Background
I am a postdoctoral researcher in mathematical and actuarial finance at ENSAE Paris (CREST) and the Institut Louis Bachelier, working with Prof. Caroline Hillairet and Prof. Olivier Lopez on cyber risk for finance and insurance. We model cyber epidemics with stochastic multi-group SIR dynamics coupled to a granular model of firm growth, and translate them into firms’ revenue losses and the aggregate exceedance probability of a cyber-insurance portfolio. We also study optimal cybersecurity investment as a major–minor mean-field game, in which firms defend against a ransomware group that chooses when and how hard to strike. This work is part of the CyFi project, with the startup Citalid and the support of Bpifrance.
I completed a PhD in mathematical finance at Université Paris Cité, with research visits at Imperial College London, funded by a CIFRE grant with the Risk division of BPCE S.A. My thesis, Pricing and hedging of transition risk in credit portfolio, followed a carbon price from a multisectoral economy to firm values, default probabilities, collateral and the losses of a bank’s credit portfolio. I was co-advised by Jean-François Chassagneux, Antoine (Jack) Jacquier and Smail Ibbou.
I continue to work on climate risk. With agent-based models of heterogeneous firms and a bank, I study how physical and transition risk combine and how credit rationing turns them into cascading failures.
Outside research
- Regular runner and tennis player.
- Writer and philosopher; author of Les essais de Paukémil, l’intrus universel.
- Fan of basketball (Golden State Warriors), tennis (Novak Djokovic) and cycling.
- Traveler.
Contact
Email: sopgoui@lpsm.paris