Oussama Marzouk

Oussama Marzouk received a PhD in financial engineering from HEC Montréal in June 2017 and is currently a Senior Advisor at the National Bank of Canada since April 2018, where he is in charge of doing risk oversight on the XVA desk. His research interests mainly cover counterparty risk ad XVA topics. Before joining the National Bank of Canada, Oussama worked for two years as a Senior Consultant in Financial Advisory Services at Deloitte Canada. Oussama is also teaching graduate financial engineering classes at Université du Québec à Montréal. His research interests mainly cover counterparty risk and XVA topics.

Articles by Oussama Marzouk

Original research

Counterparty risk: credit valuation adjustment variability and value-at-risk

This paper proposes an efficient method to obtain the distribution of the CVA at a given risk horizon, from which risk measures such as the CVA VaR can be computed.

18 Jun 2019

Original research

Wrong-way risk of interest rate instruments

This paper investigates wrong-way risk effects on the pricing of counterparty credit risk for interest rate instruments.

31 May 2019

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Alternatively you can request an individual account here