Oussama Marzouk

National Bank of Canada

Oussama Marzouk is a Senior Director at National Bank of Canada, where he leads the risk oversight of the Global Securities Finance, XVA, and Structured Credit trading activities. He holds a Ph.D. in financial engineering from HEC Montreal and regularly teaches graduate-level courses in financial engineering at universities in Montreal.

Prior to joining National Bank of Canada, Oussama was a Senior Consultant in Quantitative Advisory Services at Deloitte Canada and previously worked as a Consultant in Macro-econometric Modeling at the African Development Bank.

His current research and professional interests focus on Counterparty Credit Risk, XVA, Securities Financing Transactions, Structured/Exotic Products, and Quantitative Risk Management.

Articles by Oussama Marzouk

Original research

Counterparty risk: credit valuation adjustment variability and value-at-risk

This paper proposes an efficient method to obtain the distribution of the CVA at a given risk horizon, from which risk measures such as the CVA VaR can be computed.

18 Jun 2019

Original research

Wrong-way risk of interest rate instruments

This paper investigates wrong-way risk effects on the pricing of counterparty credit risk for interest rate instruments.

31 May 2019

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