Olivier Le Courtois

Department of Economics and Finance

Olivier Le Courtois is a Professor at emlyon business school.

EDUCATION

• Habilitation
• Ph.D. in Management Science
• Master in Financial and Actuarial Studies
• Agrégation de sciences physiques
• Alumnus of Ecole Normale Supérieure de Lyon
• Designations: Fellow of the Society of Actuaries (FSA), CFA, CERA, FRM

Website: www.olivierlecourtois.com

AWARDS

• Kulp-Wright award granted by the American Risk and Insurance Association (Boston, 2016) for the book « Extreme Financial Risks and Asset Allocation »
• Best paper award at the AFIR/ERM conference (Sydney, 2015) for « Inside the Solvency 2 Black Box: NAVs and SCRs under an LSMC approach »
• Best paper award at the international congress of actuaries (Cap Town, 2010) for « A Study on VaR and Lévy Processes »
• Best paper award in the North American Actuarial Journal in 2006
• Best paper award in dérivatives at the Eastern Finance Association conference (New Orleans, 2007) for « Pricing Derivatives with Barriers in a Stochastic Interest Rate Environment »
• Best paper award in revue Finance in 2005
• SCOR PhD award (2004)

EXPERTISE

• Stock Price Modeling
• Derivatives Pricing
• Capital Structure of the Firm
• Portfolio and Risk Management
• Fair valuation of Life Insurance Contracts
• Bank Deposit Guarantees

Spoken languages : French, English, Spanish, Japanese

COURSES TAUGHT

• Derivatives Pricing
• Introduction to the Risk Management of Financial Institutions
• Model Implementation

PUBLICATIONS

ACADEMIC ARTICLES (29)

‑ Le Courtois, Olivier. 2018. Some Further Results on the Tempered Multistable Approach.Asia-Pacific Financial Markets, FORTH

‑ CRAINICH, David, EECKHOUDT, Louis, , Le Courtois, Olivier. 2017. Health and portfolio choices: a diffidence approach.European Journal of Operational Research, 259 (1): 273-279 p.

‑ FLORYSZCZAK, Anthony, Le Courtois, Olivier, , MAJRI, Mohamed. 2016. Inside the Solvency 2 Black Box: Net asset values and solvency capital requirements with a least-squares Monte-Carlo approach.Insurance: Mathematics and Economics, 71: 15-26 p.

‑ Le Courtois, Olivier, MENONCIN, Francesco. 2015. Portfolio optimisation with jumps: Illustration with a pension accumulation scheme.Journal of Banking and Finance , 60: 127-137 P.

‑ HAINAUT, Donatien, Le Courtois, Olivier. 2014. An intensity model for credit risk with switching Lévy processes.Quantitative Finance, 14 (8): 1453-1465 P.

‑ LE COURTOIS, Olivier, Walter, Christian. 2014. The Computation of Risk Budgets under the Lévy Process Assumption.Finance, 35 (2)

‑ CRAINICH, David, EECKHOUDT, Louis, , LE COURTOIS, Olivier. 2014. Decreasing downside risk aversion and background risk.Journal of Mathematical Economics, 53: 59-63 P.

‑ Le Courtois, Olivier, Randrianarivony, Rivo. 2013. On the Bankruptcy Risk of Insurance Companies.Finance, 34 (1): 43-72 P.

‑ Le Courtois, Olivier, NAKAGAWA, Hidetoshi. 2013. On Surrender and Default Risks .Mathematical Finance, 23 (1): 143-168 P.

‑ Bernard, Carole, Le Courtois, Olivier. 2012. Performance Regularity: A New Class of Executive Compensation Packages.Asia Pacific Financial Markets, 19 (4): 353-370 P.

‑ Le Courtois, Olivier, Walter, Christian. 2012. Concentration des portefeuilles boursiers et asymétrie des distributions de rentabilités d'actifs.Journal de la Société Française de Statistique, 153 (2): 1-20 P.

‑ Bernard, Carole, Le Courtois, Olivier. 2012. Asset Risk Management of Participating Contracts.Asia-Pacific Journal of Risk and Insurance, 6 (2): 21 P.

‑ Bernard, Carole, Le Courtois, Olivier, , Quittard-Pinon, François. 2010. Protection of a company issuing a certain class of participating policies in a complete market framework.North American Actuarial Journal, 14 (1): 131-149 P.

‑ Le Courtois, Olivier. 2010. Mathematical Methods for Financial Markets: JEANBLANC Monique, YOR Marc, CHESNEY Marc (Book review).Finance, 31 (1): 81-95 P.

‑ Le Courtois, Olivier, Quittard-Pinon, François. 2008. The optimal capital structure of the firm with stable Lévy assets returns.Decisions in Economics and Finance, 31 (1): 51-72 P.

‑ LE COURTOIS, Olivier, QUITTARD-PINON, François. 2008. Fair Valuation of Participating Life Insurance Contracts with Jump Risk.Geneva Risk and Insurance Review, 33 (2): 106-136 P.

‑ Bernard, Carole, Le Courtois, Olivier, , Quittard-Pinon, François. 2008. Pricing derivatives with barriers in a stochastic interest rate environment .Journal of Economic Dynamics and Control, 32 (9): 2903-2938 P.

‑ Le Courtois, Olivier, Quittard-Pinon, François. 2006. Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model .Asia Pacific Financial Markets, 13 (1): 11-39 P.

‑ Bernard, Carole, Le Courtois, Olivier, , Quittard-Pinon, François. 2006. Development and pricing of a new participating contract .North American Actuarial Journal, 10 (4): 179-195 P.

‑ Bernard, Carole, LE COURTOIS, Olivier. 2006. Les options parisiennes et leurs applications.Banque et Marchés, (82): 81-90 P.

‑ Bernard, Carole, Le Courtois, Olivier, , Quittard-Pinon, François. 2005. A new procedure for pricing parisian options.Journal of Derivatives, 12 (4): 45-54 P.

‑ Bernard, Carole, Le Courtois, Olivier, , Quittard-Pinon, François. 2005. Market value of life insurance contracts under stochastic interest rates and default risk.Insurance: Mathematics and Economics , 36 (3): 499-516 P.

‑ Bernard, Carole, LE COURTOIS, Olivier, , QUITTARD-PINON, François. 2005. A Study of Mutual Insurance for Bank Deposits.Geneva Risk and Insurance Review, 30 (2): 129-146 P.

‑ Bernard, Carole, LE COURTOIS, Olivier, , QUITTARD-PINON, François. 2005. Évaluation en Fair Value de Contrats Participatifs.Finance, 26 (1): 73-107 P.

‑ Le Courtois, Olivier, Quittard-Pinon, François. 2004. Evaluation Numérique des Options Parisiennes.Banque et Marchés, 69: 30-37 P.

‑ Le Courtois, Olivier, Quittard-Pinon, François. 2004. Measure Changes in Finance.Finance India, 18(1): 14

‑ Le Courtois, Olivier, Quittard-Pinon, François. 2004. Changes of probability measure in finance and insurance: A synthesis.Finance, 25: 95-120 P.

‑ Le Courtois, Olivier. 2004. Trésorerie d'Entreprise : Hubert de la Bruslerie (Book review).Finance, 25 (2): 53-55 P.

‑ Le Courtois, Olivier. 2003. Modelling Stock Returns with Lévy Processes.Banque et Marchés, 66: 36-46 P.

BOOKS (6)

‑ Le Courtois, Olivier, Walter, Christian. 2014. Extreme Financial Risks and Asset Allocation. Series in Quantitative Finance: Volume 5.: Imperial College Press XVII + 357 P.

‑ Le Courtois, Olivier, Walter, Christian. 2014. Extreme Financial Risks and Asset Allocation . London: Imperial College Press XVII-357 p.

‑ Le Courtois, Olivier, Walter, Christian. 2012. Risques financiers extrêmes et allocation d'actifs.: Economica 368 P.

‑ Le Courtois, Olivier, Walter, Christian. 2012. Risques financiers extrêmes et allocation d'actifs.: Economica 368 p.

‑ Olivieri, Annamaria, Pitacco, Ermanno, , LE COURTOIS, Olivier. 2008. Assurance-vie: Evaluer les contrats et les portefeuilles.: Pearson Education 250 P.

‑ Olivieri, Annamaria, Pitacco, Ermanno, , Le Courtois, Olivier. 2008. Assurance-vie: évaluer les contrats et les portefeuilles. Paris: Pearson Education 250 p. BOOK CHAPTERS (2) ‑ Le Courtois, Olivier, Walter, Christian. 2016. Lévy Processes and Extreme Value Theory., Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications. : New Jersey : John Wiley & Sons, 171-194 p.

‑ Le Courtois, Olivier. 2010. Sur la théorie de la ruine., Nouvelles normes financières : S'organiser face à la crise. : Springer, 43-58 P.