×
Author ID: cousin.areski Recent zbMATH articles by "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

Publications by Year

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 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

Citations by Year