Nabil KAZI TANI obtient une bourse de l'Institut Europlace de Finance !

 

The purpose of this project is the study of model uncertainty, inherent to the practical implementation of certain convex risk measures. We focus on coherent risk measures which have been introduced in [1] to overcome some of the disadvantages of Value-at-Risk (VaR), such as the non sub-additivity which may be a disincentive to diversification.
These coherent risk measures are used in particular for calculating the capital requirement, as required in the European regulations (VaR in Solvency 2, or Expected Shortfall (ES) in Basel 3), or in companies own internal models.

[1] P. Artzner, F. Delbaen, J.-M. Eber, and D. Heath. Coherent measures of risk. Math. Finance, 9(3):203–228, 1999.

 

Nabil Kazi-Tani holds a PhD in applied mathematics from Ecole Polytechnique in Paris, a MSc in mathematics and in economics and is a former student of Ecole Normale Supérieure in Cachan. He is now associate professor at ISFA, Lyon 1 University. Nabil specializes in probability theory, in the study of stochastic differential equations, risk measures and optimization; with applications in financial and actuarial models. He is a certified member of the French institute of actuaries, and serves as co-editor of the Bulletin Francais d’Actuariat (BFA).

Maike Klein has completed her PhD in mathematics at Friedrich Schiller University Jena, Germany, in 2018 and she holds a MSc in mathematics with minor subject economics from the University of Bonn, Germany. Now she is a PostDoc at the Institute of Statistics and Mathematical Methods in Economics, TU Wien, Austria. Maike was supported by the DAAD (German Academic Exchange Service) for a research stay of two month at the University of Manchester, UK. She focuses on stochastic optimal control and optimal stopping problems as well as on risk theory.

Stéphane Loisel holds a PhD in applied mathematics from University of Lyon, a MSc in actuarial science and finance, and is a fellow and former member of the board of the Institut des Actuaires. He is now full professor at ISFA, Lyon 1 University. He was visiting professor at ORIE, Cornell University in 2014 and has been lecturing for several years at Université Paris 6 and ENSAE. As Associate Editor of IME, MCAP, BFA, Risks and co-editor of EAJ, his main research interests include ruin theory with dependent risks, Solvency II, regulation and ERM, longevity risk and customer behavior in insurance. He received the SCOR PhD award in 2005, the Lloyd’s Science of Risk runner-up prize in 2011 and the Hachemeister prize in 2013. Stéphane also serves on the CERA review panel and is the scientific director of the French CERA program. He is a board member and member of the audit committee of April Group.

Pascal Oswald holds a PhD in theoretical nuclear physics from Lyon 1 University and the French Atomic Energy Commission. His 17-year career in pricing models and risk analytics include experiences at Société Générale, Calyon, Allianz, Exane, Dexia and now Natixis. Due to his current position he has a focus on the model risk measurement and management across the bank. His specialties include risk management issues of exotic financial derivatives, understanding of counterparty risk and funding costs when dealing with corporate or sovereign counterparties as well as development in several computer programming languages, including C#, C/C++, Java, Fortran, Perl, PHP, Shell script, Sql (mysql), Visual Basic.