Doctorants / Phd students
Sujet 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).
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.
Sujet 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.
Sujet de la thèse : The quality of International Financial Reporting Standards (IFRS) over time.
Sous la direction de : Yuri BIONDI@: email@example.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.
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.firstname.lastname@example.org
Sujet de la thèse : Marché des matières premières et marchandises: formation des prix et gestion de portefeuille.
Sous la direction de : Constantin MELLIOS@: email@example.com
|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.
Sujet de la thèse : Computation and Dynamic Hedging of CVA with Wrong Way Risk.
Sous la direction de : Raphaël DOUADY@: firstname.lastname@example.org 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.
Supervisor: Constantin Mellios
Thesis title: Régulation, gestion du risque de liquidité et allocation d’actifs@: email@example.com
Supervisor: Christophe Moussu
Thesis title: Essays on tax incentives and financial regulation@: firstname.lastname@example.org
Supervisor: Dominique Guégan and Philippe de Peretti.
Thesis title: « Denoising techniques, local chaotic behaviors and regulation consequences for High Frequency Data »@: email@example.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.
Supervisor: Raphaël Douady
Thesis title: Modelling crashing periods in high frequency trading@: firstname.lastname@example.org
Supervisor: Gunther Cappelle-Blancard
Thesis title: Capture de la Régulation Financière: Une approche pour la théorie des choix publics@: email@example.com
Supervisor: Christophe Moussu
Thesis title: Three essays on financial regulation and SMEs@: Antoine.firstname.lastname@example.org
Doctorants associés/ PhD associates
Supervisor: Raphaël Douady
Thesis title: Dynamic Market Instability Indicators
Thesis title: Stress Risk Measure