Noureddine Lehdili - Africa Business School
Applied Mathematics, Quantitative Finance, Financial Risk-Management
Université Paris Dauphine - BIM

Presentation

Noureddine Lehdili holds a PhD in Applied Mathematics (1996) and a DEA in Economics (1998). He is currently Leader Expert in charge of quantitative analysis of risks – the “Market and Counterparty Risk Modeling” Division within the Enterprise Risk Management (ERM) department of NATIXIS Bank. In parallel, Noureddine is a member of the board of the Doctoral School CARNOT-PASTEUR (Université de Bourgogne), Senior Lecturer in Finance at the Paris-Dauphine University (Master BIM, 2017-…) at ENSAE (MS Finance et Gestion des Risques, 2011-2018), and Affiliate Professor of Applied Mathematics and Finance at the University Mohamed IV Polytechnic of Benguérir (Morocco). Noureddine began his career as a lecturer-researcher at the University of Montpellier II, then at the University of Trier (Trier – Germany). In 1999, he joined Credit Agricole Corporate and Investment Bank (Crédit Agricole Indosuez, currently known as CACIB) as head of model validation. In 2005, he joined NATIXIS Bank as head of the quantitative risk analytics. He has published papers in scientific magazines and intervene for the benefit of French and Moroccan universities to provide courses and he organize conferences in Finance and Risk Management

Publications

[1] Abdellatif Moudafi & Noureddine Lehdili, From Progressive Decoupling of Linkages in Variational inequalities to Fixed-point problems March 2020. DOI: 10.13140/RG.2.2.19832.80645
[2] Noureddine Lehdili, Pascal Oswald, & Harold Gueneau. Market Risk Assessment of a trading book using Statistical and Machine Learning (Preprint), November 2019
[3] Noureddine Lehdili. & Arshia Givi. Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to Default Risk Charge. Risk and Decision Analysis, 2018
[4] Noureddine Lehdili. & Arshia Givi On the gap risk management for financial products with discontinuous payoffs (Preprint)
[5] Noureddine Lehdili & Bernard Lemaire. The barycentric proximal method. Communications on Applied Nonlinear Analysis 6(2) · January 1999
[6] Noureddine Lehdili & Ouled Ahmed Salem. Proximal Methods: Decomposition and Selection. Optimization, Lecture Notes in Economics and Mathematical Systems, vol 481. Springer, Berlin, Heidelberg.
[7] Noureddine Lehdili & Abdellatif Moudafi. Combining The Proximal Algorithm And Tikhonov Regularization. January 1996 Convex Optimization 37(3):239-252

Publication cluster

Quantitative Finance
Market and Credit Risk
Statistics and Machine Learning
Applied Mathematics

Business experiences in similar programs

Noureddine has developed a strong expertise on topics as finance quantitative and model risk management with an experience of 25 years within several Corporate and Investment Banks.
He has published papers scientific magazines and intervene for the benefit of French and Moroccan universities to provide courses and he organize conferences in Finance and Risk Management.