Professor in Quantitative Finance ​- Qualified Financial Advisor - Senior Consultant in Asset Management​

Other Activities

Academic Referee for:

Revue Economique, Revue d'Economie Politique, Annales d'Economie et de Statistiques, Banques et Marchés, Economie et Prévisions, Actualité Economique, Cahiers Economiques de Bruxelles, Finance, Journal of Forecasting, Journal of Multinational Finance, European Journal of Finance, Financial Modelling, European Financial Management Journal, Quantitative Finance, Journal of Statistical Planning and Inference, European Journal of Operational Research, Journal of Empirical Finance, Bankers Markets and Investors, Chapman&Hall, Journal of Economic Surveys, Journal of Banking and Finance, Journal of Risk, European Journal of Operational Research, Journal of the Operational Research Society, Physica A...

Edition

Associate Editor of The European Journal of Finance (2002-2005).

Administrative Activities

  • Lead Researcher of the Research Project on the theme “Performance Metrics” (Global Risk Institute – 2015/2018) - please have a visit at: www.performance-metrics.eu
  • Lead Researcher of the Research Project on the theme “Systemic Risk Measures” (Global Risk Institute – 2013/2016, with the technical support by the Foundation of Risk IdR 2014-2016) - please have a visit at: www.systemic-risk-hub.org
  • Head of the Speciality in Quantitative Finance, M.Sc. “Economics Engineering” at the University of Paris-Dauphine (2014 - ).
  • Head of the Speciality in Finance, Master “Banque-Finance-Assurance” and “Financial Engineering” at the University of Orléans (2012-2013).
  • Co-organizer of the “Hedge funds workshop” - (Cluster CNRS) University of Orléans – April 2012 and April 2013.
  • Member of Selection Committees (comité de selection) at the University of Paris-X (2012) and at the University of Evry (2004-2008).
  • Member of the Referee Committee for submission in Financial Econometrics for the AFSE Annual Conference (2012).
  • Associate Researcher of the Research Project (IdR) on the theme “Multivariate Risk Management” (Italian Ministry of Education – 2012).
  • President of the A-Level Jury (baccalauréat) in Economics (Lycée Condorcet – Romainville, 93 – 2011).
  • Member of the Professional Fellows Committee of the Europlace Institute of Finance (2007-2012).
  • Member of the “Best PhD in Finance Award” Committee (AFFI/Euronext 2009).
  • Co-organizer of the Europlace Job Market in Finance held in May 2005 (Paris, ESCP-EAP) and in November 2007 (Paris, Mutualité).
  • Co-director of the joint program in Finance between the Higher School of Economics (Moscow, Russia) and the University of Paris-1 (2001-2007).
  • International Expert in Asset Management for the World Bank - Pension Fund Project (June-July 2005).
  • International Expert in Finance for the Austrian Science Foundation - University of Vienna Finance (September 2004).
  • Member of the Admission Jury (2000-2004) for ESCP-Europe, for the Masters in Finance (Master 2 Recherche and Master 2 Pro) of the University Paris-1, for the Master in Finance of ESA (Beirut).
  • Vice-president and co-founder of the “Finance-sur-Seine” Association and “Network for Financial Research” (NFR), joint research association of Paris-1 and the ESCP-EAP (2000-2004).
  • Co-director of the DEA Monnaie-Banque-Finance (Master Program in Finance) at the University of Paris-1 (2001-2003).
  • Organizer of the TEAM/CNRS Paris-1 Weekly Internal Seminar (1998-2001).
  • Member of the Scientific Committee of the TEAM/CNRS Doctoral Program Commission (1998-2000).

Scientific and Organization Committees

  • Member of the Scientific Committee of the French Finance Association (AFFI) conference held in June 2007 (Bordeaux), June 2008 (Lille), June 2009 (Brest) and June 2016 (Liège).
  • Member of the Scientific Committee of the VIIth International Conference MAF, April 2016 (University Paris-Dauphine).
  • Member of the Scientific Committee of the “Micro-economics Days” (Journées de Micro-économie Appliquée) held in June 2002 (Rennes), June 2003 (Montpellier), June 2004 (Lille), June 2005 (Hammamet), June 2006 (Nantes), June 2007 (Fribourg), June 2008 (La Réunion), June 2009 (Dijon), June 2011 (Sousse), June 2013 (Nice), June 2014 (Clermont-Ferrand), June 2015 (Montpellier) and June 2016 (Besançon).
  • Member of the Scientific Committee of the Brooklyn-Dauphine-Toronto Conference on "Systemic Risk", Brooklyn College, June 2015, New-York.
  • Member of the Scientific Committee of the Workshop on "Pensions, Insurance and Savings", University Paris-Dauphine, held in May 2015 and May 2016, Paris.
  • Member of the Scientific Committee of the Paris Financial Management Conference held in September 2013 (Paris – IPAG).
  • Member of the Scientific Committee of the INFER Conference (Orléans, June 2013).
  • Member of the Scientific Committee of the “Applied Econometric Association Financial Market Conference” in April 2004 (Paris) and in October 2006 (Athens).
  • Member of the Scientific Committee and co-organizer of the “Forecasting Financial Markets Conferences”, held in June 2003 and in June 2004 at ESCP-Europe (Paris).
  • Co-organizer of the Workshop on “Multi-moment Capital Asset Pricing Models and Related Topics”, “Finance-sur-Seine” Association, held on the 29th of April 2002 at ESCP-Europe (Paris).
  • Co-chairman of the first European Investment Review Annual Conference held in Paris in September 2001.

Ph. D. Jury

  • Patrick Kouontchou, (2016), “Empirical Essays in Finance: from Risk to Asset Valuation with Special Datas”, PhD in Finance (HdR) at the University of Paris-Dauphine, under the supervision of Pr. Bertrand Maillet; defense expected in 2016.
  • Elisabeth Howard, (2015), “Dynamic Volatility and Correlation in Emerging Markets ”, PhD in Economics at the University of Paris-Dauphine, under the supervision of Pr. Sanvi Avouyi-Dovi; defense expected in 2016.
  • Hela Maalej, (2015), “Essays on Stochastic Dominance and its Applications in Portfolio Management”, PhD in Finance at the University of Cergy-Pontoise, under the supervision of Pr. Jean-Luc Prigent, 2nd of July 2015.
  • Emily A. Gallagher, (2015), “Money Market Funds, Shareholder Behavior, and Financial Stability”, PhD in Economics at the University of Paris-1, under the supervision of Pr. Jean-Bernard Chatelain, 28th of May 2015.
  • Abdallah Ben Saïda, (2014), “Essays on Diversification and Credit Funds with Copulae”, PhD in Finance at the University of Cergy-Pontoise, under the supervision of Pr. Jean-Luc Prigent, 10th of December 2014.
  • Alain Coën, (2014), “Errors in Variables and Linear Asset Pricing Models”, PhD in Finance (HdR) at the University of Paris-1, under the supervision of Pr. Christian de Boissieu, 2nd of December 2014.
  • Grégory Jannin, (2013), “From Performance Measurement to Investors’ Preferential Allocation”, PhD in Finance at the University of Paris-1, under the co-supervision of Pr. Constantin Mellios and Pr. Bertrand Maillet, 12th of December 2013.
  • Killian Lemoine, (2013), “Essays on Asset Allocations for Long-term Investors”, PhD in Economics at the University of Paris-Dauphine, under the co-supervision of Dr. Najat El Mekkaoui and Philippe Bernard, 11th of December 2013.
  • Guillaume Queffelec, (2013), “Hedge Fund Strategies, Market Liquidity and Volatility Excess”, PhD in Economics at the University of Rennes-1, under the co-supervision of Pr. Franck Martin and Pr. Jean-Sébastien Pentecôte, 10th of December 2013.
  • Viou Aïnou, (2013), “Longevity Risk and Hedging Product Evaluation”, PhD in Finance at the University of Lyon-1, under the supervision of Pr. François Quittard-Pinon, 11th of July 2013.
  • Jaouad Madkour, (2013), “Non-linear Modelling and Forecasting”, PhD in Economics at the University of Orléans, under the co-supervision of Pr. Christophe Hurlin and Pr. Gilbert Colletaz, with Honors, 19th of April 2013.
  • Mai Lan Nguyen, (2012), “Financial Contagion and Interactions between Financial Markets during Global Crises”, PhD in Finance at the University of Rennes-1, under the supervision of Pr. Franck Martin, with Honors, 29th of November 2012.
  • Naceur Naguez, (2011), “Portfolio Management and Hedge Funds: Performance Measure with Johnston Systems”, PhD in Finance at the University of Cergy, under the supervision of Pr. Jean-Luc Prigent, with Honors, 7th of December 2011.
  • Benjamin Hamidi, (2010), “Quantile Regression in Financial Applications”, PhD in Economics at the University Paris-1, under the supervision of Pr. Thierry Chauveau and Bertrand Maillet, with Honors, 22nd of June 2010.
  • Hechmi Ben Hameur, (2009), “Garanteed Products and Attitude to Risk”, Ph.D. in Finance of the University of Cergy under the supervision of Pr. Jean-Luc Prigent, with Honors, 3rd of December 2009.
  • Paul Merlin, (2009), “Neural Network Applications for Alternative Investments”, Ph.D. in Economics of the University Paris-1 under the supervision of Pr. Thierry Chauveau, with Honors, 22nd of June 2009.
  • Patrick Kouontchou, (2008), “High Frequency Data in Finance: Four Empirical Essays”, Ph.D. in Economics of the University Paris-1 under the supervision of Pr. Thierry Chauveau, with Honors, 20th of June 2008.
  • Kamel Laaradh, (2007), “Pension Fund Performance Measures and Persistence: the UK Case”, Ph.D. in Finance of the University of Orléans under the supervision of Pr. Cyrille Piatecky, with Honors, 22nd of November 2007.
  • Stéphane Rinaudo, (2003), “Dynamic of Choices: Model and Applications”, Ph.D. in Economics of the University Paris-1 under the supervision of Pr. Louis Levy-Garboua, with Honors, 4th of September 2003.

Ph. D. Students

  • Patrick Kouontchou, (2014 - 2015), “Empirical Essays in Finance: from Risk to Asset Valuation with Special Datas”, PhD in Finance (HdR) at the University Paris-Dauphine, defense expected in 2016 – Quantitative Analyst within ABN AMRO and Reader at the University of Lorraine (CEREFIGE).
  • Grégory Jannin, (2009 - 2013), “From Performance Measurement to Investors’ Preferential Allocation”, PhD in Finance at the University Paris-1 under the co-supervision of Pr. Constantin Mellios (Paris-1), obtained on the 12th of December 2013 – Operations Manager within JMC Asset Management LLC (NYC).
  • Benjamin Hamidi, (2006 - 2010), “Quantile Regression Applications in Finance”, PhD in Economics at the University Paris-1 under the co-supervision of Pr. Thierry Chauveau (Paris-1), obtained on the 22nd of June 2010 with Honors (All Distinctions) – Senior Quantitative Portfolio Manager within ABN AMRO and Adjunct Lecturer at the University of Paris-1.
  • Paul Merlin, (2005 - 2009), “Neural Network Applications for Alternative Investments”, PhD in Economics from the University Paris-1 under the co-supervision of Pr. Thierry Chauveau, obtained on the 22nd of June 2009 with Honors (All Distinctions) – Head of Risk Management within ABN AMRO.
  • Patrick Kouontchou, (2004 - 2008), “High Frequency Data in Finance: Four Empirical Essays”, PhD in Economics at the University Paris-1 under the co-supervision of Pr. Thierry Chauveau, obtained on the 20th of June 2008 with Honors (All Distinctions) – Partner within Variances and Reader at the University of Lorraine (CEREFIGE).