Jean-Paul Laurent
3 SlideShares 2 Seguidores 1 Seguindo
Personal Information
Organização/Local de trabalho
Paris Area, France France
Cargo
Professor, University Paris 1 Panthéon-Sorbonne
Setor
Education
Site
http://laurent.jeanpaul.free.fr/
Sobre
Professor of finance (Univ. Paris 1 Panthéon - Sorbonne) focused on quantitative risk modeling (IR and credit), OTC and cleared derivatives (XVA) and prudential regulation (FRTB, Basel III). Thirty years being involved in the academic community, leading quantitative research teams, extensively publishing in academic and professional journals and as a financial expert/scientific consultant within the industry.
Detalhes do contato
Marcadores
ewma regulation basel iii frtb financial risk backtesting benchmarking internal models market risk value at risk volatility historical simulation frtb market risk basel committee var
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Apresentações

(3)

Making the best out of Value at Risk in a Basel III context

Há 7 anos • 825 Visualizações

Market Risk and capital requirements: a hide and seek game

Há 7 anos • 937 Visualizações

Market Risk Modelling after Basel III: New Challenges for Banks and Supervisors

Há 7 anos • 987 Visualizações
Personal Information
Organização/Local de trabalho
Paris Area, France France
Cargo
Professor, University Paris 1 Panthéon-Sorbonne
Setor
Education
Site
http://laurent.jeanpaul.free.fr/
Sobre
Professor of finance (Univ. Paris 1 Panthéon - Sorbonne) focused on quantitative risk modeling (IR and credit), OTC and cleared derivatives (XVA) and prudential regulation (FRTB, Basel III). Thirty years being involved in the academic community, leading quantitative research teams, extensively publishing in academic and professional journals and as a financial expert/scientific consultant within the industry.
Marcadores
ewma regulation basel iii frtb financial risk backtesting benchmarking internal models market risk value at risk volatility historical simulation frtb market risk basel committee var
Ver mais