About

Agnes Tourin holds an undergraduate degree from the Mines ParisTech engineering school and a Ph.D. in Applied Mathematics from the University Paris-Dauphine. She has served as an Assistant Professor at the University of Paris-Dauphine, a limited term Assistant Professorship at the University of Toronto, and a tenure track Associate Professorship at McMaster University. In 2002, she was awarded a University Faculty Award by NSERC. She was also a visiting member of the Fields Institute in Toronto during 2003-2004 and received a research immersion fellowship from the Fields Institute in 2010. Currently, she is an Industry Professor at NYU Tandon School of Engineering, where she oversees the capstone program and has served as Interim Chair of her department in 2023. Her research interests include optimal decision models under uncertainty, optimal investment strategies, mean field games in economics, and applied nonlinear partial differential equations.

Research topics

• Computer Science
• Finance
• Economics
• Mathematics
• Mathematical optimization
• Econometrics
• Actuarial science
• Applied mathematics
• Business

Selected publications

• Incorporating Climate Risk into Credit Risk Modeling: An Application in Housing Finance

  FinTech · 2023 · 8 citations

  Senior authorCorresponding
  • Actuarial science
  • Business
  • Economics

  This paper examines the integration of climate risks into structural credit risk models. We focus on applications in housing finance and argue that mortgage defaults due to climate disasters have different statistical features than default due to household-specific reasons. We propose two models incorporating climate risk based on two separate default definitions. The first focuses on default as a response to a decrease in home value, and the second defines default as a consequence of missed mortgage payments. Using mortgage performance data during Hurricane Harvey, we conduct an empirical study whose results suggest that climate events are potentially another source of undiversifiable credit risk affecting homeowners’ ability to make contractual monthly payments. We also show that incorporating this climate-specific default process may capture additional uncertainty in default probability assessments.

  PublisherOA PDFDOI

• Review of: "An Alternative to the Merton Jump-Diffusion Model: A Simple, Explicit Formula"

  2023-02-22

  peer-reviewOpen access1st authorCorresponding
  PublisherDOI

• A Finite Difference Scheme for Pairs Trading with Transaction Costs

  Computational Economics · 2021 · 8 citations

  Senior authorCorresponding
  • Computer Science
  • Mathematical optimization
  • Mathematics
  PublisherDOI

• Measuring the diversification of a loan portfolio

  International Journal of Bonds and Derivatives · 2020-01-01

  article1st authorCorresponding

  We analyse the effect of correlations on a portfolio of loans. Building on an earlier idea developed at Moody's (Witt, 2004), we define the diversification score as the number of independent loans in an equivalent credit portfolio with the same expected loss and risk level. We perform Monte Carlo simulations to analyse the applicability of this method for two risk measures, namely value at risk and the expected shortfall.

  PublisherDOI

• Measuring the diversification of a loan portfolio

  International Journal of Bonds and Derivatives · 2020-01-01

  article1st authorCorresponding

  We analyse the effect of correlations on a portfolio of loans. Building on an earlier idea developed at Moody's (Witt, 2004), we define the diversification score as the number of independent loans in an equivalent credit portfolio with the same expected loss and risk level. We perform Monte Carlo simulations to analyse the applicability of this method for two risk measures, namely value at risk and the expected shortfall.

  PublisherDOI

• Optimal pairs trading with time-varying volatility

  International Journal of Financial Engineering · 2016-09-01

  articleOpen accessSenior author

  In this paper, we propose a pairs trading model that incorporates a time-varying volatility of the constant elasticity of variance type. Our approach is based on stochastic control techniques; given a fixed time horizon and a portfolio of two cointegrated assets, we define the trading strategies as the portfolio weights maximizing the expected power utility from terminal wealth. We compute the optimal pairs strategies by using a finite difference method. Finally, we illustrate our results by conducting tests on historical market data at daily frequency. The parameters are estimated by the generalized method of moments.

  PublisherOA PDFDOI

• Model-based pairs trading in the bitcoin markets

  Quantitative Finance · 2016-11-04 · 70 citations

  articleSenior authorCorresponding

  We propose an optimal dynamic pairs trading strategy model for a portfolio of cointegrated assets. Using stochastic control techniques, we compute analytically the optimal portfolio weights and relate our result to several other strategies commonly used by practitioners, including the static double-threshold strategy. Finally, we apply our model to a bitcoin portfolio and conduct an out-of-sample test with historical data from three exchanges, with two cointegrating relations.

  PublisherDOI

• Optimal bank management under capital and liquidity constraints

  Journal of Financial Engineering · 2014-08-21

  articleSenior author

  We propose a model of a bank that invests in both liquid and illiquid assets and whose goal is to maximize its shareholders' profit while satisfying some regulatory constraints. We study the sensitivity of the shareholders' gain and optimal portfolio allocations, as well as the associated bondholders' payoff, to the minimal capital requirement and liquidity ratio. We find that tightening the liquidity constraint adversely affects their rates of return, while preventing some large losses that occur when the portfolio is very illiquid. Stiffening the minimal capital requirement penalizes the shareholders but seems to have little influence on the bondholders.

  PublisherDOI

• ON THE CREDIT RISK OF SECURED LOANS WITH MAXIMUM LOAN-TO-VALUE COVENANTS

  International Journal of Theoretical and Applied Finance · 2014-12-01

  articleSenior author

  We propose a framework for analyzing the credit risk of secured loans with maximum loan-to-value covenants. Here, we do not assume that the collateral can be liquidated as soon as the maximum loan-to-value is breached. Closed-form solutions for the expected loss are obtained for nonrevolving loans. In the revolving case, we introduce a minimization problem with an objective function parameterized by a risk reluctance coefficient, capturing the trade-off between minimizing the expected loss incurred in the event of liquidation and maximizing the interest gain. Using stochastic control techniques, we derive the partial integro-differential equation satisfied by the value function, and solve it numerically with a finite difference scheme. The experimental results and their comparison with a standard loan-to-value-based lending policy suggest that stricter lending decisions would benefit the lender.

  PublisherDOI

• A Regulated Bank Optimal Portfolio with Correlated Liquid and Illiquid Assets

  SSRN Electronic Journal · 2014-01-01

  articleOpen accessSenior author
  PublisherDOI

Frequent coauthors

• Thaleia Zariphopoulou

  The University of Texas at Austin

  8 shared

• Elisabeth Rouy

  École Centrale de Lyon

  6 shared

• Fabian Astic

  Moody's Corporation (United States)

  5 shared

• Olivier Alvarez

  Université de Rouen Normandie

  4 shared

• James E. Hodder

  University of Konstanz

  4 shared

• Pierre‐Louis Lions

  4 shared

• Mariko Arisawa

  University of Cambridge

  3 shared

• Robert Almgren

  3 shared

Awards & honors

• University Faculty Award by NSERC (2002)
• research immersion fellowship by the Fields Institute (2010)