4 papers in the archive (2023–2026), average empirical rigor 5/10, average math complexity 7.1/10. Quadrant mix: Holy Grail ×2, Lab Rats ×2.
Works mostly in Risk Management & Tail Risk, Commodities & Energy Markets, Insurance & Actuarial Risk.
Frequent co-authors: Géraldine Bouveret (1), Jean-François Chassagneux (1), Smail Ibbou (1), Antoine Jacquier (1), Caroline Hillairet (1), Olivier Lopez (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
This work evaluates the impact of contagious cyber-events, over a finite horizon, on firms’ financial health and on a cyber insurance portfolio. Our approach builds on key empirical findings from economics and cybersecurity. In economics, firm size and growth-rate distributions are non-Gaussian and
In this work, we propose a model to quantify the impact of the climate transition on a property in housing market. We begin by noting that property is an asset in an economy. That economy is organized in sectors, driven by its productivity which is a multidimensional Ornstein-Uhlenbeck process, whil
We study how the climate transition through a low-carbon economy, implemented by carbon pricing, propagates in a credit portfolio and precisely describe how carbon price dynamics affects credit risk measures such as probability of default, expected and unexpected losses. We adapt a stochastic multis
The aim of this work is to propose an end-by-end modeling framework to evaluate the risk measures of a bank’s portfolio of collateralized loans in an economy subject to the climate transition. The economy, organized in sectors, is driven by a multidimensional Ornstein-Uhlenbeck (OU) productivity pro