Jean Paul Laurent

Finance · 2000–2009

A researcher in the Science corpus: 3 papers; trusts 8 researchers and is trusted by 10 researchers here, as inferred from the citation graph.

Subfields

• Finance — 33 citations into it; #2,411 of 10,518 by trust here, #2,779 by citations
• Management Science and Operations Research — 16 citations into it
• Economics and Econometrics — 10 citations into it; #10,503 of 23,481 by trust here, #10,133 by citations
• Statistics and Probability — 10 citations into it; #4,389 of 12,932 by trust here, #5,857 by citations

Whom Jean Paul Laurent trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Philipp J. Schönbucher
2. Michael B. Gordy
3. A. Mortensen
4. Alfred Müller
5. John C. Hull

Who trusts Jean Paul Laurent overall

1. Dirk Tasche
2. John C. Hull
3. N. Whelan
4. Rüdiger Frey
5. Alan G. White
6. S. Chen
7. J. Backhaus

Papers from Jean Paul Laurent's perspective

Ordered by how strongly the researchers Jean Paul Laurent trusts endorse each paper. Same corpus, a different order for every researcher.

1. Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls
2. Valuation of a CDO and an n-th to Default CDS Without Monte Carlo Simulation
3. The concept of comonotonicity in actuarial science and finance: theory (Insurance, Mathematics & Economics)
4. Archimedean copulae and positive dependence
5. Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (ASTIN Bulletin: The Journal of the International Actuarial Association)
6. Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models
7. Pricing Distressed CDOs with Base Correlation and Stochastic Recovery
8. Comparison of multivariate risks and positive dependence (Journal of Applied Probability)
9. Dynamic copula models for multivariate high-frequency data in finance
10. Taken to the Limit: Simple and Not-So-Simple Loan Loss Distributions

Their papers

• Sensitivity Analysis of Values at Risk (2000) — 410 citations
• Basket Default Swaps, Cdos and Factor Copulas (2005) — 279 citations
• A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework (2009) — 81 citations