanian, J.-D. 11 2011 Hedging CDO tranches in a Markovian environment. Zbl 1214.91124 Cousin, Areski; Jeanblanc, Monique; Laurent, Jean-Paul 2 2011 Comparison results for exchangeable credit risk portfolios. Zbl 1141.91499 Cousin, Areski; Laurent, Jean-Paul 5 2008 all cited Publications top 5 cited Publications all top 5 Cited by 191 Authors 7 Di Bernardino, Elena 6 Bielecki, Tomasz R. 6 Rullière, Didier 5 Bachoc, François 4 Chen, Tao 4 Cousin, Areski 4 Crepey, Stephane 4 López-Lopera, Andrés F. 4 Mailhot, Mélina 3 Cialenco, Igor 3 Maatouk, Hassan 3 Roustant, Olivier 3 Scherer, Matthias 2 Bae, Taehan 2 Bay, Xavier 2 Beck, Nicholas 2 Bernardino, E. Di 2 Cossette, Hélène 2 Durrande, Nicolas 2 Jakubowski, Jacek 2 Jeanblanc, Monique 2 Laloë, Thomas 2 Laniado, Henry 2 Lillo, Rosa Elvira 2 Linetsky, Vadim 2 Ludkovski, Michael 2 Mai, Jan-Frederik 2 Marceau, Étienne 2 Maume-Deschamps, Véronique 2 Mendoza-Arriaga, Rafael 2 Palacios-Rodríguez, F. 2 Said, Khalil 2 Schenk, Steffen 2 Shushi, Tomer 2 Torres, Raúl 1 Albuquerque, Pedro Henrique Melo 1 Amraoui, Salah 1 Andreoli, Alessandro 1 Armaut, Sara 1 Backhaus, Jochen 1 Ballestra, Luca Vincenzo 1 Barro, Diakarya 1 Bäuerle, Nicole 1 Bayraktar, Erhan 1 Ben, Shujun 1 BenSaïda, Ahmed 1 Bergeron, Maxime 1 Bernhart, German 1 Bhudisaksang, Theerawat 1 Biagini, Francesca 1 Blier-Wong, Christopher 1 Blomvall, Jörgen 1 Borgonovo, Emanuele 1 Boubaker, Sabri 1 Cai, Jun 1 Cartea, Álvaro 1 Cascos, Ignacio 1 Centanni, Silvia 1 Chataigner, Marc 1 Chen, Dianfa 1 Cheung, Eric C. K. 1 Chi, Yichun 1 Choi, Yang Ho 1 Chu, Liu 1 Coblenz, Maximilian 1 Contal, Emile 1 Cousot, Laurent 1 Das, Bikramjit 1 de Moraes Souza, João Gabriel 1 Deng, Jun 1 Diel, Roland 1 Dixon, Matthew F. 1 Dorobantu, Diana 1 Durante, Fabrizio 1 Estrada, Luisa F. 1 Fasen-Hartmann, Vicky 1 Feng, Jianfen 1 Fernández-Ponce, José María 1 Fernández-Sánchez, Juan 1 Fernández, Lexuri 1 Frey, Rüdiger 1 Gagliardini, Patrick 1 Garcin, Matthieu 1 Glauner, Alexander 1 Gourieroux, Christian 1 Grammont, Laurence 1 Gremaud, Pierre-Alain 1 Grothe, Oliver 1 Guégan, Dominique 1 Gueye, Djibril 1 Gümbel, Sandrine 1 Hagenbjörk, Johan 1 Hamel, Andreas H. 1 Hart, Joseph L. 1 Hassani, Bertrand K. 1 He, Qing 1 Herbertsson, Alexander 1 Hernández-Santibáñez, Nicolás 1 Herrmann, Klaus 1 Hitier, Sebastien ...and 91 more Authors all top 5 Cited in 52 Serials 10 Insurance Mathematics & Economics 7 Quantitative Finance 4 Journal of Multivariate Analysis 4 SIAM Journal on Control and Optimization 4 International Journal of Theoretical and Applied Finance 3 The Annals of Applied Probability 3 Communications in Statistics. Theory and Methods 3 Mathematical Finance 3 Methodology and Computing in Applied Probability 3 Electronic Journal of Statistics 3 SIAM Journal on Financial Mathematics 2 Advances in Applied Probability 2 Metrika 2 Statistics & Probability Letters 2 Journal of Economic Dynamics & Control 2 Stochastic Processes and their Applications 2 Applied Mathematical Finance 2 Finance and Stochastics 2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 2 Scandinavian Actuarial Journal 2 SIAM/ASA Journal on Uncertainty Quantification 1 Mathematical Biosciences 1 Applied Mathematics and Computation 1 Fuzzy Sets and Systems 1 Journal of Applied Probability 1 Journal of Optimization Theory and Applications 1 Journal of Statistical Planning and Inference 1 Mathematics of Operations Research 1 Operations Research Letters 1 Stochastic Analysis and Applications 1 European Journal of Operational Research 1 International Journal of Computer Mathematics 1 Computational and Applied Mathematics 1 Journal of Nonparametric Statistics 1 Mathematical Methods of Operations Research 1 Extremes 1 OR Spectrum 1 ASTIN Bulletin 1 REVSTAT 1 Computational Management Science 1 Journal of Industrial and Management Optimization 1 Journal of the Korean Statistical Society 1 European Journal of Pure and Applied Mathematics 1 Mathematical Geosciences 1 Journal of Probability and Statistics 1 Statistics & Risk Modeling 1 Journal of Dynamics and Games 1 Dependence Modeling 1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 1 AIMS Mathematics 1 SIAM Journal on Mathematics of Data Science 1 Environmetrics all top 5 Cited in 11 Fields 64 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 52 Statistics (62-XX) 44 Probability theory and stochastic processes (60-XX) 9 Systems theory; control (93-XX) 7 Operations research, mathematical programming (90-XX) 6 Numerical analysis (65-XX) 6 Computer science (68-XX) 4 Calculus of variations and optimal control; optimization (49-XX) 1 Mathematical logic and foundations (03-XX) 1 Functional analysis (46-XX) 1 Biology and other natural sciences (92-XX) Citations by Year