Department of Finance
University of Lausanne
Center for Risk Management – Lausanne
(CRML)
Interests
Sustainable finance, Financial econometrics, Asset management, Risk management, Modelling of asset prices, Macro-finance models, Pension funds, Asset-Liability management
Recent Working Papers
The Impact of Green Investors on Stock Prices (with G. Chen, B. Mojon and Dimitri Vayanos) (2023) BIS Working Papers No. 1127
Building Portfolios of Sovereign Securities with Decreasing Carbon Footprints (with G. Chen and B. Mojon) (2022) Swiss Finance Institute Research Paper No. 22-66
How Sustainable Is Swiss Real Estate? Evidence from Institutional Property Portfolios (with F. Alessandrini, G. Lang, and E. Reins) (2022) Swiss Finance Institute Research Paper No. 22-46
Environmental Subsidies to Mitigate Transition Risk (with G. Levieuge, J.-G. Sahuc, and G. Vermandel) (2022) Swiss Finance Institute Research Paper No. 22-45
Measuring and Stress-Testing Market-Implied Bank Capital (with M. Indergand and A. Fuster) (2022) Swiss Finance Institute Research Paper No. 22-11
Building Benchmarks Portfolios with Decreasing Carbon Footprints (with B. Mojon and L. A. Pereira da Silva) (2021) Swiss Finance Institute Research Paper No. 21-91
Climate-Related Disasters and the Death Toll (with V. Chavez-Demoulin and L. Mhalla) (2021) Swiss Finance Institute Research Paper No. 21-63
Disasters, Large Drawdowns, and Long-term Asset Management (with A. Pauli) (2021) Swiss Finance Institute Research Paper No. 21-37
Greening (Runnable) Brown Assets with a Liquidity Backstop (with B. Mojon and C. Monnet) (2021) Swiss Finance Institute Research Paper No. 21-22
Textual Analysis of Banks’ Pillar 3 Documents (with M. Dong and M. Rockinger) (2019)
Strategic Interaction between Hedge Funds and Prime Brokers (with N. Gerasimova) (2018) Swiss Finance Institute Research Paper No. 18-54
Recent Publications
Deconstructing ESG Scores: Investing at the Category Score Level (with T. Ehlers, U. Elsenhuber, and A. Jegarasasingam) (2024) Journal of Asset Management
Bank Rollover Risk and Liquidity Supply Regimes (with B. Mojon and J.-G. Sahuc) (2024) (Online Technical Appendix, Data) International Journal of Central Banking
Greening the Swiss National Bank’s Portfolio (with R. Fahlenbrach) (2023) Review of Corporate Finance Studies, 12, 792-833.
Bank Capital Shortfall in the Euro Area (with J.-G. Sahuc) (2022) Journal of Financial Stability, 62, 101070
ESG Screening in the Fixed-Income Universe (with F. Alessandrini and D. Baptista Balula) (2022) Journal of Investment Management, 20(4), 65-86.
Predicting the Stressed Expected Loss of Large U.S. Banks (with A. Khalilzadeh) (2022) (Online Technical Appendix) Journal of Banking and Finance, 134, 106321
Optimal Strategies for ESG Portfolios (with F. Alessandrini) (2021) Journal of Portfolio Management , 47(6), 114–138
When are Stocks Less Volatile in the Long Run? (with Q. Zhang and X. Zhu) (2021), Journal of Financial and Quantitative Analysis, 56(4), 1228–1258 (Online Technical Appendix)
The Case for Reopening Economies by Sector (with J.-P. Bonardi, A. Bris, M. Brülhart, J.-P. Danthine, D. Rohner, and M. Thoenig) (2020), Harvard Business Review
ESG Investing: From Sin Stocks to Smart Beta (with F. Alessandrini) (2020), Journal of Portfolio Management, 46(2), 75–94 (Online Technical Appendix)
Average Skewness Matters! (with Q. Zhang and X. Zhu) (last draft, 2019), Journal of Financial Economics, 134(1), 29–47 (Online Technical Appendix, Data, Codes)
Predicting Long-Term Financial Returns: VAR vs. DSGE Model – A Horse-Race (with M. Rockinger) (last draft, 2019), Journal of Money, Credit, and Banking, 51(8), 2239–2291 (Online Technical Appendix)
Periodic or Generational Actuarial Tables: Which One to Choose? (with S. Arnold-Gaille, A. Jijiie, and M. Rockinger) (2019), European Actuarial Journal, 9(2), 519–554
Moment Component Analysis: An Illustration with International Stock Markets (with E. Jurczenko and M. Rockinger) (2018), Journal of Business and Economic Statistics, 36(4), 576–598
Collateralization, Leverage, and Stressed Expected Loss (with A. Khalilzadeh) (2017), Journal of Financial Stability, 33, 226–243
Asymmetry in Tail Dependence in Equity Portfolios (2016), Computational Statistics and Data Analysis, 100, 351–368 (Technical Appendix)
Estimating the Price Impact of Trades in a High-Frequency Microstructure Model with Jumps (with J. Lahaye and M. Rockinger) (2015), Journal of Banking and Finance, 61, S205–S224 (New Version)
The Dynamics of Squared Returns Under Contemporaneous Aggregation of GARCH Models (2015), Journal of Empirical Finance, 32, 80–93 (Online Technical Appendix)
Systemic Risk in Europe (with R. Engle and M. Rockinger) (2015), Review of Finance, 19(1), 145–190 (Update in VOX)
Financial Modeling Under Non-Gaussian Distributions
Joinlty written with Ser-Huang Poon and Michael Rockinger
(Springer Finance)
About this Book
Practitioners and researchers who have handled financial market data know that asset returns do not behave according to the bell-shaped curve, associated with the Gaussian or normal distribution. Indeed, the use of Gaussian models when the asset return distributions are not normal could lead to a wrong choice of portfolio, the underestimation of extreme losses or mispriced derivative products. Consequently, non-Gaussian models and models based on processes with jumps, are gaining popularity among financial market practitioners.
Non-Gaussian distributions are the key theme of this book which addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. One of the main aims is to bridge the gap between the theoretical developments and the practical implementations of what many users and researchers perceive as « sophisticated » models or black boxes. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series, such as exchange and interest rates.
