| Sensitivity Analysis of Values at Risk C Gouriéroux, JP Laurent, O Scaillet Journal of Empirical Finance 7 (3-4), 225-245, 2000 | 588 | 2000 |
| Basket default swaps, CDOs and factor copulas JP Laurent, J Gregory Journal of Risk 7 (4), 103-122, 2005 | 543 | 2005 |
| A comparative analysis of CDO pricing models X Burtschell, J Gregory, JP Laurent The Journal of Derivatives 16 (4), 9-37, 2009 | 346* | 2009 |
| Mean‐variance hedging and numeraire C Gourieroux, JP Laurent, H Pham Mathematical finance 8 (3), 179-200, 1998 | 273 | 1998 |
| Dynamic programming and mean-variance hedging JP Laurent, H Pham Finance and stochastics 3 (1), 83-110, 1999 | 214 | 1999 |
| Spectral risk measures and portfolio selection A Adam, M Houkari, JP Laurent Journal of Banking & Finance 32 (9), 1870-1882, 2008 | 203 | 2008 |
| Building models for credit spreads A Arvanitis, J Gregory, JP Laurent The Journal of Derivatives 6 (3), 27-43, 1999 | 170 | 1999 |
| Beyond the Gaussian copula: stochastic and local correlation JPL J Gregory, X Burtschell Journal of Credit Risk 3 (1), 31-62, 2007 | 142 | 2007 |
| I will survive J Gregory, JP Laurent RISK-LONDON-RISK MAGAZINE LIMITED- 16 (6), 103-108, 2003 | 116 | 2003 |
| In the core of correlation J Gregory, JP Laurent RISK-LONDON-RISK MAGAZINE LIMITED- 17, 87-91, 2004 | 111 | 2004 |
| Hedging default risks of CDOs in Markovian contagion models JP Laurent, A Cousin, JD Fermanian Quantitative Finance 11 (12), 1773-1791, 2011 | 92 | 2011 |
| Trading book and credit risk: How fundamental is the Basel review? JP Laurent, M Sestier, S Thomas Journal of Banking & Finance 73, 211-223, 2016 | 47 | 2016 |
| Model risk in the pricing of weather derivatives O Roustant, JP Laurent, X Bay, L Carraro Bankers, Markets & Investors 72, 2004 | 41 | 2004 |
| An overview of factor models for pricing CDO tranches A Cousin, JP Laurent Frontiers In Quantitative Finance, Ed. R. Cont, Wiley Finance, 2008 | 39* | 2008 |
| Building a consistent pricing model from observed option prices JP Laurent, DPJ Leisen Collected papers of the New York University Mathematical Finance Seminar” 2 …, 2001 | 38 | 2001 |
| Comparison results for exchangeable credit risk portfolios A Cousin, JP Laurent Insurance: Mathematics and Economics 42 (3), 1118-1127, 2008 | 37* | 2008 |
| CCP resilience and clearing membership A Armakolla, JP Laurent working paper. Available at http://papers. ssrn. com/sol3/papers. cfm, 2015 | 36 | 2015 |
| Double impact: credit risk assessment and collateral value A Chabaane, JP Laurent, J Salomon Revue Finance 25, 157-178, 2004 | 36 | 2004 |
| Modelling in Life Insurance: A Management Perspective JP Laurent, R Norberg, F Planchet Springer, 2016 | 29 | 2016 |
| Hedging CDO tranches in a markovian environment A Cousin, M Jeanblanc, JP Laurent Paris-Princeton Lectures on Mathematical Finance 2010, 1-61, 2011 | 29 | 2011 |
Areski COUSINProfessor, University of Strasbourg, FranceVerified email at unistra.fr
