Vivien Brunel

De Vinci Research Center


Vivien Brunel

PROFESSIONAL EXPERIENCE2014-present Head of Risk and Capital Modelling, Société Générale, Paris 2010-2014 Head Economic and regulatory capital, Société Générale, Paris 2009-2010 Deputy Head Model Audit and Governance, Société Générale, Paris 2005-2008 Credit structurer, Société Générale Asset Management Alternative Investments, Paris 2002-2005 Credit analyst, RAROC project, Société Générale, Paris 1999-2001 Quantitative analyst, Direction de la Recherche et de l’Innovation, HSBC, Paris

vivien.brunel@devinci.fr

Publications


Journal Articles

Vivien Brunel

Operational risk modelled analytically II: classification invariance (Journal Article)

Risk Magazine, on line, 2016.

(BibTeX)

Vivien Brunel

Loan Classification under IFRS9 (Journal Article)

Risk Magazine, on line, 2016.

(BibTeX)

Vivien Brunel, Stéphane Crépey, Monique Jeanblanc

Expected Credit Loss vs Credit Value Adjustment: a comparative Analysis (Journal Article)

Bankers Markets Investors, (141), pp. 6-18, 2016.

(BibTeX)

Vivien Brunel

Operational risk modelled analytically (Journal Article)

Risk magazine, 2014.

(Abstract | Links | BibTeX)

Vivien Brunel

Consistent capital charges with uncertain default probabilities (Journal Article)

CreditFlux, 2012.

(BibTeX)

Vivien Brunel

Dealing with seller’s risk (Journal Article)

Risk magazine, 2006.

(Abstract | Links | BibTeX)

Vivien Brunel

Pricing credit derivatives with uncertain default probabilities (Journal Article)

Wilmott Magazine, 2006.

(Abstract | Links | BibTeX)

Vivien Brunel

Super-replication problem in a jumping financial market (Journal Article)

Finance : revue de l'Association Française de Finance, 23.2002 (Hors-série), pp. 29-45, 2002, ISSN: 0752-6180.

(Abstract | Links | BibTeX)

Vivien Brunel, Jérôme Legras

On the Optimal growth rate strategy: Long term investment strategies legras brunel (Journal Article)

Banque & Marchés, mars-avril (57), 2002.

(Abstract | Links | BibTeX)

Vivien Brunel, Pierre de La Noue

Les dérivés de crédit : quelle utilisation ? (Journal Article)

Quants, (40), 2001.

(Abstract | Links | BibTeX)

Books

Vivien Brunel, Roger Benoit

Le risque de crédit : des modèles au pilotage de la banque (Book)

Economica, Paris, France, 2014, ISBN: 978-2-7178-6727-5.

(Abstract | Links | BibTeX)




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