Doctorants / Phd students



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


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


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




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

Sous la direction de : Yuri BIONDI


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.


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


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

Sous la direction de : Constantin MELLIOS


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.

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

Sous la direction de : Raphaël DOUADY

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.


Hamza El Khalloufi

Supervisor: Constantin Mellios

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


José Martin Flores

JoséSupervisor: Christophe Moussu

Thesis title: Essays on tax incentives and financial regulation


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 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

Mathilde Poulain

MathildeSupervisor: Gunther Cappelle-Blancard

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

Antoine Souchaud

Antoine souchaudSupervisor: Christophe Moussu

Thesis title: Three essays on financial regulation and SMEs


Doctorants associés/ PhD associates

Antoine Kornprobst

antoine kornprobstSupervisor: Raphaël Douady

Thesis title: Financial Crisis Indicators Based on Random Matrix Theory


Arnaud Trébaol


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.


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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