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Welcome to my Website !

Professor of Econometrics/Machine Learning at the University of Orléans, and researcher at LEO (Laboratory of Economics of Orléans), my main research interest is Financial Econometrics, with a focus on the analysis of the dynamics of asset returns distribution’s tails. Specifically, some things I'm working on are: 


- econometric models to forecast downside risk measures.

- statistical inferential procedures to backtest models for downside

  risk measurement.

- analysis of contagion in donwside risk measures.     


These topics are important for financial institutions to monitor risk, but also for the regulators to assess the quality of internal models of risk measurement, and to set up policies for the regulation of systemic risk. 


Alongside this research, from my collaboration with professionals in the asset management world, emerged a second line of research that addresses the issues of parameter uncertainty in portfolio optimization.

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