Qualified Financial Advisor – regulated by the AMF (registered CIF within the CNCIF; n° ORIAS: 13000399 - www.orias.fr)
Executive Head of Research - Professor in Financial Economics

Topics

Quantitative Finance, Financial Econometrics, Financial Markets, Financial Crises, Volatility and Risk Management, Extremes, Systemic Risk, Asset Pricing, Portfolio Optimization, Asset Allocation, Pension Funds, Performance Measurement, Hedge Fund, International Finance.

Affiliations

AAAdvisors-QCG (ABN AMRO), Variances, LEO/CNRS – University of Orléans, and Risk Foundation Chair Dauphine-ENSAE-Groupama “Behavioral and Household Finance, Individual and Collective Risk Attitudes” (Louis Bachelier Institute).

Publications

Preliminary versions on some of my articles are available (automatically collected) on my Google Scholar, Social Science Research Network, Microsoft Academic Search, RePEc, Research Gate, Dblp, Cairn.INFO webpages.

Peer-reviewed Articles

  1. Maillet B. (with Bernard Ph., N. El Mekkaoui-De Freitas and A. Modesto), (2016), “D'un indice de détection d'anomalies à l'usage des investisseurs”, 22 pages – forthcoming in the Revue Economique.
  2. Maillet B. (with Boucher Ch. and P. Kouontchou), (2016), “Du risque des mesures de risque systémique”, Revue Economique (forthcoming: March 2016), 1-16.
  3. Maillet B. (with Hamidi B., Ch. Hurlin and P. Kouontchou), (2015), “A DARE for VaR”, Finance 36(1), 7-38.
  4. Maillet B. (with Tokpavi S. and B. Vaucher), (2015), “Global Minimum Variance Portfolio Optimisation under some Model Risk: A Robust Regression-based Approach”, European Journal of Operational Research 244(1), 289-299.
  5. Maillet B. (with Boucher Ch.), (2015), “Macroéconomie-en-risque”, Revue Economique 66(4), 769-782.
  6. Maillet B. (with Hamidi B. and J.-L. Prigent), (2014), “A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies”, Journal of Economic Dynamics and Control 46, 1-29.
  7. Maillet B. (with Boucher Ch., J. Daníelsson and P. Kouontchou), (2014), “Risk Models-at-Risk”, Journal of Banking and Finance 44, 72-92.
  8. Maillet B. (with Caporin M., G. Jannin and F. Lisi), (2014), “A Survey on the Four Families of Performance Measures”, Journal of Economic Surveys 28(5), 917–942.
  9. Maillet B. (with Boucher Ch., G. Jannin and P. Kouontchou), (2013), “An Economic Evaluation of Model Risk in Long-term Asset Allocations”, Review of International Economics 21(3), 475-491.
  10. Maillet B. (with Boucher Ch.), (2013), “Learning by Failing: A Simple Buffer for VaR”, Financial Markets, Institutions & Instruments Journal 22(2), 113-127.
  11. Maillet B. (with Boucher Ch.), (2013), “Tijd voor revisie van Life-Cycle Fondsen”, VBA Journaal, Spring 2013, 28-32.
  12. Maillet B. (with Boucher Ch., B. Hamidi and P. Kouontchou), (2012), “Une évaluation économique du risque de modèle pour les investisseurs de long-terme”, Revue Economique 63(3), 591-600.
  13. Maillet B. (with Boucher Ch.), (2012), “Prévoir sans persistance”, Revue Economique 63(3), 581-590.
  14. Maillet B. (with Boucher Ch.), (2011), “Une analyse temps-fréquences des cycles financiers”, Revue Economique 62(3), 441-450.
  15. Maillet B. (with Hurlin Ch. and P. Kouontchou), (2010), “Un MEDAF à plusieurs moments réalisés”, Brussels Economic Review 53(3-4), 457-480.
  16. Maillet B. (with Hamidi B. and P. Kouontchou), (2010), “L’approche DARE pour une mesure de risque diversifiée”, Revue Economique 61(3), 635-644.
  17. Maillet B. (with Médecin J.-Ph. and Th. Michel), (2010), “High Watermarks of Market Risks”, Journal of Mathematical Methods in Economics and Finance 3(2), 119-139.
  18. Maillet B. (with Merlin P., A. Sorjamaa and A. Lendasse), (2010), “X-SOM and L-SOM: A Double Classification Approach for Missing Value Imputation”, Neurocomputing 73(7-9), 1103-1108.
  19. Maillet B. (with Sorjamaa A., P. Merlin and A. Lendasse), (2009), “A Non-linear Approach for Completing Missing Values in Temporal Databases”, European Journal of Economic and Social System 2009(1), 99-117.
  20. Maillet B. (with Hamidi B. and E. Jurczenko), (2009), “A CAViaR Time-Varying Proportion Portfolio Insurance”, Bankers, Markets & Investors 102, September-October, 4-21.
  21. Maillet B. (with Kouontchou P.), (2008), “Rose des vents, éventails et explosions d’étoiles sur le marché français”, Banque & Marchés 96, 42-62.
  22. Maillet B. (with Boucher Ch. and Th. Michel), (2008), “Do Misalignments Predict Aggregated Stock Market Volatility?”, Economics Letters 100(2), 317-320.
  23. Maillet B. (with Guinot Ch. and P. Rousset), (2006), “Understanding and Reducing Variability of SOM Neighborhood Structure”, Neural Networks 19(6-7), 838-846.
  24. Maillet B. (with Michel Th.), (2005), “The Impact of the 9/11 Events on the American and French Stock Markets”, Review of International Economics 13(3), 597-611.
  25. Maillet B. (with Michel Th.), (2005), “Technical Analysis Profitability when Exchange Rates are Pegged: A Note”, European Journal of Finance 11(6), 463-470.
  26. Maillet B. (with Jurczenko E. and B. Negréa), (2004), “A Note on Skewness and Kurtosis Adjusted Option Pricing Models under the Martingale Restriction”, Quantitative Finance 4(4), 479-488.
  27. Maillet B. (with Olteanu M. and J. Rynkiewicz), (2004), “Caractérisation des crises financières à l'aide de modèles hybrides (HMC-MLP)”, Revue d’Economie Politique 114(4), 489-506.
  28. Maillet B. (with Chauveau Th., S. Friederich, J. Héricourt, E. Jurczenko, C. Lubochinsky, Ch. Moussu, B. Négrea and H. Raymond-Feingold), (2004), “La volatilité des marchés augmente-elle ?”, Revue d’Economie Financière 74, 17-44.
  29. Maillet B. (with Michel Th.), (2003), “A Market Shock Index based on Multiscale Analysis”, Quantitative Finance 3(2), 88-97.
  30. Maillet B. (with Michel Th.), (2002), “Quelle a été l'ampleur de la crise financière de Septembre 2001 ? Une mise en perspective”, Revue d’Economie Financière 67, 269-276.
  31. Maillet B. (with Capelle-Blancard G. and E. Jurczenko), (2001), “The Approximate Option Pricing Model: Performances and Dynamic Properties”, Journal of Multinational Financial Management 11(4-5), 427-443.
  32. Maillet B. (with Michel Th.), (2000), “Further Insights on the Puzzle of Technical Analysis Profitability”, European Journal of Finance 6(2), 196-224.
  33. Maillet B. (with Raymond H.), (1998), “Variabilité du risque systématique : une étude du bêta sur le marché français des actions”, Banque & Marchés 37, 16-29.
  34. Maillet B. (with Michel Th.), (1998), “Une étude empirique de la performance de l'analyse technique sur le marché des changes”, Banque & Marchés 34, 12-22.
  35. Maillet B. (with Michel Th.), (1997), “Mesure de temps, information et distribution des rendements intra-journaliers”, Journal de la Société Statistique de Paris 138(4), 89-120.

Works in Submission (under progress)

Preliminary versions are available on my Social Science Research Network, Google Scholar, RePEc, Cairn.INFO webpages.

  1. Maillet B. (with Caporin M., M. Costola and G. Jannin), (2015), “On the (Ab)Use of Omega?”, 75 pages – in North American Journal of Economics and Finance (status: first round, in November 2015).
  2. Maillet B. (with Billio M., G. Jannin and L. Pelizzon), (2015), “A New Generalized Utility-based N-moment Measure of Performance”, 83 pages – in Management Science (status: first round, in January 2016).
  3. Maillet B. (with Kouontchou P., A. Modesto and S. Tokpavi), “Quand l'union fait la force : un indice agrégé de risque systémique”, 19 pages - in the Revue Economique (status: first round, in November 2015).

Finalized Works to be submitted soon (2015)

  1. Maillet B. (with Garibal J.-C., P. Kouontchou and S. Tokpavi), (2015), “A Robust Conditional Realized Extended 4-CAPM”, 43 pages – in the Journal of Empirical Finance.
  2. Maillet B. (with Kouontchou P. and S. Tokpavi), (2015), “L-moment Estimations of Tail-indexes with Financial Applications on Volatility Densities”, 59 pages - in the Journal of Applied Econometrics.

Works in Due Progress

  1. Maillet B. (with Kouontchou P. and S. Tokpavi), “Portfolio Optimization under Full Model Uncertainty: A Min-max Opportunity Cost Approach", 13 pages - prepared for the European Journal of Operational Research.
  2. Maillet B. (with Bernardi M., R. Casarin and L. Petrella), (2015), “Dynamic Model Averaging for Quantile Regressions”, 37 pages - prepared for the Journal of Econometrics.
  3. Maillet B. (with Banulescu D., C. Hurlin and S. Tokpavi), “Backtesting Expected Shortfall: A Model-free Approach”, 15 pages - prepared for Management Science.
  4. Maillet B. (with Kouontchou P. and S. Tokpavi), “Robust Constant Loss Portfolios”, 5 pages - prepared for the Journal of Portfolio Management.
  5. Maillet B. (with Tokpavi S.), “Testing for the Systemically Important Financial Institutions: A Conditional Approach”, 35 pages - prepared for Finance.
  6. Maillet B. (with Kouontchou P., O. Scaillet and S. Tokpavi), (2015), “The Co-CoVaR and other Fair Systemic Risk Measures”, 39 pages – prepared for the Journal of Banking and Finance.
  7. Maillet B. (with Kouontchou P. and J.-L. Prigent), (2015), “Revisiting some Aspects of Classical Decision Theories through Combinations of Order Statistics”, 35 pages – prepared for Management Science.
  8. Maillet B. (with Hamidi B., P. Kouontchou and J.-L. Prigent), (2015), “Quantile Regression Method for Conditional Portfolio Insurance”, 66 pages - prepared for Journal of Banking and Finance.

Book Chapters

  1. Maillet B. (with Kouontchou P., A. Lendasse, Y. Miche, A. Modesto and P. Sarlin), "An R-SOM Analysis of the Link between Financial Market Conditions and a Systemic Risk Index based on ICA-factors of Systemic Risk Measures", 12 pages – forthcoming in the Proceedings of the Hawaii International Conference on System Sciences 2016.
  2. Maillet B. (with Björk K.-M., P. Kouontchou, A. Lendasse and Y. Miche), (2015), “Towards a Tomographic Index of Systemic Risk Measures”, 6 pages – Proceedings of the European Symposium on Artificial Neural Networks 2015.
  3. Maillet B. (with Kouontchou P., A. Lendasse and Y. Miche), (2013), “Forecasting Financial Markets with Classified Tactical Signals”, 6 pages – Proceedings of the European Symposium on Artificial Neural Networks 2013.
  4. Maillet B. (with Hamidi B. and J.-L. Prigent), (2009), “A Risk Management Approach for Portfolio Insurance Strategies”, in Financial Risks, Gouriéroux-Jeanblanc (Eds), Economica, 117-132.
  5. Maillet B. (with Sorjamaa A., F. Corona, Y. Miche, P. Merlin, E. Séverin and A. Lendasse), (2009), “Sparse Linear Combination of SOMs for Data Imputation: Application to Financial Database”, Lecture Notes in Computer Science 5629, Springer Verlag – Berlin, 290-297.
  6. Maillet B. (with Jurczenko E.), (2006-d), “Introduction to Multi-moment Asset Allocation and Pricing Models”, in Multi-moment Asset Allocation and Pricing Models, Jurczenko-Maillet (Eds), John Wiley & Sons – New-York, 21-24.
  7. Maillet B. (with Jurczenko E.), (2006-c), “Theoretical Foundations of Higher Moments when Pricing Assets”, in Multi-moment Asset Allocation and Pricing Models, Jurczenko-Maillet (Eds), John Wiley & Sons – New-York, Chapter 1, 1-36.
  8. Maillet B. (with Jurczenko E.), (2006-b), “The 4-CAPM: between Asset Pricing and Asset Allocation”, in Multi-moment Asset Allocation and Pricing Models, Jurczenko-Maillet (Eds), John Wiley & Sons – New-York, Chapter 6, 113-164.
  9. Maillet B. (with Jurczenko E. and P. Merlin), (2006), “Hedge Funds Portfolio Selection with Higher-order Moments: A Non-parametric Mean-Variance-Skewness-Kurtosis Efficient Frontier”, in Multi-moment Asset Allocation and Pricing Models, Jurczenko-Maillet (Eds), John Wiley & Sons – New-York, Chapter 3, 51-66.
  10. Maillet B. (with Merlin P.), (2005), “Completing Hedge Fund Missing Net Asset Values using Kohonen Maps and Constrained Randomization”, in Artificial Neural Networks: Formal Models and Their Applications, Duch et al. (Eds), Lecture Notes in Computer Science, Volume 3697, Springer Verlag – Berlin, Part II, 923-928.
  11. Maillet B. (with Rousset P.), (2003), “Classifying Hedge Funds using Kohonen Map”, in Connectionist Approaches in Economics and Management Sciences, Series in Advances in Computational Management Science, Vol. 6, Cottrell-Lesage (Eds), Kluwer Academic Publisher, 2003, 233-259.
  12. Maillet B. (with Jurczenko E.), (2001), “The 3-CAPM: Theoretical Foundations and a Comparison of Asset Pricing Models in an Unified Framework”, in Developments in Forecast Combination and Portfolio Choice, Series in Financial Economics and Quantitative Analysis, Dunis-Moody-Timmermann (Eds), John Wiley & Sons – New-York, Chapter 13, 239-273.

Book Edition

  1. Maillet B. (with Jurczenko E.), (2006-a), Multi-moment Asset Allocation and Pricing Models, Jurczenko-Maillet (Eds), John Wiley & Sons – New-York, 236 pages.
  2. Maillet B. (with Caporin M., G. Jannin and F. Lisi), (2015), Performance Measures in Financial Markets, Monograph, 100 pages in progress; book prepared for a Springer-Verlag Brief Series.

Unpublished Working Papers

  1. Maillet B. (with Hamidi B. and E. Jurczenko), (2009), “D’un multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires ?”, CES Working Paper, April 2009, 21 pages.
  2. Maillet B. (with Bagnarosa G., C. Corrado and E. Jurczenko), (2008), “An Implicit Martingale Restriction in a Closed-form Higher-order Moment Option Pricing Formula based on Multipoint Padé Approximants”, ESCP Europe Working Paper, February 2008, 30 pages.
  3. Maillet B. (with Jurczenko E. and B. Négrea), (2002), “Revisited Multi-moment Approximate Option Pricing Models (Part 1)”, Discussion Paper of the LSE-FMG n°430, 84 pages.
  4. Maillet B. (with Jurczenko E. and B. Négrea), (2002), “Skewness and Kurtosis Implied by Option Prices: A Second Comment”, Discussion Paper of the LSE-FMG n°419, 32 pages.
  5. Maillet B. (with Michel Th.), (2002), “How Deep was the September 2001 Stock Market Crisis? Putting Recent Events on the American and French Markets into Perspective with and Index of Market Shocks”, Discussion Paper of the LSE-FMG n°417, 14 pages.
  6. Maillet B. (with Capelle-Blancard G. and E. Jurczenko), (2001), “The Approximate Option Pricing Model: Empirical Performances and Simple Dynamic Properties”, Documents de Travail du TEAM, Université de Paris-1, 36 pages.
  7. Maillet B. (with Capelle-Blancard G. and E. Jurczenko), (2001), “The Approximate Option Pricing Model: Empirical Performances on the French Market”, Documents de Travail du TEAM, Université de Paris-1, 55 pages.
  8. Maillet B. (with Chauveau Th.), (1998), “Estimations de ‘bêtas flexibles’ : le cas du marché parisien”, Documents de Travail de la Caisse des Dépôts et Consignations n°1997-03/FI, 30 pages.
  9. Maillet B. (with Chauveau Th.), (1998), “Deux nouvelles mesures de performance”, Documents de Travail de la Caisse des Dépôts et Consignations, n°1997-03/FI, 51 pages.

Other Works

  1. Maillet B. (with Chauveau Th., S. Friederich, J. Héricourt, E. Jurczenko, C. Lubochinsky, Ch. Moussu, B. Négrea and H. Raymond-Feingold), (2004), “Réactions des autorités de marchés pendant et après les crises financières : causes, bilan et perspectives”, mimeo, 18 pages.
  2. Maillet B. (with Lubochinsky C.), (2003), “Beaucoup de bruit autour de la volatilité”, in Recueil d’opinion sur la Volatilité, publication of the AFG-ASFFI, 12 pages.
  3. Maillet B. (with Chauveau Th., J. Héricourt, E. Jurczenko, C. Lubochinsky, B. Négrea and H. Raymond-Feingold), (2003), “La volatilité des marchés augmente-elle ? Théorie et mise en perspective historique”, Discussion Paper of the NRF, 53 pages.
  4. Maillet B. (with Michel Th.), (2002), “Mise en perspective des dernières turbulences de marché à l'aide d'un indice de crise”, Bulletin de la COB, 8 pages.
  5. Maillet B. (with Lubochinsky C.), (2002), “Gestion alternative : un nouvel enjeu pour le marché français”, Recueil d’opinion sur la Gestion Alternative, publication of the AFG-ASFFI, 65-73.
  6. Maillet B. (with Jurczenko E. and B. Négrea), (2002), “Simplified Multi-moment Approximate Option Pricing Models”, Université de Paris-1, mimeo, 54 pages.
  7. Maillet B. (with Michel Th.), (2001), “Quelle est la gravité de la crise financière de septembre 2001 ?”, Flash, CDC-IXIS Publication, 4 pages.
  8. Maillet B. (with Chauveau Th.), (2001), “Performance: A Generalization of Traditional Measures”, Université de Paris-1, mimeo, 60 pages.
  9. Maillet B. (with Michel Th.), (1998), “Volume Time-scale and Intra-day Returns Density”, Université de Paris-1, mimeo, 25 pages.

A Selection of Conference, Workshop and Seminar Presentations (since 2000)

1. TEAM seminar, University of Paris I Panthéon-Sorbonne (Paris, March 2000 - 1 paper).
2. Vth Spring Meeting of Young Economists (Oxford, March 2000 - 2 papers).
3. TEAM Seminar, University of Paris I Panthéon-Sorbonne (Paris, Mai 2000 - 1 paper).
4. VIIth International Conference in Forecasting Financial Markets (London, May 2000 - 2 papers).
5. XVIIth "Journées de Micro-économie Appliquée" (Québec, June 2000 - 1 paper).
6. XVIIth International Meeting of the GDR-CNRS Money and Finance (Lisbon, June 2000 - 2 papers, 1 discussion).
7. XVIIth AFFI International Conference in Finance (Paris, June 2000 - 1 paper).
8. Ist International Portuguese Finance Network Conference (Braga, July 2000 - 1 paper).
9. IXth European Financial Management Association Meetings (Athens, July 2000 - 1 paper).
10. IVth International Congress on Insurance, Mathematics and Economics (Barcelona, July 2000 - 2 papers).
11. ILth Conference of AFSE (Paris, September 2000 - 1 paper).
12. XIIIth Australasian Finance and Banking Conference (Sydney, December 2000 - 1 paper).
13. VIIIth International Conference in Forecasting Financial Markets (London, May 2001 - 4 papers).
14. XVIIIth "Journées de Micro-économie Appliquée" (Nancy, June 2001 - 1 chair, 1 discussion).
15. XVIIIth International Meeting of the GDR-CNRS Money and Finance (Pau, June 2001 - 1 chair, 1 discussion).
16. TEAM Seminar, University of Paris I Panthéon-Sorbonne (Paris, June 2001 - 1 paper).
17. XVIIIth AFFI International Conference in Finance (Namur, June 2001 - 1 paper).
18. Xth European Financial Management Association (Lugano, June 2001 - 2 papers).
19. VIIIth Multinational Finance Association Conference (Verona, June 2001 - 1 paper).
20. SIRIF Conference on Performance Measurement (Edinburgh, July 2001 - 1 paper).
21. VIIIth International Meeting of ACSEG (Rennes, November 2001 - 1 paper).
22. IIIrd Conference on Applications of Physics in Financial Analysis (London, December 2001 - 1 paper).
23. AFFI International Conference in Finance (Paris, December 2001 - 2 papers).
24. TEAM Seminar, University of Paris I Panthéon-Sorbonne (Paris, February 2002 - 1 paper).
25. Finance-sur-Seine Workshop (Paris, April 2002 - 1 paper).
26. GRIFI Conference on Financial Econometrics (Lille, May 2002 - 1 paper).
27. IXth International Conference in Forecasting Financial Markets (London, May 2002 - 1 paper).
28. XIXth "Journées de Micro-économie Appliquée" (Rennes, June 2002 - 1 chair, 1 paper).
29. XIIth Intern. Meeting of the GDR-CNRS International Economics and Finance (Bordeaux, June 2002 - 1 paper).
30. IXth Multinational Finance Association Conference (Paphos - Cyprus, July 2002 - 1 paper).
31. XIXth AFFI International Conference in Finance (Strasbourg, June 2002 - 1 chair, 1 discussion, 2 papers).
32. LVIIth European Meeting of the Econometric Society (Venice, August 2002 - 1 paper).
33. SIRIF Conference on Financial Econometrics (Edinburg, August 2002 - 1 paper).
34. INQUIRE UK Conference on Higher Moments (London, September 2002 - 1 paper).
35. IXth International Meeting of ACSEG (Boulogne, November 2002 - 1 paper).
36. AFFI International Conference in Finance (Paris, December 2002 - 1 paper).
37. Advances in Financial Econometrics, University of Paris-10 (Paris, January 2003- 1 paper).
38. Xth International Conference in Forecasting Financial Markets (Paris, June 2003 - 2 papers, 1 chair).
39. XXth "Journées de Micro-économie Appliquée" (Montpellier, June 2003 - 1 chair).
40. XXth AFFI International Conference in Finance (Lyon, June 2003 - 1 chair).
41. VIIth IME Conference (Lyon, June 2003 - 1 paper).
42. Xth International Meeting of ACSEG (Nantes, November 2003 - 1 paper).
43. AEA - Stock Market Conference (Paris, April 2004 - 1 paper, 1 chair).
44. International Conference of the Euro Working Group (Paris, May 2004 - 1 chair).
45. International ESANN Conference (Bruges, May 2004 - 1 paper).
46. XXIth "Journées de Micro-économie Appliquée" (Lille, June 2004 - 1 discussion, 1 chair).
47. XIth International Conference in Forecasting Financial Markets (Paris, June 2004 - 1 paper, 1 chair).
48.GRETA International Conference in Financial Econometrics (Venice, June 2005 - 1 paper).
49. XXIIth International Meeting of the GDR-CNRS Money-Finance (Strasbourg, June 2005 - 1 paper)
50. XXIth "Journées de Micro-économie Appliquée" (Hammamet, June 2005 - 1 chair).
51. XXIth AFFI International Conference in Finance (La Defense, June 2005 - 3 papers).
52. XXXIIth European Finance Association Conference (Moscow, June 2005 - 1 discussion).
53. International Conference on Natural Computation (Changsha, August 2005 - 1 paper).
54. Vth Workshop on SOM (Paris, September 2005 - 2 papers).
55. International Meeting of ICANN (Warsaw, September 2005 - 2 papers).
56. International Conference on Financial Forecasting (Loutraki, October 2005 - 2 papers).
57. XIIth International Meeting of ACSEG (Marseille, November 2005 - 2 papers).
58. Advances in Financial Econometrics, University of Paris-10 (Paris, December 2005 - 4 papers).
59. EC2 Insurance and Finance Conference (Istanbul, December 2005 - 2 papers).
60. International Conference on High Frequency Finance (Konstanz, May 2006 - 1 paper).
61. XXIIIth "Journées de Micro-économie Appliquée" (Nantes, June 2006 - 1 discussion, 1 chair, 4 papers).
62. XXIIth AFFI International Conference in Finance (Poitiers, June 2006 - 1 Prize jury).
63. International ESANN Conference (Bruges, May 2007 - 2 papers).
64. XXIIth AFFI International Conference in Finance (Bordeaux, June 2007 - 10 papers).
65. XXIth "Journées de Micro-économie Appliquée" (Fribourg, June 2007 - 2 papers).
66. Xth European Workshop on Efficiency and Productivity Analysis (Lille, June 2007 - 1 paper).
67. Vth International Financial Research Forum, Europlace Institute of Finance, (Paris, June 2007 - 1 paper).
68. LVIth Annual Congress, AFSE (Paris, September 2007 - 1 paper).
69. Advances in Financial Econometrics, University of Paris-10 (Paris, November 2007 -4 papers).
70. Intern. Conf. in Math. & Stat. Methods for Actuarial Sciences and Finance (Venice, March 2008 - 1 paper).
71. 1st EIF Financial Risks International Forum (Paris, March 2008 - 1 paper).
72. XXVth "Journées de Microéconomie Appliquée" (Saint-Denis de La Réunion, May 2008 - 2 papers, 3 discussions).
73. XXIIIth AFFI International Conference in Finance (Lille, June 2008 - 1 paper, 1 chair).
74. LVIIth Annual Congress, AFSE (Paris, September 2008 - 1 paper).
75. Advances in Financial Econometrics, University of Paris-10 (Paris, November 2008 - 5 papers).
76. IVth Tinbergen Institute Conference (Rotterdam, March 2009 - 2 papers).
77. International ESANN09 Conference (Bruges, April 2009 - 3 papers).
78. XXIVth AFFI International Conference in Finance (Brest, May 2009 – 2 papers).
79. "New Challenges to Central Bank. Intern. Conf.", Louvain Manag. (Namur, June 2009 – 1 disc.).
80. XXVIth "Journées de Micro-économie Appliquée" (Dijon, June 2009 – 1 chair).
81. IInd International Risk Management Conference (Venice, June 2009 – 2 papers).
82. XXVIth  International Meeting of the GDR-CNRS Money-Finance (Orléans, June 2009 – 1 paper, 1 chair).
83. LVIIIth Annual Congress, AFSE (Paris, September 2009 - 5 papers).
84. International Conference on Credit Risk, Financial Crises and the Macro-economy (Venice, September 2009 – 1 paper).
85. Advances in Financial Econometrics, University of Paris-10 (Paris, November 2009 –6 papers).
86. IInd Annual Conference on Hedge Funds (Paris, January 2010 – 1 paper).
87. IIIrd Financial Risks International Forum (Paris, March 2010 –3 papers).
88. XIVth Conference on Theories and Methods in Macroeconomics (Le Mans, March 2010 – 1 paper).
89. XVIIIth Annual Symposium, Society for Non-linear Dynamics and Econometrics (Novara, April 2010 – 1 paper).
90. XXVth AFFI International Conference in Finance (Saint-Malo, May 2010 – 3 papers).
91. XXVIIth "Journées de Micro-économie Appliquée" (Angers, June 2010 – 2 papers).
92. XLIIth Annual Conference of the Money Macro and Finance Research Group (Limassol, September 2010 – 1 paper).
93. Ist Workshop on Hedge Funds (Cluster CNRS - Orléans, March 2011 - 1 paper, 1 discussion).
94. "Journées Internationales du Risque" (Niort, May 2011 - 1 paper).
95. XXVIIIth AFFI International Conference in Finance (Montpellier, May 2011 - 2 papers).
96. IVth International Risk Management Conference (Amsterdam, June 2011 - 1 paper).
97. XXVIIIth "Journées de Micro-économie Appliquées" (Sousse, June 2011 - 3 papers).
98.VIIth BETA Workshop in Historical Economics (Strasbourg, June 2011 - 1 paper).
99. XLVth Canadian Economics Association Conference (Ottawa, June 2011 - 1 paper).
100. XVIth Annual Workshop on Econ. Heterogeneous Interacting Agents (Ancona, June 2011 - 1 paper).
101. International Conference on Mathematical Finance and Economics (Istanbul, July 2011 - 1 paper).
102. OxMetrics International Conference (Maastricht, August 2011 - 1 paper).
103. LXth Annual Congress, AFSE (Paris, September 2011 - 2 papers).
104. International Conference on Credit (Venice, September 2011 - 1 paper).
105. Advances in Financial Econometrics, University of Paris-10 (Paris, November 2011 - 5 papers).
106. Vth Computational and Financial Econometrics Conference (London, December 2011 - 2 papers).
107. XXXVIth Symposium of Spanish Economic Association (Malaga, December 2011).
108. IXth AFFI International Conference in Finance (Paris, December 2011 - 1 paper).
109. IVth EIF Financial Risks International Forum (Paris, March 2012 - 1 paper).
110. IInd Wokrshop on Hedge Funds (Cluster CNRS - Orléans, April 2012 - 1 paper, 1 chair).
111. LEO/CNRS Lunch Seminar (Orléans, April 2012 - 1 paper).
112. Advances in Financial Econometrics, University of Le Havre (Le Havre, June 2012 - 1 paper).
113. eGDR-CNRS "Monnaie-Finance-Banque" (Nantes, June 2012 - 1 paper, 1 chair, 1 discussion).
114. Vth International Risk Management Conference (Roma, June 2012 - 1 paper).
115. Advances in Financial Econometrics, University of Paris-10 (Paris, Nov. 2012 - 4 papers, 1 discussion).
116. IInd World Finance Conference (Shangaï, Dec. 2012 - 1 paper, 1 discussion).
117. VIIth International Finance Conference (Levallois-Perret, March 2013 - 2 papers).
118. GDRE – Workshop on Financial Stability (Paris, April 2013 - 1 paper).
119. IIIrd Workshop on Hedge Funds (Cluster CNRS - Orléans, April 2013 - organization, 1 chair).
120. International ESANN Conference (Bruges, April 2013 - 1 paper).
121. "Journées de l'AFSE" (Orléans, May 2013 - 2 papers).
122. XXXth AFFI International Conference in Finance (Lyon, May 2013 - 2 papers, 1 chair).
123. INFER Annual Conference (Orléans, May 2013 - 3 papers, 1 discussion).
124. XIth Workshop on Pensions, Insurance and Savings (Paris, June 2013 - 2 papers, 1 chair, 1 discussion).
125. IIIrd International Conference of the FEBS (Paris, June 2013 - 2 papers, 1 discussion).
126. VIth International Risk Management Conference (Copenhagen, June 2013 - 1 paper, 1 chair).
127. eGDR-CNRS "Monnaie-Finance-Banque" (Poitiers, June 2013 - 1 paper).
128. XXXth “Journées de Micro-économie Appliquée” (Nice, June 2013 - 3 papers).
129. Vth International Conference of IFABS (Nottingham, June 2013 - 1 paper).
130. LXIIth Annual Congress of AFSE (Aix-en-Provence, July 2013 - 2 papers).
131. LXVIIth European Meeting of the Econometric Society (Gothenburg, August 2013 - 1 paper).
132. XIIth International Conference on Credit Risk Evaluation (Venice, September 2013 - 1 paper).
133. XIIth Advances in Financial Econometrics Conference, Univ. Paris-10 (Paris, December 2013 - 3 papers, 1 discussion).
134. VIIth Financial Risk International Forum (Paris, March 2014 – 1 paper).
135."Atelier risque systémique et politiques macro/microprudentielles" (Metz, April 2014 - 1 discussion, organization).
136. International Conference on Economic and Financial Risks IRIAF-CRIEF (Niort, June 2014 - 1 paper, 1 discussion).
137. XXXIth International Symposium on Money, Banking and Finance (Lyon, June 2014 - 1 paper, 1 chair).
138. VIIth International Risk Management Conference (Warsaw, June 2014 - 2 papers, 1 chair).
139. VIth International Conference of the Financial Engineering and Banking Society (Guildford, June 2014 - 1 paper).
140. XXXIth AFFI International Conference in Finance (Aix-en-Provence, June 2014 – 1 paper).
141. XXXIst “Journées de Micro-économie Appliquée” (Clermont-Ferrand, June 2014 - 1 paper, 1 discussion, 1 chair).
142. eGDR-CNRS "Monnaie-Finance-Banque" (Lyon, June 2014 - 1 paper, 1 discussion, 1 chair).
143. XIIIth Advances in Financial Econometrics Conference, University of Paris-10 (Paris, Dec. 2014 - 5 papers, 1 discussion).
144. Ist World Conference in Risk Banking and Finance, University of Tokyo (Tokyo, January 2015 - 2 papers, 1 chair).
145. LEDa Paris-Dauphine Seminar (Paris, January 2015 - 1 paper).
146. VIIth Hedge Funds Research Conference (Paris, January 2015 - 1 paper).
147. Workshop “Measure, Detection and Implication of Financial Risks” (Orléans, March 2015 - 1 paper).
148. VIIIth Financial Risk International Forum (Paris, March 2015 – 1 paper).
149. International ESANN Conference (Bruges, April 2015 - 1 paper).
150. XXXIInd “Journées de Micro-économie Appliquée” (Montpellier, June 2015 - 1 paper).
151. VIIth International Conference of IFABS (Hangzhou, China, June 2015 - 1 paper, 1 chair).
152. 2015 RiskLab/BoF/ESRB Conference on Systemic Risk Analytics (Helsinki, September 2015 - 1 paper).
153. Quantitative Finance Workshop at EM Lyon (Lyon, November 2015 - 1 paper).
154. 2015 MIT CRSA Meeting on Systemic Risk (Cambridge, USA, December 2015 - 1 paper).
155. XLIXth Hawaii International Conference on System Sciences (Hawaii, January 2016 - 1 paper).

Personal Invitations

  • Center of Quantitative Economics – U. of Munich, invited talk on “Performance Measurement”, TBS 2016.
  • Dept. of Statistics, U. of Pavia, invited talk on “Systemic Risk”, TBS 2016.
  • GRI in Financial Services (Toronto), invited talk on “Performance Measurement”, April 2015.
  • University of Aix-Marseille, invited talk on “Performance Measurement”, February 2015.
  • GRI in Financial Services Conference (Toronto), invited talk on “Model Risk”, November 2014.
  • University of Frankfurt (SAFE), invited talk on “Performance Measurement”, October 2014.
  • GRI Annual Conference, invited talk on “Model Risk”, November 2013.
  • ESSEC Paris (Applied Math. Dpt.), invited talk on “Model Risk”, March 2012.
  • University of Padova (Econometrics Dpt.), invited talk on “Model Risk”, September 2011.
  • University of Ca’ Foscari (GRETA), invited talk on “Model Risk”, April 2011.
  • Université of Orléans (LEO), invited talk on “Outliers”, April 2010.
  • Université of Ca’ Foscari (GRETA), invited talk on “Portfolio Selection”, April 2010.
  • Université of Ca’ Foscari (GRETA), invited talk on “Extreme Risk”, January 2010.
  • Bristol University (Account. and Fin. Dpt.), invited talk on “Extreme Risk”, May 2009.
  • University of Paris-10 (EconomiX), invited talk on “Asset Valuation”, April 2009.
  • EM-Lyon BS, invited talk on “Extreme Risks”, April 2009.
  • University of HEC-Lausanne (IBF), invited talk on “Extreme Risk”, April 2009.
  • Université de Paris-10 (EconomiX), invited talk on “Asset Valuation”, April 2008.
  • University of Bristol (Econ. Dpt), invited talk on “Volatility”, November 2006.
  • University of Paris-10 (MODEM), invited talk on “Risk Measurement”, June 2004.
  • University of Cyprus (HERMES), invited talk on “Risk Measurement”, June 2004.