Doctorants / Phd students

2012

Salim DEHMEJ

photo salim dehmejSujet de la thèse (2012-2015): Essais sur le central banking et la politique macroprudentielle.

Sous la direction de : Jézabel COUPPEY-SOUBEYRAN

Il est désormais Économiste Chercheur à la Banque Centrale du Maroc (Bank Al-Maghrib).

Page perso / Personal page

 
 
 
Alexandre GAREL

garel-alexandre

 
First name Alexandre
Last name Garel
Institution ESCP Europe, Labex
PhD supervisor Bancel Franck
 
Thesis title Investor Horizon and Corporate Policies
 
JEL Classification G20 G30
Keywords Short-term investors, Long-term investors, institutional investors, managerial myopia, investement, intangibles, employee satisfaction, bank performance, investor horizon
 
Objectives The objective of my thesis is to investigate the real effects of short-term and long-term investor ownership on corporate policies. It aims at understanding how the ownership structure might affect firms’ decisions.
 
Design / methodology / approach My thesis contains a survey and three empirical contributions. For each paper, I investigate a potential effect of long-term or/and short-term institutional ownership on corporates or banks. I study mostly the US market, over the 1980-2014 period and use common econometric methodologies to obtain my results and assess their robustness.
 
Empirical findings / expected outputs
1) I show that banks which entered the last financial crisis with a greater short-term ownership, experienced larger price drops. It challenges the common view that more bank capital is always better.
2) I show that long-term ownership is beneficial for developping employee satisfaction (a long-term oriented intangible asset)
3) I propose a test to assess the best strategy for a firm to develop long-term ownership: attracting outsiders or making current shareholders holding their shares longer. »
 
Research contribution / practical implications / Originality
My thesis leads to concrete corporate and regulatory implications regarding which shareholder base to promote and how. The debate whether long-term ownership has a real impact on firms and wether it should be encouraged is a very topical one. For instance, in France, a law, which promotes long-term ownership in listed companies, was recently passed. See also, in the UK, the Kay Report, and in the US, Clinton’s proposal to encourage long-term investment.
 
Xiaoying HUANG

HUANGSujet de la thèse : Régulation du marché des matières premières.

Sous la direction de : Didier MARTEAU

@: hxy.xiaoying@gmail.com

Xiaoying HUANG is a PhD. Candidate of Labex-Réfi since January 2012. Her thesis is on ‘ Regulation in commodities markets’, which is supervised by Prof. Didier Marteau and Prof. Steve Ohana. She received a BSc. in economic with honors (2009) from University of Toulouse 1 capitol and a MSc. in finance market (2010) from University of Paris 1 Panthéon-Sorbonne.

Xiaoying has an internship experience as credit analyst in Postal bank of China (2008). And she worked also as assistant teacher in University of Paris 2 Panthéon-Assas (2009-2010).

Research interests: commodity derivatives pricing ; regulation in commodity market ; risk management.

Federica SALVADE

Federica SalvadeSujet de la thèse/ Thesis : Essays on credit rating agencies.

Sous la direction de : Philippe RAIMBOURG

@: federica.salvade@gmail.com
https://sites.google.com/site/federicasalvade/  

2014

Imke GRAEFF

ImkeSujet de la thèse : The quality of International Financial Reporting Standards (IFRS) over time.

Sous la direction de : Yuri BIONDI

@: imke.graeff@labex-refi.com

Imke Graeff is a PhD student of the ESCP Europe (Paris Campus) and of Labex Réfi. She holds a bachelor’s degree in finance and insurance law from the University of Hamburg and a master’s degree in international accounting from the University of Glasgow. Imke Graeff researches on the quality of accounting standards.

Research interests: financial regulation, accounting standard setting, country differences in accounting and corporate insolvency.

Thore KOCKEROLS

Sujet de la thèse : Macroprudential regulation and the policy mix : an analysis for the eurozone and Japan.

Sous la direction de : Philppe SPIESER et Jérôme CREEL

@: Thore.kockerols@escpeurope.eu
Amine LOUTIA

AmineSujet de la thèse : Marché des matières premières et marchandises: formation des prix et gestion de portefeuille.

Sous la direction de : Constantin MELLIOS

@: aloutia@gmail.com

First name Loutia
Last name Amine
Institution Sorbonne University Paris1 PRISM
Your PhD supervisor name Constantin Mellios
Your thesis title Marchés des matières premières et marchandises: Formation des prix et gestion de portefeuille
JEL Classification (Ex. G28, E58, K2) G14,L10,Q40,G11,G12
Keywords Commodity Markets, Portfolio choice, Asset pricing, Commodity regulation, Event Study, Market Structure.
Objectives – Study the microstructure of commodity markets through event studies.
– Study the correlations’ structure between commodities, group of commodities and traditional assets.
– The two aforementioned parts are to be the input for computing the optimized quantities to invest in commodities within a multi-commodities portfolio.
Design / methodology / approach – The microstructure (commodities) was analysed through event studies (OPEC news) combined with an EGARCH model. The same technique was performed on stocks using a FAMA-FRENCH 3 factors model.

-The correlations’ structure will be analysed through an ADCC model as to account for the assymetries.

– The optimzed multi-commodity portfolio will be computed through a continous and intertemporal model ( See Cox and Huang,1989).

Empirical findings / expected outputs – OPEC news do impact oil prices. The impact differs depending on the news’ types and the indices used.
-Some industrial sectors should be more impacted than others
-The correlations’ structure should have undergone lots of changes.
-Commodities will be surely playing a huge role in generating revenues rather than hedging. The optimized quantities should indicate that.
Research contribution / practical implications / Originality – Mixing event studies to an EGARCH model is new to the literature. The contribution is purely methological in plus of newer data.
– Using a huge database to assess the impact of OPEC news on each firm is almost inexistant in the literature.
-Studying of the interactions between commodities and group of commodities contributes to the growing literature in the domain.
-There is little literature on the multi-commodity portfolios.
Shohruh MIRYUSUPOV

photo ShohruhSujet de la thèse : Computation and Dynamic Hedging of CVA with Wrong Way Risk.

Sous la direction de : Raphaël DOUADY

@: shohruh.miryusupov@gmail.com
 
2013-2014 Master student of ENSTA ParisTech, Quantitative Finance2012-2013 Master student of University of Paris 1, Operational research and optimisation.2012-2012 Exchange student at the Bielefeld University2011-2012 First year of Master’s program in applied mathematics in Finance at the University of Paris 1Research interests: Counterparty credit risk modelling(CVA), Monte-Carlo Algorithms and Stochastic Differential Equations.

2015

Hamza El Khalloufi

Supervisor: Constantin Mellios

Thesis title: Régulation, gestion du risque de liquidité et allocation d’actifs

@: hamza.el-khalloufi@labex-refi.com

José Martin Flores

JoséSupervisor: Christophe Moussu

Thesis title: Essays on tax incentives and financial regulation

@: jose.martin-flores@labex-refi.com

Clément Goulet

clementSupervisor: Dominique Guégan and Philippe de Peretti.

Thesis title: « Denoising techniques, local chaotic behaviors and regulation consequences for High Frequency Data »

@: clement.goulet@labex-refi.com

Clement Goulet holds a Master degree in applied mathematics (MMMEF) jointly at University Paris 1 and ENSTA ParisTech.
He also graduated from the Quantitative Economics Methods (QEM) Erasmus Mundus program. Between April 2014 and October 2014 he was a quantitative analyst intern at Natixis (Stress Test Team). He also worked as a part time quantitative analyst at Nextraining (run on pricers for FX derivatives) in 2013.
His Master dissertation dealed with a new market risk measure for HFD using Hawkes processes. His research field covers denoising using wavelets, chaotic systems, algorithmic trading and regulation of high frequency markets.

Eloge Miedi

ElogeSupervisor: Raphaël Douady

Thesis title: Modelling crashing periods in high frequency trading

@: eloge.miedi@labex-refi.com
Mathilde Poulain

MathildeSupervisor: Gunther Cappelle-Blancard

Thesis title: Capture de la Régulation Financière: Une approche pour la théorie des choix publics

@: mathilde.poulain@labex-refi.com
Antoine Souchaud

Antoine souchaudSupervisor: Christophe Moussu

Thesis title: Three essays on financial regulation and SMEs

@: Antoine.souchaud@labex-refi.com

Doctorants associés/ PhD associates

Antoine Kornprobst

antoine kornprobstSupervisor: Raphaël Douady

Thesis title: Financial Crisis Indicators Based on Random Matrix Theory

CV

@: antoine.kornprobst@labex-refi.com 
Arnaud Trébaol

Arnaud

Supervisor: Raphaël Douady

Thesis title: Dynamic Market Instability Indicators

Arnaud is a Graduate in Engineering at Ecole Centrale de Lille and in Economics at Politecnico di Milano. He worked as an Investment Analyst in Asset Management with a portfolio of Fixed Income Products and as a Strategist in a Top Tier Investment Bank in an Equity Derivatives and Quantitative Research Desk in UK. 
His research is focused on Systemic Risk and its mathematical approach and modelling.
 
@: arnaud.trebaol@labex-refi.com 

 

Kehan Li

Kehan LiSupervisor: Dominique Guégan

Thesis title: Stress Risk Measure

Kehan Li is a PhD candidate (Applied mathematics_quantitative finance) in Centre d’Économie de la Sorbonne, Université Paris 1 Panthéon-Sorbonne.
He received a Bachelor degree (2011) in applied mathematics from Nankai University and a Master degree (2014) in applied mathematics (MMMEF) from University Paris 1 and ENSTA ParisTech. Between July 2015 and September 2015 he did a quantitative research internship at Ping An Securities Company, Ltd. (Stock and derivative trading team). His research is focused mainly on stress risk measure and its statistical modelling.
 
 
 

 

 

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