04/09/2006

Jean-Paul LAURENT CURRENT POSITION „ From 1999, Professor of Finance, ISFA Actuarial School, University of Lyon, 50 Avenue Tony Garnier, 69007, LYON, FRANCE, „ [email protected], http://laurent.jeanpaul.free.fr EDUCATION „ „ „ „ „

École des Mines de Paris (1983), diplôme d’Ingénieur, Applied Mathematics B.A., Institut d'Études Politiques de Paris (1986) Master’s Degree in International Finance, HEC (1988) Actuarial Studies Degree, French Institute of Actuaries (1992) Ph.D. in Finance (1997), University of Paris I Panthéon-Sorbonne

FORMER POSITIONS „ 2001-04 Part-Time Professor, Economic Department, Ecole Polytechnique „ 1994-99 Research Professor, Finance and Insurance Department, CREST-ENSAE „ 1989-94 Vice-President in charge of the Quantitative Finance Research Team, COMPAGNIE BANCAIRE „ 1987-89 Quantitative Analyst, Group Treasury, COMPAGNIE BANCAIRE „ 1984-87 Quantitative Analyst, Direction des Synthèses Économiques, INSEE CONSULTING ACTIVITIES „ 1990-92 in charge of the Swaps and Options Research Team, PARIBAS. „ From 1994, Financial Models, Asset & Liability Management, BNP-PARIBAS, Paris. „ From 1997, Quantitative Credit Derivatives Research, BNP-PARIBAS, London. SELECTED PUBLICATIONS CHABAANE A., LAURENT J-P, Y. MALEVERGNE & F. TURPIN, 2006, “Alternative Risk Measures for Alternative Investments”, Journal of Risk, Vol. 8, n°4, 1-32. LAURENT J-P. & J. GREGORY, 2005, “Basket Default Swaps, CDO’s and Factor copulas”, Journal of Risk, Vol. 7, n°4, 103-122. ADAN A., LAURENT J-P & C. REBERIOUX, 2005, “Hedging Deposit Accounts : A New Perspective”, Banque & Marchés, n° 75, 28-34. CHABAANE A., LAURENT J-P & J. SALOMON, 2005, “Credit Risk Assessment and Stochastic LGDs”, in “Recovery Risk: The Next Challenge in Credit Risk Management”, E. Altman, A. Resti & A. Sironi (eds.), Risk Publications. GREGORY J. & J-P LAURENT, 2004, “In the Core of Correlation”, RISK, June, 103-107. GREGORY J. & J-P LAURENT, 2003, “I Will Survive”, RISK, October, 87-91. GOURIÉROUX C., J-P. LAURENT et O. SCAILLET, 2000, “Sensitivity Analysis of Values at Risk”, Journal of Empirical Finance, Award Winning Paper, vol. 7 (3-4), 225-245. LAURENT J-P. & D. LEISEN, 2000, “Implied Markov Chains”, “Collected papers of the New York University Mathematical Finance Seminar”, Vol. II, World Scientific. DAROLLES S. & J-P. LAURENT, 2000, “Approximating Payoffs and Pricing Formulas”, Journal of Economic Dynamics and Control, Vol. 24, n°11/12, 1721-1749. ARVANITIS A. & J-P. LAURENT, 1999, “On the Edge of Completeness”, RISK, October, 61-65. ARVANITIS A., J. GREGORY & J-P. LAURENT,1999, “Building Models for Credit Spreads”, Journal of Derivatives, Spring, 27-43. LAURENT J-P. & H. PHAM, 1999, “Dynamic Programming and Mean-Variance Hedging”, Finance and Stochastics, Vol. 3, n° 1, 83-110. GOURIÉROUX C., J-P. LAURENT & H. PHAM, 1998, “Mean-Variance Hedging and Numéraire”, Mathematical Finance, Vol. 8, n° 3, 179-200.