You will find in the section Publications the list of my articles and in the section Working papers my latest research works with a summary available on line. Students interested in working on the research themes may visit the section Training and RC.
My research activities deal with the following themes :
Extreme value theory allows one to precise the statistical behavior of rare events such as stock market crashes or foreign exchange crises. Research in finance has been mainly interested in the average properties of financial asset prices and little attention has been given to extreme events. Most of the empirical studies tend to reject such observations considered as abnormal. In my thesis (1993) and following publications, I focus on extreme events by considering the following questions :
Since the 1990s, risk management has been strongly developed in financial institutions. This trend may be explained by a more demanding banking regulation in terms of risks and capital requirement but also by the determination of institutions to better understand and manage their financial risks. My research deals with the following issues :
Portfolio management uses more and more quantitative techniques and sophisticated products. Structured products using on derivatives are such an example. This evolution has been followed by the regulators. Beyond the understanding of operational risk, it is interested in the valuation of funds and the associated risks both for the asset management firm and the clients. Moreover, the impact of extreme events on the performance but also on the risks of the funds attracts the attention of both investors and fund managers. My research deals with these issues from the following point of views :
Market micro-structure studies the formation of prices by taking into account the organization of financial markets (mode of quotation, structure of the concurrence), the information process and the behavior of market participants (trading objectives, trading strategies, size of the orders.). My research both theoretical and empirical treats of the following points :
Wealth management is strongly developping in France. As the French retirement system is questioned, financial planing is becoming an issue for individuals. Moreover, an ever fiscal burden implies to take this parameter into account to optimize individuals' wealth. My research deals with the following issues :