MEMBERS


PERMANENT MEMBERS


EXPERT

  • Stéphane Crepey, Univ. Evry, Professor. Expert in risk modeling and Central Counter Parts (CCPs)
  • Stéphane Girard, INRIA, Research Director. Expert in extreme value theory and dependence modelling
  • Caroline Hillairet, ENSAE Paris, Professor. Expert in Cyber risk.
  • Guillaume Perrin, Univ. Gustave Eiffel, Researcher. Expert in uncertainty quantification


BNP PARIBAS COLLABORATORS


NON-PERMANENT RESEARCHERS

Doctoral Students

  • Solune Denis, Université d'Angers (2024-2027). "High-dimensional extreme quantile regression."
  • Antoine Franchini, Université Grenobles Alpes (2024-2027). "Quantification de l'incertitude liée à l'estimation des quantiles extrêmes."
  • Pearl Laveur, Université Grenobles Alpes (2024-2027). "Mesures d'inégalités extrêmes."
  • Yushan Liu, Ecole polytechnique (2023-2026). "The role of uncertainty in eco-climate models: a machine learning approach."
  • Elisa Ndiaye, BNPP CIFRE (2021-2025). "Quantification of the impact of climate risks on credit risk."
  • Jean Pachebat, Ecole polytechnique (2023 - 2026). "How AI models can deal with extreme values ? Application to risk assessment."
  • Mouad Yachouti, Ecole polytechnique (2024-2026). "Risk-oriented sensitivity analysis for systems evolving over time."

Post-doctoral Researcher


Past members

  • Aboubacrène Ag Ahmad, Université Gaston-Berger, Sénégal (2017-2020). "A new location-scale model for heavy-tailed distributions."
  • Clément Albert, Ecole polytechnique PostDoc Researcher (2019). "Extreme Value Theory and Importance Sampling".
  • Michaël Allouche, Ecole polytechnique (2019 - 2023). "Simulation of extreme events with IA generative models and applications to risk management in banking"
  • David Barrera, Ecole polytechnique, PostDoc researcher(2019-2020). "Statistical Learning of Conditional Risk Metric."
  • Cyril Benezet, Ecole polytechnique, PostDoc researcher (2019 - 2020). "Uncertainty Quantification of Risk Metrics."
  • Florian Bourgey, Ecole polytechnique,
    • PhD student (2017 - 2020). "Stochastic approximations for financial risk computations."
    • PostDoc Researcher (2020-2021). "Climate and credit risk, generative adversorial model for time series. Modeling the impact of climate risk on portfolio."
  • Meryem Bousebata, INRIA, PhD student (2018 - 2022). "Bayesian estimation of extreme risk measures: Implication for the insurance of natural disasters."
  • Linda Chamakh, Ecole polytechnique and BNP Paribas, PhD student (2018 - 2021). "Uncertainty Quantification in Portfolio Optimization."
  • Marc Chataigner, Université d'Evry-Val-d'Essonne, PhD student (2018 - 2022). "Second generation XVAs, risk measures, and machine learning techniques."
  • Sharu Chardul, Université de Bordeaux, PhD Student (2020-2024). "Infinite-horizon stochastic control problems with Mc-Kean interactions and applications to long-term investment with distributional target"
  • Hugues Chenet, (2021-2022) University College London, Honorary Senior Researcher. Expert in climate and sustainable finance.
  • Pierre Del Moral, INRIA, Scientific collaborator (2018 - 2019). "Monte Carlo methods for extreme events"
  • Célia Escribe, Ecole polytechnique and ADEME, PhD student (2021-2024). "Optimized energy outlook and robustness to uncertainties for a carbon neutrality objective".
  • Thomas Galtier, Ecole polytechnique and EDF, PostDoc Researcher (2016 - 2020). "Accelerated Monte-Carlo methods for Piecewise Deterministic."
  • Ying Jiao, Univ. Lyon 1, Professor. Expert in credit risk, information modeling, approximation of large portfolio
  • Clara Lage, Ecole polytechnique, (2020-2022). "Multi-stage optimization and uncertainty analysis, applied to transversal reverse stress test."
  • Alex Lambert, PhD student (2017-2020). "Statistical Learning of vector-Valued Functions with Operator, random Fourier Features."
  • Nisrine Madhar, PhD Student (2021-2024). "Detection of anomalies by machine learning and applications to risk control in finance"
  • David Métivier, Ecole polytechnique, (2020-2022). "Climate change resilience of the nuclear and renewable energy production system. Simulation methods for complex systems for testing resilience to climate change."
  • Arianna Mingone, Ecole polytechnique et Zeliade Systems, (2020-2023). "Advanced implied volatility modeling for risk management and central clearing".
  • Manon Rivoire, Ecole polytechnique and ESILV (2020-2024). "Risk metrics in finance, back testing, sensitivity, robustness."
  • Bouazza Saadeddine, Université d'Evry-Val-d'Essonne and CACIB, PhD student (2018 - 2022). "Supervised learning on models in quantitative finance: portfolio management, order book, hedging of risks and other strategies."
  • Anne Sabourin, (2019-2020) Telecom Paristech, Assistant Professor . Expert in statistical learning and extreme value theory.
  • Mekonnen Tadese , Sorbonne Université and Ecole polytechnique (2023 - 2024)." Sensitivity analysis of financial markets: A radner equilibrium approach"
  • Elodie Vernet, Ecole polytechnique, Assistant Professor (2018 - 2019). "Bayesian Non Parametric"
  • Wanqing Wang, Ecole polytechnique, PhD Student (2020-2023). "Approximation and simulation of reflected backward stochastic differential equations, applications in finance. "
  • Zoltan Szabo, (2020-2021) Ecole polytechnique, Senior Researcher