Sustainable finance, Financial econometrics, Asset management, Risk management, Modelling of asset prices, Macro-finance models, Pension funds, Asset-Liability management

Recent Working Papers

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

Deconstructing ESG Scores: How to Invest with Your own Criteria (with T. Ehlers, U. Elsenhuber, and A. Jegarasasingam) (2022) Swiss Finance Institute Research Paper No. 22-23

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

ESG Screening in the Fixed-Income Universe (with F. Alessandrini and D. Baptista Balula) (2021) Swiss Finance Institute Research Paper No. 21-77

Climate-Related Disasters and the Death Toll (with V. Chavez-Demoulin and L. Mhalla) (2021) Swiss Finance Institute Research Paper No. 21-63

Greening the Swiss National Bank’s Portfolio (with R. Fahlenbrach) (2021) Swiss Finance Institute Research Paper No. 21-59

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

A New Indicator of Bank Funding Cost (with B. Mojon and J.-G. Sahuc) (2020) (Online Technical Appendix, Data) Swiss Finance Institute Research Paper No. 20-20

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

A General Equilibrium Appraisal of Capital Shortfall (with J.-G. Sahuc) (2018) Swiss Finance Institute Research Paper No. 18-12

Recent Publications

Predicting the Stressed Expected Loss of Large U.S. Banks (with A. Khalilzadeh) (2022) (Online Technical Appendix) Journal of Banking and Finance, 144

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.