Areski Cousin

641 total citations
26 papers, 333 citations indexed

About

Areski Cousin is a scholar working on Finance, Management Science and Operations Research and Economics and Econometrics. According to data from OpenAlex, Areski Cousin has authored 26 papers receiving a total of 333 indexed citations (citations by other indexed papers that have themselves been cited), including 22 papers in Finance, 9 papers in Management Science and Operations Research and 5 papers in Economics and Econometrics. Recurrent topics in Areski Cousin's work include Credit Risk and Financial Regulations (17 papers), Stochastic processes and financial applications (13 papers) and Banking stability, regulation, efficiency (7 papers). Areski Cousin is often cited by papers focused on Credit Risk and Financial Regulations (17 papers), Stochastic processes and financial applications (13 papers) and Banking stability, regulation, efficiency (7 papers). Areski Cousin collaborates with scholars based in France, United States and Sweden. Areski Cousin's co-authors include Éléna Di Bernardino, Stéphane Crépey, Jean‐Paul Laurent, Pierre‐Louis Lions, Monique Jeanblanc, Tomasz R. Bielecki, Olivier Guéant, Peter Tankov, David Hobson and Jean‐Michel Lasry and has published in prestigious journals such as European Journal of Operational Research, Lecture notes in mathematics and Journal of Optimization Theory and Applications.

In The Last Decade

Areski Cousin

25 papers receiving 325 citations

Peers

Areski Cousin

FINAN

MSOR

DEMOG

Samuel N. Cohen United Kingdom

Hongbiao Zhao United Kingdom

Idris Kharroubi France

Wensheng Wang China

Anthony Réveillac France

Stefan Tappe Germany

Emmanuelle Clément France

Li‐Hsien Sun Taiwan

Christa Cuchiero Austria

Robert Stelzer Germany

Samuel N. Cohen United Kingdom

Areski Cousin

308 ×1.3

FINAN

143 ×1.4

MSOR

105 ×1.3

30 ×0.5

100 ×2.6

DEMOG

Citations per year, relative to Areski Cousin Areski Cousin (= 1×) peers Samuel N. Cohen

Countries citing papers authored by Areski Cousin

Since Specialization

Citations

This map shows the geographic impact of Areski Cousin's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Areski Cousin with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Areski Cousin more than expected).

Fields of papers citing papers by Areski Cousin

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Areski Cousin. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Areski Cousin. The network helps show where Areski Cousin may publish in the future.

Co-authorship network of co-authors of Areski Cousin

This figure shows the co-authorship network connecting the top 25 collaborators of Areski Cousin. A scholar is included among the top collaborators of Areski Cousin based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Areski Cousin. Areski Cousin is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

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20 of 20 papers shown

Cousin, Areski, et al.. (2023). Mean-variance Dynamic Portfolio Allocation with Transaction Costs: A Wiener Chaos Expansion Approach. Applied Mathematical Finance. 30(6). 313–353.

Cousin, Areski, et al.. (2023). RATING TRANSITIONS FORECASTING: A FILTERING APPROACH. International Journal of Theoretical and Applied Finance. 26(02n03). 1 indexed citations

Cousin, Areski, et al.. (2022). Gaussian Process Regression for Swaption Cube Construction under No-Arbitrage Constraints. Risks. 10(12). 232–232. 3 indexed citations

Cousin, Areski, Ying Jiao, Christian Y. Robert, & Olivier Zerbib. (2022). Optimal Asset Allocation Subject to Withdrawal Risk and Solvency Constraints. Risks. 10(1). 15–15. 2 indexed citations

Cousin, Areski, et al.. (2021). Short Communication: Beyond Surrogate Modeling: Learning the Local Volatility via Shape Constraints. SIAM Journal on Financial Mathematics. 12(3). SC58–SC69. 8 indexed citations

Planchet, Frédéric, et al.. (2018). Multiple Time Series Forecasting Using Quasi-Randomized Functional Link Neural Networks. Risks. 6(1). 22–22. 3 indexed citations

Cousin, Areski, Ying Jiao, Christian Y. Robert, & Olivier Zerbib. (2016). Asset allocation strategies in the presence of liability constraints. Insurance Mathematics and Economics. 70. 327–338. 2 indexed citations

Cousin, Areski, et al.. (2016). Kriging of financial term-structures. European Journal of Operational Research. 255(2). 631–648. 31 indexed citations

Cousin, Areski. (2015). Commentaire sur l’article « La mesure du risque systémique après la crise financière ». Revue économique. Vol. 66(3). 501–504. 1 indexed citations

10.

Cousin, Areski, et al.. (2014). On the consistency of Sobol indices with respect to stochastic ordering\n of model parameters. arXiv (Cornell University). 2 indexed citations

11.

Bielecki, Tomasz R., et al.. (2014). A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries. Communication in Statistics- Theory and Methods. 43(7). 1362–1389. 7 indexed citations

12.

Cousin, Areski & Éléna Di Bernardino. (2014). On multivariate extensions of Conditional-Tail-Expectation. Insurance Mathematics and Economics. 55. 272–282. 27 indexed citations

13.

Bielecki, Tomasz R., et al.. (2014). A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective. RePEc: Research Papers in Economics. 25–49. 5 indexed citations

14.

Cousin, Areski & Éléna Di Bernardino. (2013). On multivariate extensions of Value-at-Risk. Journal of Multivariate Analysis. 119. 32–46. 45 indexed citations

15.

Bielecki, Tomasz R., et al.. (2013). A Bottom-Up Dynamic Model of Portfolio Credit Risk: Part II: Common-Shock Interpretation, Calibration and Hedging Issues. SSRN Electronic Journal. 5 indexed citations

16.

Cousin, Areski & Éléna Di Bernardino. (2011). A multivariate extension of Value-at-Risk and Conditional-Tail-Expectation. arXiv (Cornell University). 1 indexed citations

17.

Cousin, Areski, et al.. (2011). Delta-hedging correlation risk?. Review of Derivatives Research. 15(1). 25–56. 11 indexed citations

18.

Laurent, Jean‐Paul, Areski Cousin, & Jean‐David Fermanian. (2010). Hedging default risks of CDOs in Markovian contagion models. Quantitative Finance. 11(12). 1773–1791. 21 indexed citations

19.

Cousin, Areski & Jean‐Paul Laurent. (2008). Comparison Results for Exchangeable Credit Risk Portfolios. SSRN Electronic Journal. 2 indexed citations

20.

Cousin, Areski & Jean‐Paul Laurent. (2008). Comparison results for exchangeable credit risk portfolios. Insurance Mathematics and Economics. 42(3). 1118–1127. 12 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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