Jean-David Fermanian

Jean-David Fermanian is Professor of Finance and Statistics at ENSAE Paris-Tech and researcher at Crest. His research topics are related to credit risk, dependence modeling, risk management and multivariate dynamic models. Previously, he was a senior quantitative analyst at BNP-Paribas and Ixis-CIB. He is graduated from Ecole Normale Supérieure and ENSAE. He holds a PhD in Statistics from University Paris 6.

Articles by Jean-David Fermanian

Original research

Multifactor granularity adjustments for market and counterparty risks

In this paper, the authors propose several flexible families of models to manage the market and/or the counterparty risk of portfolios of financial assets.

25 Jul 2018